Related papers: Empirical risk minimization is consistent with the…
We propose a method to improve the efficiency and accuracy of amortized Bayesian inference by leveraging universal symmetries in the joint probabilistic model of parameters and data. In a nutshell, we invert Bayes' theorem and estimate the…
We apply the sample average approximation (SAA) method to risk-neutral optimization problems governed by nonlinear partial differential equations (PDEs) with random inputs. We analyze the consistency of the SAA optimal values and SAA…
In many estimation problems, e.g. linear and logistic regression, we wish to minimize an unknown objective given only unbiased samples of the objective function. Furthermore, we aim to achieve this using as few samples as possible. In the…
Machine learning models have exhibited exceptional results in various domains. The most prevalent approach for learning is the empirical risk minimizer (ERM), which adapts the model's weights to reduce the loss on a training set and…
We study risk-sensitive reinforcement learning in finite discounted MDPs with recursive entropic risk measures (ERM), where the risk parameter $\beta \neq 0$ controls the agent's risk attitude: $\beta>0$ for risk-averse and $\beta<0$ for…
Penalized likelihood and quasi-likelihood methods dominate inference in high-dimensional linear mixed-effects models. Sampling-based Bayesian inference is less explored due to the computational bottlenecks introduced by the random effects…
Obtaining high-quality labels is costly, whereas unlabeled covariates are often abundant, motivating semi-supervised inference methods with reliable uncertainty quantification. Prediction-powered inference (PPI) leverages a machine-learning…
It is well known that Empirical Risk Minimization (ERM) may attain minimax suboptimal rates in terms of the mean squared error (Birg\'e and Massart, 1993). In this paper, we prove that, under relatively mild assumptions, the suboptimality…
This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be dependent and heavy-tailed. The analysis covers both the…
In regression modelling approach, the main step is to fit the regression line as close as possible to the target variable. In this process most algorithms try to fit all of the data in a single line and hence fitting all parts of target…
Model-based Reinforcement Learning (MBRL) has been widely adapted due to its sample efficiency. However, existing worst-case regret analysis typically requires optimistic planning, which is not realistic in general. In contrast, motivated…
Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study the properties of empirical risk minimization for time series. The analysis is carried out in a general framework that…
Meta analysis is commonly-used to synthesize multiple results from individual studies. However, its validation is usually threatened by publication bias and between-study heterogeneity, which can be captured by the Copas selection model.…
In the paper we argue that performance of the classifiers based on Empirical Risk Minimization (ERM) for positive unlabeled data, which are designed for case-control sampling scheme may significantly deteriorate when applied to a…
This paper considers probabilistic estimation of a low-rank matrix from non-linear element-wise measurements of its elements. We derive the corresponding approximate message passing (AMP) algorithm and its state evolution. Relying on…
Weighted empirical risk minimization is a common approach to prediction under distribution drift. This article studies its out-of-sample prediction error under nonstationarity. We provide a general decomposition of the excess risk into a…
The statistical properties of estimator using covariance matrix for the account of point-to-point correlations due to systematic errors are analyzed. It is shown that the covariance matrix estimator (CME) is consistent for the realistic…
We study the performance of empirical risk minimization on the $p$-norm linear regression problem for $p \in (1, \infty)$. We show that, in the realizable case, under no moment assumptions, and up to a distribution-dependent constant,…
We study a class of iterated empirical risk minimization (ERM) procedures in which two successive ERMs are performed on the same dataset, and the predictions of the first estimator enter as an argument in the loss function of the second.…
This note examines the behavior of generalization capabilities - as defined by out-of-sample mean squared error (MSE) - of Linear Gaussian (with a fixed design matrix) and Linear Least Squares regression. Particularly, we consider a…