Related papers: Consistent Risk Estimation in Moderately High-Dime…
This article studies the achievable guarantees on the error rates of certain learning algorithms, with particular focus on refining logarithmic factors. Many of the results are based on a general technique for obtaining bounds on the error…
Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem…
Predictive modelling of multivariate data where both the covariates and responses are high-dimensional is becoming an increasingly popular task in many data mining applications. Partial Least Squares (PLS) regression often turns out to be a…
The problem of sampling according to the probability distribution minimizing a given free energy, using interacting particles unadjusted kinetic Langevin Monte Carlo, is addressed. In this setting, three sources of error arise, related to…
Although there exist plentiful theories of empirical risk minimization (ERM) for supervised learning, current theoretical understandings of ERM for a related problem---stochastic convex optimization (SCO), are limited. In this work, we…
We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study in Kr\"atschmer (2023). Central Limit Theorem type results are derived for the optimal value. As a…
Many physical systems have underlying safety considerations that require that the policy employed ensures the satisfaction of a set of constraints. The analytical formulation usually takes the form of a Constrained Markov Decision Process…
We study the fundamental problem of high-dimensional mean estimation in a robust model where a constant fraction of the samples are adversarially corrupted. Recent work gave the first polynomial time algorithms for this problem with…
Partial multi-label learning and complementary multi-label learning are two popular weakly supervised multi-label classification paradigms that aim to alleviate the high annotation costs of collecting precisely annotated multi-label data.…
In safety-critical decision-making, the environment may evolve over time, and the learner adjusts its risk level accordingly. This work investigates risk-averse online optimization in dynamic environments with varying risk levels, employing…
A framework is introduced for actively and adaptively solving a sequence of machine learning problems, which are changing in bounded manner from one time step to the next. An algorithm is developed that actively queries the labels of the…
The problem of robust mean estimation in high dimensions is studied, in which a certain fraction (less than half) of the datapoints can be arbitrarily corrupted. Motivated by compressive sensing, the robust mean estimation problem is…
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…
We study risk-sensitive reinforcement learning (RL), a crucial field due to its ability to enhance decision-making in scenarios where it is essential to manage uncertainty and minimize potential adverse outcomes. Particularly, our work…
Evaluating the predictive performance of a statistical model is commonly done using cross-validation. Among the various methods, leave-one-out cross-validation (LOOCV) is frequently used. Originally designed for exchangeable observations,…
High-dimensional data is common in multiple areas, such as health care and genomics, where the number of features can be tens of thousands. In such scenarios, the large number of features often leads to inefficient learning. Constraint…
We investigate approximation guarantees provided by logistic regression for the fundamental problem of agnostic learning of homogeneous halfspaces. Previously, for a certain broad class of "well-behaved" distributions on the examples,…
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…
Risk assessment of a robot in controlled environments, such as laboratories and proving grounds, is a common means to assess, certify, validate, verify, and characterize the robots' safety performance before, during, and even after their…
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects…