Related papers: Generalization bounds for mixing processes via del…
When dealing with time series with complex non-stationarities, low retrospective regret on individual realizations is a more appropriate goal than low prospective risk in expectation. Online learning algorithms provide powerful guarantees…
While statistics and machine learning offers numerous methods for ensuring generalization, these methods often fail in the presence of adaptivity---the common practice in which the choice of analysis depends on previous interactions with…
In this paper, we study the problem of learning Kalman filtering with unknown system model in partially observed linear dynamical systems. We propose a unified algorithmic framework based on online optimization that can be used to solve…
We investigate the in-distribution generalization of machine learning algorithms. We depart from traditional complexity-based approaches by analyzing information-theoretic bounds that quantify the dependence between a learning algorithm and…
We consider online learning for minimizing regret in unknown, episodic Markov decision processes (MDPs) with continuous states and actions. We develop variants of the UCRL and posterior sampling algorithms that employ nonparametric Gaussian…
Inverse optimization is a powerful paradigm for learning preferences and restrictions that explain the behavior of a decision maker, based on a set of external signal and the corresponding decision pairs. However, most inverse optimization…
This paper addresses the estimation of a time- varying parameter in a network. A group of agents sequentially receive noisy signals about the parameter (or moving target), which does not follow any particular dynamics. The parameter is not…
In this paper we study the problem of convergence and generalization error bound of stochastic momentum for deep learning from the perspective of regularization. To do so, we first interpret momentum as solving an $\ell_2$-regularized…
We consider the problem of transfer learning in an online setting. Different tasks are presented sequentially and processed by a within-task algorithm. We propose a lifelong learning strategy which refines the underlying data representation…
We study the decentralized online regularized linear regression algorithm over random time-varying graphs. At each time step, every node runs an online estimation algorithm consisting of an innovation term processing its own new…
PAC-Bayesian is an analysis framework where the training error can be expressed as the weighted average of the hypotheses in the posterior distribution whilst incorporating the prior knowledge. In addition to being a pure generalization…
We present a new PAC-Bayesian generalization bound. Standard bounds contain a $\sqrt{L_n \cdot \KL/n}$ complexity term which dominates unless $L_n$, the empirical error of the learning algorithm's randomized predictions, vanishes. We manage…
In this paper, the method of gaps, a technique for deriving closed-form expressions in terms of information measures for the generalization error of supervised machine learning algorithms is introduced. The method relies on the notion of…
We analyze and evaluate an online gradient descent algorithm with adaptive per-coordinate adjustment of learning rates. Our algorithm can be thought of as an online version of batch gradient descent with a diagonal preconditioner. This…
We study continuous-time online learning where data are generated by a diffusion process with unknown coefficients. The learner employs a two-layer neural network, continuously updating its parameters in a non-anticipative manner. The…
We present a general approach, based on exponential inequalities, to derive bounds on the generalization error of randomized learning algorithms. Using this approach, we provide bounds on the average generalization error as well as bounds…
We study learning algorithms when there is a mismatch between the distributions of the training and test datasets of a learning algorithm. The effect of this mismatch on the generalization error and model misspecification are quantified.…
We study the problem of expert advice under partial bandit feedback setting and create a sequential minimax optimal algorithm. Our algorithm works with a more general partial monitoring setting, where, in contrast to the classical bandit…
We explore in some detail the notion of algorithmic stability as a viable framework for analyzing the generalization error of learning algorithms. We introduce the new notion of training stability of a learning algorithm and show that, in a…
Decentralized Online Learning (online learning in decentralized networks) attracts more and more attention, since it is believed that Decentralized Online Learning can help the data providers cooperatively better solve their online problems…