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The predict-then-optimize framework is fundamental in practical stochastic decision-making problems: first predict unknown parameters of an optimization model, then solve the problem using the predicted values. A natural loss function in this setting is defined by measuring the decision error induced by the predicted parameters, which was named the Smart Predict-then-Optimize (SPO) loss by Elmachtoub and Grigas [arXiv:1710.08005]. Since the SPO loss is typically nonconvex and possibly discontinuous, Elmachtoub and Grigas [arXiv:1710.08005] introduced a convex surrogate, called the SPO+ loss, that importantly accounts for the underlying structure of the optimization model. In this paper, we greatly expand upon the consistency results for the SPO+ loss provided by Elmachtoub and Grigas [arXiv:1710.08005]. We develop risk bounds and uniform calibration results for the SPO+ loss relative to the SPO loss, which provide a quantitative way to transfer the excess surrogate risk to excess true risk. By combining our risk bounds with generalization bounds, we show that the empirical minimizer of the SPO+ loss achieves low excess true risk with high probability. We first demonstrate these results in the case when the feasible region of the underlying optimization problem is a polyhedron, and then we show that the results can be strengthened substantially when the feasible region is a level set of a strongly convex function. We perform experiments to empirically demonstrate the strength of the SPO+ surrogate, as compared to standard $\ell_1$ and squared $\ell_2$ prediction error losses, on portfolio allocation and cost-sensitive multi-class classification problems.

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Due to spurious correlations, machine learning systems often fail to generalize to environments whose distributions differ from the ones used at training time. Prior work addressing this, either explicitly or implicitly, attempted to find a data representation that has an invariant relationship with the target. This is done by leveraging a diverse set of training environments to reduce the effect of spurious features and build an invariant predictor. However, these methods have generalization guarantees only when both data representation and classifiers come from a linear model class. We propose invariant Causal Representation Learning (iCaRL), an approach that enables out-of-distribution (OOD) generalization in the nonlinear setting (i.e., nonlinear representations and nonlinear classifiers). It builds upon a practical and general assumption: the prior over the data representation (i.e., a set of latent variables encoding the data) given the target and the environment belongs to general exponential family distributions. Based on this, we show that it is possible to identify the data representation up to simple transformations. We also prove that all direct causes of the target can be fully discovered, which further enables us to obtain generalization guarantees in the nonlinear setting. Extensive experiments on both synthetic and real-world datasets show that our approach outperforms a variety of baseline methods. Finally, in the discussion, we further explore the aforementioned assumption and propose a more general hypothesis, called the Agnostic Hypothesis: there exist a set of hidden causal factors affecting both inputs and outcomes. The Agnostic Hypothesis can provide a unifying view of machine learning. More importantly, it can inspire a new direction to explore a general theory for identifying hidden causal factors, which is key to enabling the OOD generalization guarantees.

Quality control is an ongoing concern in citizen science that is often managed by replication to consensus in online tasks such as image classification. Numerous factors can lead to disagreement, including image quality problems, interface specifics, and the complexity of the content itself. We conducted trace ethnography with statistical and qualitative analyses of six Snapshot Safari projects to understand the content characteristics that can lead to uncertainty and low consensus. This study contributes content categorization based on aggregate classifications to characterize image complexity, with analysis that confirms that the categories impact classification efficiency, and an inductively generated set of additional image quality issues that also impact volunteers' ability to confidently classify content. The results suggest that different conceptualizations and measures of consensus may be needed for different types of content, and aggregate responses offer a way to identify content that needs different handling when complexity cannot be determined $a$ $priori$.

The matrix normal model, the family of Gaussian matrix-variate distributions whose covariance matrix is the Kronecker product of two lower dimensional factors, is frequently used to model matrix-variate data. The tensor normal model generalizes this family to Kronecker products of three or more factors. We study the estimation of the Kronecker factors of the covariance matrix in the matrix and tensor models. We show nonasymptotic bounds for the error achieved by the maximum likelihood estimator (MLE) in several natural metrics. In contrast to existing bounds, our results do not rely on the factors being well-conditioned or sparse. For the matrix normal model, all our bounds are minimax optimal up to logarithmic factors, and for the tensor normal model our bound for the largest factor and overall covariance matrix are minimax optimal up to constant factors provided there are enough samples for any estimator to obtain constant Frobenius error. In the same regimes as our sample complexity bounds, we show that an iterative procedure to compute the MLE known as the flip-flop algorithm converges linearly with high probability. Our main tool is geodesic strong convexity in the geometry on positive-definite matrices induced by the Fisher information metric. This strong convexity is determined by the expansion of certain random quantum channels. We also provide numerical evidence that combining the flip-flop algorithm with a simple shrinkage estimator can improve performance in the undersampled regime.

We propose a novel conflict resolution framework for IoT services in multi-resident smart homes. The proposed framework employs a preference extraction model based on a temporal proximity strategy. We design a preference aggregation model using a matrix factorization-based approach (i.e., singular value decomposition). The concepts of current resident item matrix and ideal resident item matrix are introduced as key criteria to cater to the conflict resolution framework. Finally, a set of experiments on real-world datasets are conducted to show the effectiveness of the proposed approach.

In this paper, we study the statistical limits of deep learning techniques for solving elliptic partial differential equations (PDEs) from random samples using the Deep Ritz Method (DRM) and Physics-Informed Neural Networks (PINNs). To simplify the problem, we focus on a prototype elliptic PDE: the Schr\"odinger equation on a hypercube with zero Dirichlet boundary condition, which has wide application in the quantum-mechanical systems. We establish upper and lower bounds for both methods, which improves upon concurrently developed upper bounds for this problem via a fast rate generalization bound. We discover that the current Deep Ritz Methods is sub-optimal and propose a modified version of it. We also prove that PINN and the modified version of DRM can achieve minimax optimal bounds over Sobolev spaces. Empirically, following recent work which has shown that the deep model accuracy will improve with growing training sets according to a power law, we supply computational experiments to show a similar behavior of dimension dependent power law for deep PDE solvers.

Optimal $k$-thresholding algorithms are a class of sparse signal recovery algorithms that overcome the shortcomings of traditional hard thresholding algorithms caused by the oscillation of the residual function. In this paper, we provide a novel theoretical analysis for the data-time tradeoffs of optimal $k$-thresholding algorithms. Both the analysis and numerical results demonstrate that when the number of measurements is small, the algorithms cannot converge; when the number of measurements is suitably large, the number of measurements required for successful recovery has a negative correlation with the number of iterations and the algorithms can achieve linear convergence. Furthermore, the theory presents that the transition point of the number of measurements is on the order of $k \log({en}/{k})$, where $n$ is the dimension of the target signal.

Knowledge distillation is a strategy of training a student network with guide of the soft output from a teacher network. It has been a successful method of model compression and knowledge transfer. However, currently knowledge distillation lacks a convincing theoretical understanding. On the other hand, recent finding on neural tangent kernel enables us to approximate a wide neural network with a linear model of the network's random features. In this paper, we theoretically analyze the knowledge distillation of a wide neural network. First we provide a transfer risk bound for the linearized model of the network. Then we propose a metric of the task's training difficulty, called data inefficiency. Based on this metric, we show that for a perfect teacher, a high ratio of teacher's soft labels can be beneficial. Finally, for the case of imperfect teacher, we find that hard labels can correct teacher's wrong prediction, which explains the practice of mixing hard and soft labels.

We consider the exploration-exploitation trade-off in reinforcement learning and we show that an agent imbued with a risk-seeking utility function is able to explore efficiently, as measured by regret. The parameter that controls how risk-seeking the agent is can be optimized exactly, or annealed according to a schedule. We call the resulting algorithm K-learning and show that the corresponding K-values are optimistic for the expected Q-values at each state-action pair. The K-values induce a natural Boltzmann exploration policy for which the `temperature' parameter is equal to the risk-seeking parameter. This policy achieves an expected regret bound of $\tilde O(L^{3/2} \sqrt{S A T})$, where $L$ is the time horizon, $S$ is the number of states, $A$ is the number of actions, and $T$ is the total number of elapsed time-steps. This bound is only a factor of $L$ larger than the established lower bound. K-learning can be interpreted as mirror descent in the policy space, and it is similar to other well-known methods in the literature, including Q-learning, soft-Q-learning, and maximum entropy policy gradient, and is closely related to optimism and count based exploration methods. K-learning is simple to implement, as it only requires adding a bonus to the reward at each state-action and then solving a Bellman equation. We conclude with a numerical example demonstrating that K-learning is competitive with other state-of-the-art algorithms in practice.

Dynamic programming (DP) solves a variety of structured combinatorial problems by iteratively breaking them down into smaller subproblems. In spite of their versatility, DP algorithms are usually non-differentiable, which hampers their use as a layer in neural networks trained by backpropagation. To address this issue, we propose to smooth the max operator in the dynamic programming recursion, using a strongly convex regularizer. This allows to relax both the optimal value and solution of the original combinatorial problem, and turns a broad class of DP algorithms into differentiable operators. Theoretically, we provide a new probabilistic perspective on backpropagating through these DP operators, and relate them to inference in graphical models. We derive two particular instantiations of our framework, a smoothed Viterbi algorithm for sequence prediction and a smoothed DTW algorithm for time-series alignment. We showcase these instantiations on two structured prediction tasks and on structured and sparse attention for neural machine translation.

We develop an approach to risk minimization and stochastic optimization that provides a convex surrogate for variance, allowing near-optimal and computationally efficient trading between approximation and estimation error. Our approach builds off of techniques for distributionally robust optimization and Owen's empirical likelihood, and we provide a number of finite-sample and asymptotic results characterizing the theoretical performance of the estimator. In particular, we show that our procedure comes with certificates of optimality, achieving (in some scenarios) faster rates of convergence than empirical risk minimization by virtue of automatically balancing bias and variance. We give corroborating empirical evidence showing that in practice, the estimator indeed trades between variance and absolute performance on a training sample, improving out-of-sample (test) performance over standard empirical risk minimization for a number of classification problems.

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