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Stacking is a widely used model averaging technique that asymptotically yields optimal predictions among linear averages. We show that stacking is most effective when model predictive performance is heterogeneous in inputs, and we can…
The method of model averaging has become an important tool to deal with model uncertainty, for example in situations where a large amount of different theories exist, as are common in economics. Model averaging is a natural and formal…
A Bayesian network is a graphical model that encodes probabilistic relationships among variables of interest. When used in conjunction with statistical techniques, the graphical model has several advantages for data analysis. One, because…
In statistical exercises where there are several candidate models, the traditional approach is to select one model using some data driven criterion and use that model for estimation, testing and other purposes, ignoring the variability of…
When predictive models are used to support complex and important decisions, the ability to explain a model's reasoning can increase trust, expose hidden biases, and reduce vulnerability to adversarial attacks. However, attempts at…
In situations involving teams of diverse robots, assigning appropriate roles to each robot and evaluating their performance is crucial. These roles define the specific characteristics of a robot within a given context. The stream actions…
We study a high-dimensional regression setting under the assumption of known covariate distribution. We aim at estimating the amount of explained variation in the response by the best linear function of the covariates (the signal level). In…
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are…
A broad current application of algorithms is in formal and quantitative measures of murky concepts -- like merit -- to make decisions. When people strategically respond to these sorts of evaluations in order to gain favorable decision…
Designing effective model-based reinforcement learning algorithms is difficult because the ease of data generation must be weighed against the bias of model-generated data. In this paper, we study the role of model usage in policy…
The ideal Bayesian agent reasons from a global probability model, but real agents are restricted to simplified models which they know to be adequate only in restricted circumstances. Very little formal theory has been developed to help…
The optimal selection of experimental conditions is essential to maximizing the value of data for inference and prediction, particularly in situations where experiments are time-consuming and expensive to conduct. We propose a general…
The paper describes the use of Bayesian regression for building time series models and stacking different predictive models for time series. Using Bayesian regression for time series modeling with nonlinear trend was analyzed. This approach…
This paper describes methods for comparative evaluation of the interpretability of models of high dimensional time series data inferred by unsupervised machine learning algorithms. The time series data used in this investigation were logs…
The exploration of complex physical or technological processes usually requires exploiting available information from different sources: (i) physical laws often represented as a family of parameter dependent partial differential equations…
Many approaches for optimizing decision making models rely on gradient based methods requiring informative feedback from the environment. However, in the case where such feedback is sparse or uninformative, such approaches may result in…
Reinforcement learning methods are increasingly used to optimise dialogue policies from experience. Most current techniques are model-free: they directly estimate the utility of various actions, without explicit model of the interaction…
Optimal designs are usually model-dependent and likely to be sub-optimal if the postulated model is not correctly specified. In practice, it is common that a researcher has a list of candidate models at hand and a design has to be found…
Stochastic models in which agents interact with their neighborhood according to a network topology are a powerful modeling framework to study the emergence of complex dynamic patterns in real-world systems. Stochastic simulations are often…
Considering the increasing size of available data, the need for statistical methods that control the finite sample bias is growing. This is mainly due to the frequent settings where the number of variables is large and allowed to increase…