Related papers: Surrogate Regret Bounds for Polyhedral Losses

In this paper we refine the process of computing calibration functions for a number of multiclass classification surrogate losses. Calibration functions are a powerful tool for easily converting bounds for the surrogate risk (which can be…

Decision-focused learning (DFL) trains a machine learning (ML) model to predict parameters of an optimization problem, to directly minimize decision regret, i.e., maximize decision quality. Gradient-based DFL requires computing the…

Online learning methods yield sequential regret bounds under minimal assumptions and provide in-expectation risk bounds for statistical learning. However, despite the apparent advantage of online guarantees over their statistical…

Swap regret is a notion that has proven itself to be central to the study of general-sum normal-form games, with swap-regret minimization leading to convergence to the set of correlated equilibria and guaranteeing non-manipulability against…

Online structured prediction is a task of sequentially predicting outputs with complex structures based on inputs and past observations, encompassing online classification. Recent studies showed that in the full-information setting, we can…

Surrogate models are used to alleviate the computational burden in engineering tasks, which require the repeated evaluation of computationally demanding models of physical systems, such as the efficient propagation of uncertainties. For…

We introduce a new surrogate loss function called orbit loss in the structured prediction framework, which has good theoretical and practical advantages. While the orbit loss is not convex, it has a simple analytical gradient and a simple…

Area under ROC (AUC) is an important metric for binary classification and bipartite ranking problems. However, it is difficult to directly optimizing AUC as a learning objective, so most existing algorithms are based on optimizing a…

We consider adaptive control of the Linear Quadratic Regulator (LQR), where an unknown linear system is controlled subject to quadratic costs. Leveraging recent developments in the estimation of linear systems and in robust controller…

We propose a framework which generalizes "decision making with structured observations" by allowing robust (i.e. multivalued) models. In this framework, each model associates each decision with a convex set of probability distributions over…

The minimization of loss functions is the heart and soul of Machine Learning. In this paper, we propose an off-the-shelf optimization approach that can minimize virtually any non-differentiable and non-decomposable loss function (e.g.…

Many real-world decision problems require solving, again and again, combinatorial optimization instances drawn from a common distribution. A recent line of structured learning methods exploits this regularity by learning policies that pair…

An abundance of recent impossibility results establish that regret minimization in Markov games with adversarial opponents is both statistically and computationally intractable. Nevertheless, none of these results preclude the possibility…

Bayesian inverse modeling is important for a better understanding of hydrological processes. However, this approach can be computationally demanding, as it usually requires a large number of model evaluations. To address this issue, one can…

Scalarization is a general, parallizable technique that can be deployed in any multiobjective setting to reduce multiple objectives into one, yet some have dismissed this versatile approach because linear scalarizations cannot explore…

Bayesian optimization (BO) with Gaussian process (GP) surrogate models is a powerful black-box optimization method. Acquisition functions are a critical part of a BO algorithm as they determine how the new samples are selected. Some of the…

When minimizing the empirical risk in binary classification, it is a common practice to replace the zero-one loss with a surrogate loss to make the learning objective feasible to optimize. Examples of well-known surrogate losses for binary…

For decision making under uncertainty, min-max regret has been established as a popular methodology to find robust solutions. In this approach, we compare the performance of our solution against the best possible performance had we known…

Bayesian regression determines model parameters by minimizing the expected loss, an upper bound to the true generalization error. However, the loss ignores misspecification, where models are imperfect. Parameter uncertainties from Bayesian…

We study the repeated optimal stopping problem, in which the same optimal stopping instance with an unknown distribution is solved repeatedly over $T$ rounds. We aim to simultaneously achieve strong per-round performance guarantees relative…