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We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to $T$ sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The demand model is assumed to be a high-dimensional generalized linear model (GLM), allowing for a feature vector in $\mathbb R^d$ that encodes products and consumer information. To achieve optimal revenue (i.e., least regret), the firm needs to learn and exploit the unknown GLMs while monitoring for potential change-points. To tackle such a problem, we first design a novel penalized likelihood-based online change-point detection algorithm for high-dimensional GLMs, which is the first algorithm in the change-point literature that achieves optimal minimax localization error rate for high-dimensional GLMs. A change-point detection assisted dynamic pricing (CPDP) policy is further proposed and achieves a near-optimal regret of order $O(s\sqrt{\Upsilon_T T}\log(Td))$, where $s$ is the sparsity level and $\Upsilon_T$ is the number of change-points. This regret is accompanied with a minimax lower bound, demonstrating the optimality of CPDP (up to logarithmic factors). In particular, the optimality with respect to $\Upsilon_T$ is seen for the first time in the dynamic pricing literature, and is achieved via a novel accelerated exploration mechanism. Extensive simulation experiments and a real data application on online lending illustrate the efficiency of the proposed policy and the importance and practical value of handling non-stationarity in dynamic pricing.

Change point testing is a well-studied problem in statistics. Owing to the emergence of high-dimensional data with structural breaks, there has been a recent surge of interest in developing methods to accommodate high-dimensionality. In practice, when the dimension is less than the sample size but is not small, it is often unclear whether a method that is tailored to high-dimensional data or simply a classical method that is developed and justified for low-dimensional data is preferred. In addition, the methods designed for low-dimensional data may not work well in the high-dimensional environment and vice versa. This naturally brings up the question of whether there is a change point test that can work for data of low, medium, and high dimensions. In this paper, we first propose a dimension-agnostic testing procedure targeting a single change point in the mean of multivariate time series. Our new test is inspired by the recent work of arXiv:2011.05068, who formally developed the notion of ``dimension-agnostic" in several testing problems for iid data. We develop a new test statistic by adopting their sample splitting and projection ideas, and combining it with the self-normalization method for time series. Using a novel conditioning argument, we are able to show that the limiting null distribution for our test statistic is the same regardless of the dimensionality and the magnitude of cross-sectional dependence. The power analysis is also conducted to understand the large sample behavior of the proposed test. Furthermore, we present an extension to test for multiple change points in the mean and derive the limiting distributions of the new test statistic under both the null and alternatives. Through Monte Carlo simulations, we show that the finite sample results strongly corroborate the theory and suggest that the proposed tests can be used as a benchmark for many time series data.

Many physical problems involving heterogeneous spatial scales, such as the flow through fractured porous media, the study of fiber-reinforced materials, or the modeling of the small circulation in living tissues -- just to mention a few examples -- can be described as coupled partial differential equations defined in domains of heterogeneous dimensions that are embedded into each other. This formulation is a consequence of geometric model reduction techniques that transform the original problems defined in complex three-dimensional domains into more tractable ones. The definition and the approximation of coupling operators suitable for this class of problems is still a challenge. We develop a general mathematical framework for the analysis and the approximation of partial differential equations coupled by non-matching constraints across different dimensions, focusing on their enforcement using Lagrange multipliers. In this context, we address in abstract and general terms the well-posedness, stability, and robustness of the problem with respect to the smallest characteristic length of the embedded domain. We also address the numerical approximation of the problem and we discuss the inf-sup stability of the proposed numerical scheme for some representative configuration of the embedded domain. The main message of this work is twofold: from the standpoint of the theory of mixed-dimensional problems, we provide general and abstract mathematical tools to formulate coupled problems across dimensions. From the practical standpoint of the numerical approximation, we show the interplay between the mesh characteristic size, the dimension of the Lagrange multiplier space, and the size of the inclusion in representative configurations interesting for applications. The latter analysis is complemented with illustrative numerical examples.

Querying cohesive subgraphs on temporal graphs with various time constraints has attracted intensive research interests recently. In this paper, we study a novel Temporal k-Core Query (TCQ) problem: given a time interval, find all distinct k-cores that exist within any subintervals from a temporal graph, which generalizes the previous historical k-core query. This problem is challenging because the number of subintervals increases quadratically to the span of time interval. For that, we propose a novel Temporal Core Decomposition (TCD) algorithm that decrementally induces temporal k-cores from the previously induced ones and thus reduces "intra-core" redundant computation significantly. Then, we introduce an intuitive concept named Tightest Time Interval (TTI) for temporal k-core, and design an optimization technique with theoretical guarantee that leverages TTI as a key to predict which subintervals will induce duplicated k-cores and prunes the subintervals completely in advance, thereby eliminating "inter-core" redundant computation. The complexity of optimized TCD (OTCD) algorithm no longer depends on the span of query time interval but only the scale of final results, which means OTCD algorithm is scalable. Moreover, we propose a compact in-memory data structure named Temporal Edge List (TEL) to implement OTCD algorithm efficiently in physical level with bounded memory requirement. TEL organizes temporal edges in a "timeline" and can be updated instantly when new edges arrive, and thus our approach can also deal with dynamic temporal graphs. We compare OTCD algorithm with the incremental historical k-core query on several real-world temporal graphs, and observe that OTCD algorithm outperforms it by three orders of magnitude, even though OTCD algorithm needs none precomputed index.

We present a prototype online system to automate the procedure of computing different types of linear layouts of graphs under different user-specific constraints. Currently, four different types of linear layouts are supported: stack, queue, rique and deque, as well as, any mixture of them. The system consists of two main components; the client and the server sides. The client side is built upon an easy-to-use editor, which supports basic interaction with graphs, enriched with several additional features to allow the user to define and further constraint the linear layout to be computed. The server side, which is available to multiple clients through a well-documented API, is responsible for the actual computation of the linear layout. Its algorithmic core is an extension of a SAT formulation that is known to be robust enough to solve non-trivial instances in reasonable amount of time.

The coresets approach, also called subsampling or subset selection, aims to select a subsample as a surrogate for the observed sample. Such an approach has been used pervasively in large-scale data analysis. Existing coresets methods construct the subsample using a subset of rows from the predictor matrix. Such methods can be significantly inefficient when the predictor matrix is sparse or numerically sparse. To overcome the limitation, we develop a novel element-wise subset selection approach, called core-elements, for large-scale least squares estimation in classical linear regression. We provide a deterministic algorithm to construct the core-elements estimator, only requiring an $O(\mbox{nnz}(\mathbf{X})+rp^2)$ computational cost, where $\mathbf{X}$ is an $n\times p$ predictor matrix, $r$ is the number of elements selected from each column of $\mathbf{X}$, and $\mbox{nnz}(\cdot)$ denotes the number of non-zero elements. Theoretically, we show that the proposed estimator is unbiased and approximately minimizes an upper bound of the estimation variance. We also provide an approximation guarantee by deriving a coresets-like finite sample bound for the proposed estimator. To handle potential outliers in the data, we further combine core-elements with the median-of-means procedure, resulting in an efficient and robust estimator with theoretical consistency guarantees. Numerical studies on various synthetic and open-source datasets demonstrate the proposed method's superior performance compared to mainstream competitors.

Sampling methods (e.g., node-wise, layer-wise, or subgraph) has become an indispensable strategy to speed up training large-scale Graph Neural Networks (GNNs). However, existing sampling methods are mostly based on the graph structural information and ignore the dynamicity of optimization, which leads to high variance in estimating the stochastic gradients. The high variance issue can be very pronounced in extremely large graphs, where it results in slow convergence and poor generalization. In this paper, we theoretically analyze the variance of sampling methods and show that, due to the composite structure of empirical risk, the variance of any sampling method can be decomposed into \textit{embedding approximation variance} in the forward stage and \textit{stochastic gradient variance} in the backward stage that necessities mitigating both types of variance to obtain faster convergence rate. We propose a decoupled variance reduction strategy that employs (approximate) gradient information to adaptively sample nodes with minimal variance, and explicitly reduces the variance introduced by embedding approximation. We show theoretically and empirically that the proposed method, even with smaller mini-batch sizes, enjoys a faster convergence rate and entails a better generalization compared to the existing methods.

Incompleteness is a common problem for existing knowledge graphs (KGs), and the completion of KG which aims to predict links between entities is challenging. Most existing KG completion methods only consider the direct relation between nodes and ignore the relation paths which contain useful information for link prediction. Recently, a few methods take relation paths into consideration but pay less attention to the order of relations in paths which is important for reasoning. In addition, these path-based models always ignore nonlinear contributions of path features for link prediction. To solve these problems, we propose a novel KG completion method named OPTransE. Instead of embedding both entities of a relation into the same latent space as in previous methods, we project the head entity and the tail entity of each relation into different spaces to guarantee the order of relations in the path. Meanwhile, we adopt a pooling strategy to extract nonlinear and complex features of different paths to further improve the performance of link prediction. Experimental results on two benchmark datasets show that the proposed model OPTransE performs better than state-of-the-art methods.

The recent proliferation of knowledge graphs (KGs) coupled with incomplete or partial information, in the form of missing relations (links) between entities, has fueled a lot of research on knowledge base completion (also known as relation prediction). Several recent works suggest that convolutional neural network (CNN) based models generate richer and more expressive feature embeddings and hence also perform well on relation prediction. However, we observe that these KG embeddings treat triples independently and thus fail to cover the complex and hidden information that is inherently implicit in the local neighborhood surrounding a triple. To this effect, our paper proposes a novel attention based feature embedding that captures both entity and relation features in any given entity's neighborhood. Additionally, we also encapsulate relation clusters and multihop relations in our model. Our empirical study offers insights into the efficacy of our attention based model and we show marked performance gains in comparison to state of the art methods on all datasets.