pwc-archive/papers-with-abstracts huggingface dataset:
Covariate-Balancing-Aware Interpretable Deep Learning models for Treatment Effect Estimation
Authors: Kan Chen, Qishuo Yin, Qi Long
Date: 2022-03-07 00:00:00
Tasks: Additive models, Causal Inference

Estimating treatment effects is of great importance for many biomedical applications with observational data. Particularly, interpretability of the treatment effects is preferable for many biomedical researchers. In this paper, we first provide a theoretical analysis and derive an upper bound for the bias of average treatment effect (ATE) estimation under the strong ignorability assumption. Derived by leveraging appealing properties of the Weighted Energy Distance, our upper bound is tighter than what has been reported in the literature. Motivated by the theoretical analysis, we propose a novel objective function for estimating the ATE that uses the energy distance balancing score and hence does not require correct specification of the propensity score model. We also leverage recently developed neural additive models to improve interpretability of deep learning models used for potential outcome prediction. We further enhance our proposed model with an energy distance balancing score weighted regularization. The superiority of our proposed model over current state-of-the-art methods is demonstrated in semi-synthetic experiments using two benchmark datasets, namely, IHDP and ACIC.
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
Authors: Ariel Neufeld, Julian Sester, Daiying Yin
Date: 2022-03-07 00:00:00

We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading under model ambiguity. The presented novel methodology allows to consider a large amount of underlying securities simultaneously and does not depend on the identification of cointegrated pairs of assets, hence it is applicable on high-dimensional financial markets or in markets where classical pairs trading approaches fail. Moreover, we provide a method to build an ambiguity set of admissible probability measures that can be derived from observed market data. Thus, the approach can be considered as being model-free and entirely data-driven. We showcase the applicability of our method by providing empirical investigations with highly profitable trading performances even in 50 dimensions, during financial crises, and when the cointegration relationship between asset pairs stops to persist.
Risk Bounds of Multi-Pass SGD for Least Squares in the Interpolation Regime
Authors: Difan Zou, Jingfeng Wu, Vladimir Braverman, Quanquan Gu, Sham M. Kakade
Date: 2022-03-07 00:00:00

Stochastic gradient descent (SGD) has achieved great success due to its superior performance in both optimization and generalization. Most of existing generalization analyses are made for single-pass SGD, which is a less practical variant compared to the commonly-used multi-pass SGD. Besides, theoretical analyses for multi-pass SGD often concern a worst-case instance in a class of problems, which may be pessimistic to explain the superior generalization ability for some particular problem instance. The goal of this paper is to sharply characterize the generalization of multi-pass SGD, by developing an instance-dependent excess risk bound for least squares in the interpolation regime, which is expressed as a function of the iteration number, stepsize, and data covariance. We show that the excess risk of SGD can be exactly decomposed into the excess risk of GD and a positive fluctuation error, suggesting that SGD always performs worse, instance-wisely, than GD, in generalization. On the other hand, we show that although SGD needs more iterations than GD to achieve the same level of excess risk, it saves the number of stochastic gradient evaluations, and therefore is preferable in terms of computational time.
Kernel Packet: An Exact and Scalable Algorithm for Gaussian Process Regression with Matérn Correlations
Authors: HaoYuan Chen, Liang Ding, Rui Tuo
Date: 2022-03-07 00:00:00
Tasks: regression

We develop an exact and scalable algorithm for one-dimensional Gaussian process regression with Mat\'ern correlations whose smoothness parameter $\nu$ is a half-integer. The proposed algorithm only requires $\mathcal{O}(\nu^3 n)$ operations and $\mathcal{O}(\nu n)$ storage. This leads to a linear-cost solver since $\nu$ is chosen to be fixed and usually very small in most applications. The proposed method can be applied to multi-dimensional problems if a full grid or a sparse grid design is used. The proposed method is based on a novel theory for Mat\'ern correlation functions. We find that a suitable rearrangement of these correlation functions can produce a compactly supported function, called a "kernel packet". Using a set of kernel packets as basis functions leads to a sparse representation of the covariance matrix that results in the proposed algorithm. Simulation studies show that the proposed algorithm, when applicable, is significantly superior to the existing alternatives in both the computational time and predictive accuracy.
Matrix Decomposition Perspective for Accuracy Assessment of Item Response Theory
Authors: Hideo Hirose
Date: 2022-03-07 00:00:00

The item response theory obtains the estimates and their confidence intervals for parameters of abilities of examinees and difficulties of problems by using the observed item response matrix consisting of 0/1 value elements. Many papers discuss the performance of the estimates. However, this paper does not. Using the maximum likelihood estimates, we can reconstruct the estimated item response matrix. Then we can assess the accuracy of this reconstructed matrix to the observed response matrix from the matrix decomposition perspective. That is, this paper focuses on the performance of the reconstructed response matrix. To compare the performance of the item response theory with others, we provided the two kinds of low rank response matrix by approximating the observed response matrix; one is the matrix via the singular value decomposition method when the response matrix is a complete matrix, and the other is the matrix via the matrix decomposition method when the response matrix is an incomplete matrix. We have, firstly, found that the performance of the singular value decomposition method and the matrix decomposition method is almost the same when the response matrix is a complete matrix. Here, the performance is measured by the closeness between the two matrices using the root mean squared errors and the accuracy. Secondary, we have seen that the closeness of the reconstructed matrix obtained from the item response theory to the observed matrix is located between the two approximated low rank response matrices obtained from the matrix decomposition method of k= and k=2 to the observed matrix, where k indicates the first k columns use in the decomposed matrices.
Cascaded Gaps: Towards Gap-Dependent Regret for Risk-Sensitive Reinforcement Learning
Authors: Yingjie Fei, Ruitu Xu
Date: 2022-03-07 00:00:00
Tasks: reinforcement-learning, Reinforcement Learning (RL)

In this paper, we study gap-dependent regret guarantees for risk-sensitive reinforcement learning based on the entropic risk measure. We propose a novel definition of sub-optimality gaps, which we call cascaded gaps, and we discuss their key components that adapt to the underlying structures of the problem. Based on the cascaded gaps, we derive non-asymptotic and logarithmic regret bounds for two model-free algorithms under episodic Markov decision processes. We show that, in appropriate settings, these bounds feature exponential improvement over existing ones that are independent of gaps. We also prove gap-dependent lower bounds, which certify the near optimality of the upper bounds.
Combining Individual and Joint Networking Behavior for Intelligent IoT Analytics
Authors: Jeya Vikranth Jeyakumar, Ludmila Cherkasova, Saina Lajevardi, Moray Allan, Yue Zhao, John Fry, Mani Srivastava
Date: 2022-03-07 00:00:00
Tasks: Demand Forecasting, Management

The IoT vision of a trillion connected devices over the next decade requires reliable end-to-end connectivity and automated device management platforms. While we have seen successful efforts for maintaining small IoT testbeds, there are multiple challenges for the efficient management of large-scale device deployments. With Industrial IoT, incorporating millions of devices, traditional management methods do not scale well. In this work, we address these challenges by designing a set of novel machine learning techniques, which form a foundation of a new tool, it IoTelligent, for IoT device management, using traffic characteristics obtained at the network level. The design of our tool is driven by the analysis of 1-year long networking data, collected from 350 companies with IoT deployments. The exploratory analysis of this data reveals that IoT environments follow the famous Pareto principle, such as: (i) 10% of the companies in the dataset contribute to 90% of the entire traffic; (ii) 7% of all the companies in the set own 90% of all the devices. We designed and evaluated CNN, LSTM, and Convolutional LSTM models for demand forecasting, with a conclusion of the Convolutional LSTM model being the best. However, maintaining and updating individual company models is expensive. In this work, we design a novel, scalable approach, where a general demand forecasting model is built using the combined data of all the companies with a normalization factor. Moreover, we introduce a novel technique for device management, based on autoencoders. They automatically extract relevant device features to identify device groups with similar behavior to flag anomalous devices.
Prediction of transport property via machine learning molecular movements
Authors: Ikki Yasuda, Yusei Kobayashi, Katsuhiro Endo, Yoshihiro Hayakawa, Kazuhiko Fujiwara, Kuniaki Yajima, Noriyoshi Arai, Kenji Yasuoka
Date: 2022-03-07 00:00:00
Tasks: BIG-bench Machine Learning, Prediction

Molecular dynamics (MD) simulations are increasingly being combined with machine learning (ML) to predict material properties. The molecular configurations obtained from MD are represented by multiple features, such as thermodynamic properties, and are used as the ML input. However, to accurately find the input--output patterns, ML requires a sufficiently sized dataset that depends on the complexity of the ML model. Generating such a large dataset from MD simulations is not ideal because of their high computation cost. In this study, we present a simple supervised ML method to predict the transport properties of materials. To simplify the model, an unsupervised ML method obtains an efficient representation of molecular movements. This method was applied to predict the viscosity of lubricant molecules in confinement with shear flow. Furthermore, simplicity facilitates the interpretation of the model to understand the molecular mechanics of viscosity. We revealed two types of molecular mechanisms that contribute to low viscosity.
HintNet: Hierarchical Knowledge Transfer Networks for Traffic Accident Forecasting on Heterogeneous Spatio-Temporal Data
Authors: Bang An, Amin Vahedian, Xun Zhou, W. Nick Street, Yanhua Li
Date: 2022-03-07 00:00:00
Tasks: Management, Transfer Learning

Traffic accident forecasting is a significant problem for transportation management and public safety. However, this problem is challenging due to the spatial heterogeneity of the environment and the sparsity of accidents in space and time. The occurrence of traffic accidents is affected by complex dependencies among spatial and temporal features. Recent traffic accident prediction methods have attempted to use deep learning models to improve accuracy. However, most of these methods either focus on small-scale and homogeneous areas such as populous cities or simply use sliding-window-based ensemble methods, which are inadequate to handle heterogeneity in large regions. To address these limitations, this paper proposes a novel Hierarchical Knowledge Transfer Network (HintNet) model to better capture irregular heterogeneity patterns. HintNet performs a multi-level spatial partitioning to separate sub-regions with different risks and learns a deep network model for each level using spatio-temporal and graph convolutions. Through knowledge transfer across levels, HintNet archives both higher accuracy and higher training efficiency. Extensive experiments on a real-world accident dataset from the state of Iowa demonstrate that HintNet outperforms the state-of-the-art methods on spatially heterogeneous and large-scale areas.
Singular Value Perturbation and Deep Network Optimization
Authors: Rudolf H. Riedi, Randall Balestriero, Richard G. Baraniuk
Date: 2022-03-07 00:00:00

We develop new theoretical results on matrix perturbation to shed light on the impact of architecture on the performance of a deep network. In particular, we explain analytically what deep learning practitioners have long observed empirically: the parameters of some deep architectures (e.g., residual networks, ResNets, and Dense networks, DenseNets) are easier to optimize than others (e.g., convolutional networks, ConvNets). Building on our earlier work connecting deep networks with continuous piecewise-affine splines, we develop an exact local linear representation of a deep network layer for a family of modern deep networks that includes ConvNets at one end of a spectrum and ResNets, DenseNets, and other networks with skip connections at the other. For regression and classification tasks that optimize the squared-error loss, we show that the optimization loss surface of a modern deep network is piecewise quadratic in the parameters, with local shape governed by the singular values of a matrix that is a function of the local linear representation. We develop new perturbation results for how the singular values of matrices of this sort behave as we add a fraction of the identity and multiply by certain diagonal matrices. A direct application of our perturbation results explains analytically why a network with skip connections (such as a ResNet or DenseNet) is easier to optimize than a ConvNet: thanks to its more stable singular values and smaller condition number, the local loss surface of such a network is less erratic, less eccentric, and features local minima that are more accommodating to gradient-based optimization. Our results also shed new light on the impact of different nonlinear activation functions on a deep network's singular values, regardless of its architecture.
SurvSet: An open-source time-to-event dataset repository
Authors: Erik Drysdale
Date: 2022-03-07 00:00:00
Tasks: Benchmarking

Time-to-event (T2E) analysis is a branch of statistics that models the duration of time it takes for an event to occur. Such events can include outcomes like death, unemployment, or product failure. Most modern machine learning (ML) algorithms, like decision trees and kernel methods, are supported for T2E modelling with data science software (python and R). To complement these developments, SurvSet is the first open-source T2E dataset repository designed for a rapid benchmarking of ML algorithms and statistical methods. The data in SurvSet have been consistently formatted so that a single preprocessing method will work for all datasets. SurvSet currently has 76 datasets which vary in dimensionality, time dependency, and background (the majority of which come from biomedicine). SurvSet is available on PyPI and can be installed with pip install SurvSet. R users can download the data directly from the corresponding git repository.
Scalable Uncertainty Quantification for Deep Operator Networks using Randomized Priors
Authors: Yibo Yang, Georgios Kissas, Paris Perdikaris
Date: 2022-03-06 00:00:00
Tasks: Uncertainty Quantification

We present a simple and effective approach for posterior uncertainty quantification in deep operator networks (DeepONets); an emerging paradigm for supervised learning in function spaces. We adopt a frequentist approach based on randomized prior ensembles, and put forth an efficient vectorized implementation for fast parallel inference on accelerated hardware. Through a collection of representative examples in computational mechanics and climate modeling, we show that the merits of the proposed approach are fourfold. (1) It can provide more robust and accurate predictions when compared against deterministic DeepONets. (2) It shows great capability in providing reliable uncertainty estimates on scarce data-sets with multi-scale function pairs. (3) It can effectively detect out-of-distribution and adversarial examples. (4) It can seamlessly quantify uncertainty due to model bias, as well as noise corruption in the data. Finally, we provide an optimized JAX library called {\em UQDeepONet} that can accommodate large model architectures, large ensemble sizes, as well as large data-sets with excellent parallel performance on accelerated hardware, thereby enabling uncertainty quantification for DeepONets in realistic large-scale applications.
Frames for Graph Signals on the Symmetric Group: A Representation Theoretic Approach
Authors: Kathryn Beck, Mahya Ghandehari
Date: 2022-03-06 00:00:00

An important problem in the field of graph signal processing is developing appropriate overcomplete dictionaries for signals defined on different families of graphs. The Cayley graph of the symmetric group has natural applications in ranked data analysis, as its vertices represent permutations, while the generating set formalizes a notion of distance between rankings. Taking advantage of the rich theory of representations of the symmetric group, we study a particular class of frames, called Frobenius-Schur frames, where every atom belongs to the coefficient space of only one irreducible representation of the symmetric group. We provide a characterization for all Frobenius-Schur frames on the group algebra of the symmetric group which are "compatible" with respect to the generating set. Such frames have been previously studied for the permutahedron, the Cayley graph of the symmetric group with the generating set of adjacent transpositions, and have proved to be capable of producing meaningful interpretation of the ranked data set via the analysis coefficients. Our results generalize frame constructions for the permutahedron to any inverse-closed generating set.
A Unified View of SDP-based Neural Network Verification through Completely Positive Programming
Authors: Robin Brown, Edward Schmerling, Navid Azizan, Marco Pavone
Date: 2022-03-06 00:00:00

Verifying that input-output relationships of a neural network conform to prescribed operational specifications is a key enabler towards deploying these networks in safety-critical applications. Semidefinite programming (SDP)-based approaches to Rectified Linear Unit (ReLU) network verification transcribe this problem into an optimization problem, where the accuracy of any such formulation reflects the level of fidelity in how the neural network computation is represented, as well as the relaxations of intractable constraints. While the literature contains much progress on improving the tightness of SDP formulations while maintaining tractability, comparatively little work has been devoted to the other extreme, i.e., how to most accurately capture the original verification problem before SDP relaxation. In this work, we develop an exact, convex formulation of verification as a completely positive program (CPP), and provide analysis showing that our formulation is minimal -- the removal of any constraint fundamentally misrepresents the neural network computation. We leverage our formulation to provide a unifying view of existing approaches, and give insight into the source of large relaxation gaps observed in some cases.
Hierarchically Structured Scheduling and Execution of Tasks in a Multi-Agent Environment
Authors: Diogo S. Carvalho, Biswa Sengupta
Date: 2022-03-06 00:00:00
Tasks: Deep Reinforcement Learning, Management, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL), Scheduling

In a warehouse environment, tasks appear dynamically. Consequently, a task management system that matches them with the workforce too early (e.g., weeks in advance) is necessarily sub-optimal. Also, the rapidly increasing size of the action space of such a system consists of a significant problem for traditional schedulers. Reinforcement learning, however, is suited to deal with issues requiring making sequential decisions towards a long-term, often remote, goal. In this work, we set ourselves on a problem that presents itself with a hierarchical structure: the task-scheduling, by a centralised agent, in a dynamic warehouse multi-agent environment and the execution of one such schedule, by decentralised agents with only partial observability thereof. We propose to use deep reinforcement learning to solve both the high-level scheduling problem and the low-level multi-agent problem of schedule execution. Finally, we also conceive the case where centralisation is impossible at test time and workers must learn how to cooperate in executing the tasks in an environment with no schedule and only partial observability.
Coresets for Data Discretization and Sine Wave Fitting
Authors: Alaa Maalouf, Murad Tukan, Eric Price, Daniel Kane, Dan Feldman
Date: 2022-03-06 00:00:00
Tasks: Anomaly Detection

In the \emph{monitoring} problem, the input is an unbounded stream $P={p_1,p_2\cdots}$ of integers in $[N]:=\{1,\cdots,N\}$, that are obtained from a sensor (such as GPS or heart beats of a human). The goal (e.g., for anomaly detection) is to approximate the $n$ points received so far in $P$ by a single frequency $\sin$, e.g. $\min_{c\in C}cost(P,c)+\lambda(c)$, where $cost(P,c)=\sum_{i=1}^n \sin^2(\frac{2\pi}{N} p_ic)$, $C\subseteq [N]$ is a feasible set of solutions, and $\lambda$ is a given regularization function. For any approximation error $\varepsilon>0$, we prove that \emph{every} set $P$ of $n$ integers has a weighted subset $S\subseteq P$ (sometimes called core-set) of cardinality $|S|\in O(\log(N)^{O(1)})$ that approximates $cost(P,c)$ (for every $c\in [N]$) up to a multiplicative factor of $1\pm\varepsilon$. Using known coreset techniques, this implies streaming algorithms using only $O((\log(N)\log(n))^{O(1)})$ memory. Our results hold for a large family of functions. Experimental results and open source code are provided.
Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer Credit
Authors: Raad Khraishi, Ramin Okhrati
Date: 2022-03-06 00:00:00
Tasks: Deep Reinforcement Learning, Q-Learning, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL)

We introduce a method for pricing consumer credit using recent advances in offline deep reinforcement learning. This approach relies on a static dataset and requires no assumptions on the functional form of demand. Using both real and synthetic data on consumer credit applications, we demonstrate that our approach using the conservative Q-Learning algorithm is capable of learning an effective personalized pricing policy without any online interaction or price experimentation.
Smoothing with the Best Rectangle Window is Optimal for All Tapered Rectangle Windows
Authors: Kaan Gokcesu, Hakan Gokcesu
Date: 2022-03-06 00:00:00
Tasks: All

We investigate the optimal selection of weight windows for the problem of weighted least squares. We show that weight windows should be symmetric around its center, which is also its peak. We consider the class of tapered rectangle window weights, which are nonincreasing away from the center. We show that the best rectangle window is optimal for such window definitions. We also extend our results to the least absolutes and more general case of arbitrary loss functions to find similar results.