相关论文: Empirical Risk Minimization for Losses without Var…

We consider the problem of choosing design parameters to minimize the probability of an undesired rare event that is described through the average of $n$ iid random variables. Since the probability of interest for near optimal design…

This paper introduces the partial Gini covariance, a novel dependence measure that addresses the challenges of high-dimensional inference with heavy-tailed errors, often encountered in fields like finance, insurance, climate, and biology.…

In this work we develop a new algorithm for regularized empirical risk minimization. Our method extends recent techniques of Shalev-Shwartz [02/2015], which enable a dual-free analysis of SDCA, to arbitrary mini-batching schemes. Moreover,…

This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statistical upper bounds are provided for the Kullback-Leiber…

We establish empirical risk minimization principles for active learning by deriving a family of upper bounds on the generalization error. Aligning with empirical observations, the bounds suggest that superior query algorithms can be…

The off-policy learning paradigm allows for recommender systems and general ranking applications to be framed as decision-making problems, where we aim to learn decision policies that optimize an unbiased offline estimate of an online…

We consider learning methods based on the regularization of a convex empirical risk by a squared Hilbertian norm, a setting that includes linear predictors and non-linear predictors through positive-definite kernels. In order to go beyond…

Bayesian inference for Continuous-Time Markov Chains (CTMCs) on countably infinite spaces is notoriously difficult because evaluating the likelihood exactly is intractable. One way to address this challenge is to first build a non-negative…

This paper proves, in very general settings, that convex risk minimization is a procedure to select a unique conditional probability model determined by the classification problem. Unlike most previous work, we give results that are general…

Conditional power calculations are frequently used to guide the decision whether or not to stop a trial for futility or to modify planned sample size. These ignore the information in short-term endpoints and baseline covariates, and thereby…

The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…

Empirical risk minimization (ERM) can be computationally expensive, with standard solvers scaling poorly even in the convex setting. We propose a novel lossless compression framework for convex ERM based on color refinement, extending prior…

We develop new methods to integrate experimental and observational data in causal inference. While randomized controlled trials offer strong internal validity, they are often costly and therefore limited in sample size. Observational data,…

Empirical risk minimization (ERM) is typically designed to perform well on the average loss, which can result in estimators that are sensitive to outliers, generalize poorly, or treat subgroups unfairly. While many methods aim to address…

Stochastic approximation methods play a central role in maximum likelihood estimation problems involving intractable likelihood functions, such as marginal likelihoods arising in problems with missing or incomplete data, and in parametric…

We develop a family of accelerated stochastic algorithms that minimize sums of convex functions. Our algorithms improve upon the fastest running time for empirical risk minimization (ERM), and in particular linear least-squares regression,…

A dynamical model consists of a continuous self-map $T: \mathcal{X} \to \mathcal{X}$ of a compact state space $\mathcal{X}$ and a continuous observation function $f: \mathcal{X} \to \mathbb{R}$. This paper considers the fitting of a…

We consider the classic supervised learning problem, where a continuous non-negative random label $Y$ (i.e. a random duration) is to be predicted based upon observing a random vector $X$ valued in $\mathbb{R}^d$ with $d\geq 1$ by means of a…

We consider large scale empirical risk minimization (ERM) problems, where both the problem dimension and variable size is large. In these cases, most second order methods are infeasible due to the high cost in both computing the Hessian…

We consider the problem of model selection type aggregation in the context of density estimation. We first show that empirical risk minimization is sub-optimal for this problem and it shares this property with the exponential weights…