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Deep probabilistic generative models enable modeling the likelihoods of very high dimensional data. An important application of generative modeling should be the ability to detect out-of-distribution (OOD) samples by setting a threshold on…
Offline Reinforcement Learning (RL) aims to learn a near-optimal policy from a fixed dataset of transitions collected by another policy. This problem has attracted a lot of attention recently, but most existing methods with strong…
Multiple hypothesis testing, a situation when we wish to consider many hypotheses, is a core problem in statistical inference that arises in almost every scientific field. In this setting, controlling the false discovery rate (FDR), which…
In big data analysis, a simple task such as linear regression can become very challenging as the variable dimension $p$ grows. As a result, variable screening is inevitable in many scientific studies. In recent years, randomized algorithms…
For a machine learning model deployed in real world scenarios, the ability of detecting out-of-distribution (OOD) samples is indispensable and challenging. Most existing OOD detection methods focused on exploring advanced training skills or…
Temporal difference (TD) learning is a foundational algorithm in reinforcement learning (RL). For nearly forty years, TD learning has served as a workhorse for applied RL as well as a building block for more complex and specialized…
We study a Bayesian binary sequential hypothesis testing problem with multiple large language models (LLMs). Each LLM $j$ has per-query cost $c_j>0$, random waiting time with mean $\mu_j>0$ and sub-Gaussian tails, and \emph{asymmetric}…
Sequential change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. When the post-change parameters are unknown, we consider a set of detection procedures based on…
In the standard formulation of the occupancy problem one considers the distribution of r balls in n cells, with each ball assigned independently to a given cell with probability 1/n. Although closed form expressions can be given for the…
Optimal treatment regimes (OTR) are individualised treatment assignment strategies that identify a medical treatment as optimal given all background information available on the individual. We discuss Bayes optimal treatment regimes…
We consider a model of selective prediction, where the prediction algorithm is given a data sequence in an online fashion and asked to predict a pre-specified statistic of the upcoming data points. The algorithm is allowed to choose when to…
This paper presents an algorithm to apply nonlinear control design approaches in the case of stochastic systems with partial state observation. Deterministic nonlinear control approaches are formulated under the assumption of full state…
In the binary hypothesis testing problem, it is well known that sequentiality in taking samples eradicates the trade-off between two error exponents, yet implementing the optimal test requires the knowledge of the underlying distributions,…
The doubly robust (DR) estimator, which consists of two nuisance parameters, the conditional mean outcome and the logging policy (the probability of choosing an action), is crucial in causal inference. This paper proposes a DR estimator for…
Likelihood from a generative model is a natural statistic for detecting out-of-distribution (OoD) samples. However, generative models have been shown to assign higher likelihood to OoD samples compared to ones from the training…
Change point detection plays a fundamental role in many real-world applications, where the goal is to analyze and monitor the behaviour of a data stream. In this paper, we study change detection in binary streams. To this end, we use a…
Multi-distribution learning (MDL), which seeks to learn a shared model that minimizes the worst-case risk across $k$ distinct data distributions, has emerged as a unified framework in response to the evolving demand for robustness,…
This paper explores the intrinsic connections between the Bayesian false discovery rate (FDR) control procedures and their counterpart of frequentist procedures. We attempt to offer a unified view of FDR control within and beyond the…
Modern neural networks are known to give overconfident prediction for out-of-distribution inputs when deployed in the open world. It is common practice to leverage a surrogate outlier dataset to regularize the model during training, and…
We consider the problem of offline reinforcement learning (RL) -- a well-motivated setting of RL that aims at policy optimization using only historical data. Despite its wide applicability, theoretical understandings of offline RL, such as…