Related papers: Covariance Estimation and its Application in Large…
We introduce a new unsupervised learning problem: clustering wide-sense stationary ergodic stochastic processes. A covariance-based dissimilarity measure together with asymptotically consistent algorithms is designed for clustering offline…
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…
This work examines the optimal covariance steering problem for systems subject to unknown parameters that enter multiplicatively with the state and control, in addition to additive disturbances. In contrast to existing works, the unknown…
Online decision making plays a crucial role in numerous real-world applications. In many scenarios, the decision is made based on performing a sequence of tests on the incoming data points. However, performing all tests can be expensive and…
Online controlled experiments are a crucial tool to allow for confident decision-making in technology companies. A North Star metric is defined (such as long-term revenue or user retention), and system variants that statistically…
Covariance estimation for matrix-valued data has received an increasing interest in applications. Unlike previous works that rely heavily on matrix normal distribution assumption and the requirement of fixed matrix size, we propose a class…
Online field experiments are the gold-standard way of evaluating changes to real-world interactive machine learning systems. Yet our ability to explore complex, multi-dimensional policy spaces - such as those found in recommendation and…
Online evaluation of machine learning models is typically conducted through A/B experiments. Sequential statistical tests are valuable tools for analysing these experiments, as they enable researchers to stop data collection early without…
Assessing uncertainty is an important step towards ensuring the safety and reliability of machine learning systems. Existing uncertainty estimation techniques may fail when their modeling assumptions are not met, e.g. when the data…
We develop an online learning method for prediction, which is important in problems with large and/or streaming data sets. We formulate the learning approach using a covariance-fitting methodology, and show that the resulting predictor has…
In randomized clinical trials, adjustments for baseline covariates at both design and analysis stages are highly encouraged by regulatory agencies. A recent trend is to use a model-assisted approach for covariate adjustment to gain…
Cost-Sensitive Online Classification has drawn extensive attention in recent years, where the main approach is to directly online optimize two well-known cost-sensitive metrics: (i) weighted sum of sensitivity and specificity; (ii) weighted…
Though competitive analysis has been a very useful performance measure for the quality of online algorithms, it is recognized that it sometimes fails to distinguish between algorithms of different quality in practice. A number of…
Technology firms conduct randomized controlled experiments ("A/B tests") to learn which actions to take to improve business outcomes. In firms with mature experimentation platforms, experimentation programs can consist of many thousands of…
A/B testing, or online experiment is a standard business strategy to compare a new product with an old one in pharmaceutical, technological, and traditional industries. Major challenges arise in online experiments of two-sided marketplace…
Quantum sensing exploits non-classical effects to overcome limitations of classical sensors, with applications ranging from gravitational-wave detection to nanoscale imaging. However, practical quantum sensors built on noisy…
This paper deals with the problem of estimating the covariance matrix of a series of independent multivariate observations, in the case where the dimension of each observation is of the same order as the number of observations. Although…
Online experimentation, also known as A/B testing, is the gold standard for measuring product impacts and making business decisions in the tech industry. The validity and utility of experiments, however, hinge on unbiasedness and sufficient…
We study ratio metrics in A/B testing at the presence of correlation among observations coming from the same user and provides practical guidance especially when two metrics contradict each other. We propose new estimating methods to…
Estimating parameters of quantum systems is usually done by performing a sequence of predetermined experiments and post-processing the resulting data. It is known that online design, where the choice of the next experiment is based on the…