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We consider the problem of adaptive estimation of the regression function in a framework where we replace ergodicity assumptions (such as independence or mixing) by another structural assumption on the model. Namely, we propose adaptive…
Regression adjustments are often made to experimental data. Since randomization does not justify the models, bias is likely; nor are the usual variance calculations to be trusted. Here, we evaluate regression adjustments using Neyman's…
While the importance of personalized policymaking is widely recognized, fully personalized implementation remains rare in practice, often due to legal, fairness or cost concerns. We study the problem of policy targeting for a regret-averse…
Route alignment design in surveying and transportation engineering frequently involves fixed waypoint constraints, where a path must precisely traverse specific coordinates. While existing literature primarily relies on geometric…
Estimating individualized treatment rules (ITRs) is fundamental to precision medicine, where the goal is to tailor treatment decisions to individual patient characteristics. While numerous methods have been developed for ITR estimation,…
This work extends Roberts et al. (1997) by considering limits of Random Walk Metropolis (RWM) applied to block IID target distributions, with corresponding block-independent proposals. The extension verifies the robustness of the optimal…
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator…
Selective classification enhances the reliability of predictive models by allowing them to abstain from making uncertain predictions. In this work, we revisit the design of optimal selection functions through the lens of the Neyman--Pearson…
Propensity score matching (PSM) and augmented inverse propensity weighting (AIPW) are widely used in observational studies to estimate causal effects. The two approaches present complementary features. The AIPW estimator is doubly robust…
A theory of superefficiency and adaptation is developed under flexible performance measures which give a multiresolution view of risk and bridge the gap between pointwise and global estimation. This theory provides a useful benchmark for…
We consider online forecasting problems for non-convex machine learning models. Forecasting introduces several challenges such as (i) frequent updates are necessary to deal with concept drift issues since the dynamics of the environment…
Transfer learning for nonparametric regression is considered. We first study the non-asymptotic minimax risk for this problem and develop a novel estimator called the confidence thresholding estimator, which is shown to achieve the minimax…
Estimation of the average treatment effect (ATE) is a central problem in causal inference. In recent times, inference for the ATE in the presence of high-dimensional covariates has been extensively studied. Among the diverse approaches that…
In this paper we initiate a study of non parametric contextual bandits under shape constraints on the mean reward function. Specifically, we study a setting where the context is one dimensional, and the mean reward function is isotonic with…
We tackle the problem of Non-stochastic Control (NSC) with the aim of obtaining algorithms whose policy regret is proportional to the difficulty of the controlled environment. Namely, we tailor the Follow The Regularized Leader (FTRL)…
To deal with changing environments, a new performance measure -- adaptive regret, defined as the maximum static regret over any interval, was proposed in online learning. Under the setting of online convex optimization, several algorithms…
We study the regret performance of Sample Average Approximation (SAA) for data-driven newsvendor problems with general convex inventory costs. In literature, the optimality of SAA has not been fully established under both \alpha-global…
Under the Neyman causal model, it is well-known that OLS with treatment-by-covariate interactions cannot harm asymptotic precision of estimated treatment effects in completely randomized experiments. But do such guarantees extend to…
The Adversarial Markov Decision Process (AMDP) is a learning framework that deals with unknown and varying tasks in decision-making applications like robotics and recommendation systems. A major limitation of the AMDP formalism, however, is…
We consider a class of finite-horizon, linear-quadratic stochastic control problems, where the probability distribution governing the noise process is unknown but assumed to belong to an ambiguity set consisting of all distributions whose…