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Uncertainty quantification has received increasing attention in machine learning in the recent past. In particular, a distinction between aleatoric and epistemic uncertainty has been found useful in this regard. The latter refers to the…
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…
In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…
Machine Learning permeates many industries, which brings new source of benefits for companies. However within the life insurance industry, Machine Learning is not widely used in practice as over the past years statistical models have shown…
This work addresses learning online fair division under uncertainty, where a central planner sequentially allocates items without precise knowledge of agents' values or utilities. Departing from conventional online algorithm, the planner…
The debate around the interpretability of attention mechanisms is centered on whether attention scores can be used as a proxy for the relative amounts of signal carried by sub-components of data. We propose to study the interpretability of…
Distribution inference, sometimes called property inference, infers statistical properties about a training set from access to a model trained on that data. Distribution inference attacks can pose serious risks when models are trained on…
Active inference is a state-of-the-art framework in neuroscience that offers a unified theory of brain function. It is also proposed as a framework for planning in AI. Unfortunately, the complex mathematics required to create new models --…
Work on persona-persistent post-mortem agents typically frames design around a life/death binary. This framing neglects a consequential yet under-theorised condition: when individuals remain alive but have impaired decisional capacity.…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
Researchers now routinely use AI or other machine learning methods to estimate latent variables of economic interest, then plug-in the estimates as covariates in a regression. We show both theoretically and empirically that naively treating…
Explainable AI (xAI) interventions aim to improve interpretability for complex black-box models, not only to improve user trust but also as a means to extract scientific insights from high-performing predictive systems. In molecular…
This paper introduces a principled approach for the design of a scalable general reinforcement learning agent. This approach is based on a direct approximation of AIXI, a Bayesian optimality notion for general reinforcement learning agents.…
Richard Cox [1] set the axiomatic foundations of probable inference and the algebra of propositions. He showed that consistency within these axioms requires certain rules for updating belief. In this paper we use the analogy between…
Given the joint chances of a pair of random variables one can compute quantities of interest, like the mutual information. The Bayesian treatment of unknown chances involves computing, from a second order prior distribution and the data…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
Machine learning based decision making systems applied in safety critical areas require reliable high certainty predictions. For this purpose, the system can be extended by an reject option which allows the system to reject inputs where…
As the information available to lay users through autonomous data sources continues to increase, mediators become important to ensure that the wealth of information available is tapped effectively. A key challenge that these information…
Associative memory and probabilistic modeling are two fundamental topics in artificial intelligence. The first studies recurrent neural networks designed to denoise, complete and retrieve data, whereas the second studies learning and…