pwc-archive/papers-with-abstracts huggingface dataset:
PsiPhi-Learning: Reinforcement Learning with Demonstrations using Successor Features and Inverse Temporal Difference Learning
Authors: Angelos Filos, Clare Lyle, Yarin Gal, Sergey Levine, Natasha Jaques, Gregory Farquhar
Date: 2021-02-24 00:00:00
Tasks: Autonomous Driving, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL)

We study reinforcement learning (RL) with no-reward demonstrations, a setting in which an RL agent has access to additional data from the interaction of other agents with the same environment. However, it has no access to the rewards or goals of these agents, and their objectives and levels of expertise may vary widely. These assumptions are common in multi-agent settings, such as autonomous driving. To effectively use this data, we turn to the framework of successor features. This allows us to disentangle shared features and dynamics of the environment from agent-specific rewards and policies. We propose a multi-task inverse reinforcement learning (IRL) algorithm, called \emph{inverse temporal difference learning} (ITD), that learns shared state features, alongside per-agent successor features and preference vectors, purely from demonstrations without reward labels. We further show how to seamlessly integrate ITD with learning from online environment interactions, arriving at a novel algorithm for reinforcement learning with demonstrations, called $\Psi \Phi$-learning (pronounced `Sci-Fi'). We provide empirical evidence for the effectiveness of $\Psi \Phi$-learning as a method for improving RL, IRL, imitation, and few-shot transfer, and derive worst-case bounds for its performance in zero-shot transfer to new tasks.
Sketching Curvature for Efficient Out-of-Distribution Detection for Deep Neural Networks
Authors: Apoorva Sharma, Navid Azizan, Marco Pavone
Date: 2021-02-24 00:00:00
Tasks: Decision Making, Out-of-Distribution Detection, Out of Distribution (OOD) Detection

In order to safely deploy Deep Neural Networks (DNNs) within the perception pipelines of real-time decision making systems, there is a need for safeguards that can detect out-of-training-distribution (OoD) inputs both efficiently and accurately. Building on recent work leveraging the local curvature of DNNs to reason about epistemic uncertainty, we propose Sketching Curvature of OoD Detection (SCOD), an architecture-agnostic framework for equipping any trained DNN with a task-relevant epistemic uncertainty estimate. Offline, given a trained model and its training data, SCOD employs tools from matrix sketching to tractably compute a low-rank approximation of the Fisher information matrix, which characterizes which directions in the weight space are most influential on the predictions over the training data. Online, we estimate uncertainty by measuring how much perturbations orthogonal to these directions can alter predictions at a new test input. We apply SCOD to pre-trained networks of varying architectures on several tasks, ranging from regression to classification. We demonstrate that SCOD achieves comparable or better OoD detection performance with lower computational burden relative to existing baselines.
Contrastive Pre-training for Imbalanced Corporate Credit Ratings
Authors: Bojing Feng, Wenfang Xue
Date: 2021-02-18 00:00:00
Tasks: Representation Learning

Corporate credit rating reflects the level of corporate credit and plays a crucial role in modern financial risk control. But real-world credit rating data usually shows long-tail distributions, which means heavy class imbalanced problem challenging the corporate credit rating system greatly. To tackle that, inspried by the recent advances of pre-train techniques in self-supervised representation learning, we propose a novel framework named Contrastive Pre-training for Corporate Credit Rating (CP4CCR), which utilizes the self-surpervision for getting over class imbalance. Specifically, we propose to, in the first phase, exert constrastive self-superivised pre-training without label information, which want to learn a better class-agnostic initialization. During this phase, two self-supervised task are developed within CP4CCR: (i) Feature Masking (FM) and (ii) Feature Swapping(FS). In the second phase, we can train any standard corporate redit rating model initialized by the pre-trained network. Extensive experiments conducted on the Chinese public-listed corporate rating dataset, prove that CP4CCR can improve the performance of standard corporate credit rating models, especially for class with few samples.
Disentangling brain heterogeneity via semi-supervised deep-learning and MRI: dimensional representations of Alzheimer's Disease
Authors: Zhijian Yang, Ilya M. Nasrallah, Haochang Shou, Junhao Wen, Jimit Doshi, Mohamad Habes, Guray Erus, Ahmed Abdulkadir, Susan M. Resnick, David Wolk, Christos Davatzikos
Date: 2021-02-24 00:00:00
Tasks: Anatomy, Clustering, Deep Clustering, Generative Adversarial Network, Prognosis

Heterogeneity of brain diseases is a challenge for precision diagnosis/prognosis. We describe and validate Smile-GAN (SeMI-supervised cLustEring-Generative Adversarial Network), a novel semi-supervised deep-clustering method, which dissects neuroanatomical heterogeneity, enabling identification of disease subtypes via their imaging signatures relative to controls. When applied to MRIs (2 studies; 2,832 participants; 8,146 scans) including cognitively normal individuals and those with cognitive impairment and dementia, Smile-GAN identified 4 neurodegenerative patterns/axes: P1, normal anatomy and highest cognitive performance; P2, mild/diffuse atrophy and more prominent executive dysfunction; P3, focal medial temporal atrophy and relatively greater memory impairment; P4, advanced neurodegeneration. Further application to longitudinal data revealed two distinct progression pathways: P1$\rightarrow$P2$\rightarrow$P4 and P1$\rightarrow$P3$\rightarrow$P4. Baseline expression of these patterns predicted the pathway and rate of future neurodegeneration. Pattern expression offered better yet complementary performance in predicting clinical progression, compared to amyloid/tau. These deep-learning derived biomarkers offer promise for precision diagnostics and targeted clinical trial recruitment.
Partially Hidden Markov Chain Linear Autoregressive model: inference and forecasting
Authors: Fatoumata Dama, Christine Sinoquet
Date: 2021-02-24 00:00:00
Tasks: Model Selection, Time Series, Time Series Analysis

Time series subject to change in regime have attracted much interest in domains such as econometry, finance or meteorology. For discrete-valued regimes, some models such as the popular Hidden Markov Chain (HMC) describe time series whose state process is unknown at all time-steps. Sometimes, time series are firstly labelled thanks to some annotation function. Thus, another category of models handles the case with regimes observed at all time-steps. We present a novel model which addresses the intermediate case: (i) state processes associated to such time series are modelled by Partially Hidden Markov Chains (PHMCs); (ii) a linear autoregressive (LAR) model drives the dynamics of the time series, within each regime. We describe a variant of the expection maximization (EM) algorithm devoted to PHMC-LAR model learning. We propose a hidden state inference procedure and a forecasting function that take into account the observed states when existing. We assess inference and prediction performances, and analyze EM convergence times for the new model, using simulated data. We show the benefits of using partially observed states to decrease EM convergence times. A fully labelled scheme with unreliable labels also speeds up EM. This offers promising prospects to enhance PHMC-LAR model selection. We also point out the robustness of PHMC-LAR to labelling errors in inference task, when large training datasets and moderate labelling error rates are considered. Finally, we highlight the remarkable robustness to error labelling in the prediction task, over the whole range of error rates.
Towards Safe Continuing Task Reinforcement Learning
Authors: Miguel Calvo-Fullana, Luiz F. O. Chamon, Santiago Paternain
Date: 2021-02-24 00:00:00
Tasks: reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL), Safe Exploration

Safety is a critical feature of controller design for physical systems. When designing control policies, several approaches to guarantee this aspect of autonomy have been proposed, such as robust controllers or control barrier functions. However, these solutions strongly rely on the model of the system being available to the designer. As a parallel development, reinforcement learning provides model-agnostic control solutions but in general, it lacks the theoretical guarantees required for safety. Recent advances show that under mild conditions, control policies can be learned via reinforcement learning, which can be guaranteed to be safe by imposing these requirements as constraints of an optimization problem. However, to transfer from learning safety to learning safely, there are two hurdles that need to be overcome: (i) it has to be possible to learn the policy without having to re-initialize the system; and (ii) the rollouts of the system need to be in themselves safe. In this paper, we tackle the first issue, proposing an algorithm capable of operating in the continuing task setting without the need of restarts. We evaluate our approach in a numerical example, which shows the capabilities of the proposed approach in learning safe policies via safe exploration.
A Stochastic Optimization Framework for Fair Risk Minimization
Authors: Andrew Lowy, Sina Baharlouei, Rakesh Pavan, Meisam Razaviyayn, Ahmad Beirami
Date: 2021-02-24 00:00:00
Proceeding: NeurIPS 2021 12
Tasks: Binary Classification, Fairness, Stochastic Optimization

Despite the success of large-scale empirical risk minimization (ERM) at achieving high accuracy across a variety of machine learning tasks, fair ERM is hindered by the incompatibility of fairness constraints with stochastic optimization. We consider the problem of fair classification with discrete sensitive attributes and potentially large models and data sets, requiring stochastic solvers. Existing in-processing fairness algorithms are either impractical in the large-scale setting because they require large batches of data at each iteration or they are not guaranteed to converge. In this paper, we develop the first stochastic in-processing fairness algorithm with guaranteed convergence. For demographic parity, equalized odds, and equal opportunity notions of fairness, we provide slight variations of our algorithm--called FERMI--and prove that each of these variations converges in stochastic optimization with any batch size. Empirically, we show that FERMI is amenable to stochastic solvers with multiple (non-binary) sensitive attributes and non-binary targets, performing well even with minibatch size as small as one. Extensive experiments show that FERMI achieves the most favorable tradeoffs between fairness violation and test accuracy across all tested setups compared with state-of-the-art baselines for demographic parity, equalized odds, equal opportunity. These benefits are especially significant with small batch sizes and for non-binary classification with large number of sensitive attributes, making FERMI a practical, scalable fairness algorithm. The code for all of the experiments in this paper is available at: https://github.com/optimization-for-data-driven-science/FERMI.
Directional Bias Amplification
Authors: Angelina Wang, Olga Russakovsky
Date: 2021-02-24 00:00:00
Tasks: Fairness

Mitigating bias in machine learning systems requires refining our understanding of bias propagation pathways: from societal structures to large-scale data to trained models to impact on society. In this work, we focus on one aspect of the problem, namely bias amplification: the tendency of models to amplify the biases present in the data they are trained on. A metric for measuring bias amplification was introduced in the seminal work by Zhao et al. (2017); however, as we demonstrate, this metric suffers from a number of shortcomings including conflating different types of bias amplification and failing to account for varying base rates of protected attributes. We introduce and analyze a new, decoupled metric for measuring bias amplification, $\text{BiasAmp}_{\rightarrow}$ (Directional Bias Amplification). We thoroughly analyze and discuss both the technical assumptions and normative implications of this metric. We provide suggestions about its measurement by cautioning against predicting sensitive attributes, encouraging the use of confidence intervals due to fluctuations in the fairness of models across runs, and discussing the limitations of what this metric captures. Throughout this paper, we work to provide an interrogative look at the technical measurement of bias amplification, guided by our normative ideas of what we want it to encompass. Code is located at https://github.com/princetonvisualai/directional-bias-amp
Constructing Evacuation Evolution Patterns and Decisions Using Mobile Device Location Data: A Case Study of Hurricane Irma
Authors: Aref Darzi, Vanessa Frias-Martinez, Sepehr Ghader, Hannah Younes, Lei Zhang
Date: 2021-02-24 00:00:00
Tasks: Decision Making

Understanding individuals' behavior during hurricane evacuation is of paramount importance for local, state, and government agencies hoping to be prepared for natural disasters. Complexities involved with human decision-making procedures and lack of data for such disasters are the main reasons that make hurricane evacuation studies challenging. In this paper, we utilized a large mobile phone Location-Based Services (LBS) data to construct the evacuation pattern during the landfall of Hurricane Irma. By employing our proposed framework on more than 11 billion mobile phone location sightings, we were able to capture the evacuation decision of 807,623 smartphone users who were living within the state of Florida. We studied users' evacuation decisions, departure and reentry date distribution, and destination choice. In addition to these decisions, we empirically examined the influence of evacuation order and low-lying residential areas on individuals' evacuation decisions. Our analysis revealed that 57.92% of people living in mandatory evacuation zones evacuated their residences while this ratio was 32.98% and 33.68% for people living in areas with no evacuation order and voluntary evacuation order, respectively. Moreover, our analysis revealed the importance of the individuals' mobility behavior in modeling the evacuation decision choice. Historical mobility behavior information such as number of trips taken by each individual and the spatial area covered by individuals' location trajectory estimated significant in our choice model and improve the overall accuracy of the model significantly.
Online Policy Gradient for Model Free Learning of Linear Quadratic Regulators with $\sqrt{T}$ Regret
Authors: Asaf Cassel, Tomer Koren
Date: 2021-02-25 00:00:00

We consider the task of learning to control a linear dynamical system under fixed quadratic costs, known as the Linear Quadratic Regulator (LQR) problem. While model-free approaches are often favorable in practice, thus far only model-based methods, which rely on costly system identification, have been shown to achieve regret that scales with the optimal dependence on the time horizon T. We present the first model-free algorithm that achieves similar regret guarantees. Our method relies on an efficient policy gradient scheme, and a novel and tighter analysis of the cost of exploration in policy space in this setting.
Improved Regret Bound and Experience Replay in Regularized Policy Iteration
Authors: Nevena Lazic, Dong Yin, Yasin Abbasi-Yadkori, Csaba Szepesvari
Date: 2021-02-25 00:00:00

In this work, we study algorithms for learning in infinite-horizon undiscounted Markov decision processes (MDPs) with function approximation. We first show that the regret analysis of the Politex algorithm (a version of regularized policy iteration) can be sharpened from $O(T^{3/4})$ to $O(\sqrt{T})$ under nearly identical assumptions, and instantiate the bound with linear function approximation. Our result provides the first high-probability $O(\sqrt{T})$ regret bound for a computationally efficient algorithm in this setting. The exact implementation of Politex with neural network function approximation is inefficient in terms of memory and computation. Since our analysis suggests that we need to approximate the average of the action-value functions of past policies well, we propose a simple efficient implementation where we train a single Q-function on a replay buffer with past data. We show that this often leads to superior performance over other implementation choices, especially in terms of wall-clock time. Our work also provides a novel theoretical justification for using experience replay within policy iteration algorithms.
Simultaneously Reconciled Quantile Forecasting of Hierarchically Related Time Series
Authors: Xing Han, Sambarta Dasgupta, Joydeep Ghosh
Date: 2021-02-25 00:00:00
Tasks: quantile regression, Time Series, Time Series Analysis

Many real-life applications involve simultaneously forecasting multiple time series that are hierarchically related via aggregation or disaggregation operations. For instance, commercial organizations often want to forecast inventories simultaneously at store, city, and state levels for resource planning purposes. In such applications, it is important that the forecasts, in addition to being reasonably accurate, are also consistent w.r.t one another. Although forecasting such hierarchical time series has been pursued by economists and data scientists, the current state-of-the-art models use strong assumptions, e.g., all forecasts being unbiased estimates, noise distribution being Gaussian. Besides, state-of-the-art models have not harnessed the power of modern nonlinear models, especially ones based on deep learning. In this paper, we propose using a flexible nonlinear model that optimizes quantile regression loss coupled with suitable regularization terms to maintain the consistency of forecasts across hierarchies. The theoretical framework introduced herein can be applied to any forecasting model with an underlying differentiable loss function. A proof of optimality of our proposed method is also provided. Simulation studies over a range of datasets highlight the efficacy of our approach.
Spanning Tree Constrained Determinantal Point Processes are Hard to (Approximately) Evaluate
Authors: Tatsuya Matsuoka, Naoto Ohsaka
Date: 2021-02-25 00:00:00
Tasks: Point Processes

We consider determinantal point processes (DPPs) constrained by spanning trees. Given a graph $G=(V,E)$ and a positive semi-definite matrix $\mathbf{A}$ indexed by $E$, a spanning-tree DPP defines a distribution such that we draw $S\subseteq E$ with probability proportional to $\det(\mathbf{A}_S)$ only if $S$ induces a spanning tree. We prove $\sharp\textsf{P}$-hardness of computing the normalizing constant for spanning-tree DPPs and provide an approximation-preserving reduction from the mixed discriminant, for which FPRAS is not known. We show similar results for DPPs constrained by forests.
Deep Stochastic Volatility Model
Authors: Xiuqin Xu, Ying Chen
Date: 2021-02-25 00:00:00
Tasks: model, Variational Inference

Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to automatically detect the dependence of the future volatility on past returns, past volatilities and the stochastic noise, and thus provides a flexible volatility model without the need to manually select features. We develop a scalable inference and learning algorithm based on variational inference. In real data analysis, the DSVM outperforms several popular alternative volatility models. In addition, the predicted volatility of the DSVM provides a more reliable risk measure that can better reflex the risk in the financial market, reaching more quickly to a higher level when the market becomes more risky and to a lower level when the market is more stable, compared with the commonly used GARCH type model with a huge data set on the U.S. stock market.
Distributionally Robust Federated Averaging
Authors: Yuyang Deng, Mohammad Mahdi Kamani, Mehrdad Mahdavi
Date: 2021-02-25 00:00:00
Proceeding: NeurIPS 2020 12
Tasks: Federated Learning

In this paper, we study communication efficient distributed algorithms for distributionally robust federated learning via periodic averaging with adaptive sampling. In contrast to standard empirical risk minimization, due to the minimax structure of the underlying optimization problem, a key difficulty arises from the fact that the global parameter that controls the mixture of local losses can only be updated infrequently on the global stage. To compensate for this, we propose a Distributionally Robust Federated Averaging (DRFA) algorithm that employs a novel snapshotting scheme to approximate the accumulation of history gradients of the mixing parameter. We analyze the convergence rate of DRFA in both convex-linear and nonconvex-linear settings. We also generalize the proposed idea to objectives with regularization on the mixture parameter and propose a proximal variant, dubbed as DRFA-Prox, with provable convergence rates. We also analyze an alternative optimization method for regularized cases in strongly-convex-strongly-concave and non-convex (under PL condition)-strongly-concave settings. To the best of our knowledge, this paper is the first to solve distributionally robust federated learning with reduced communication, and to analyze the efficiency of local descent methods on distributed minimax problems. We give corroborating experimental evidence for our theoretical results in federated learning settings.
Online Learning for Unknown Partially Observable MDPs
Authors: Mehdi Jafarnia-Jahromi, Rahul Jain, Ashutosh Nayyar
Date: 2021-02-25 00:00:00

Solving Partially Observable Markov Decision Processes (POMDPs) is hard. Learning optimal controllers for POMDPs when the model is unknown is harder. Online learning of optimal controllers for unknown POMDPs, which requires efficient learning using regret-minimizing algorithms that effectively tradeoff exploration and exploitation, is even harder, and no solution exists currently. In this paper, we consider infinite-horizon average-cost POMDPs with unknown transition model, though a known observation model. We propose a natural posterior sampling-based reinforcement learning algorithm (PSRL-POMDP) and show that it achieves a regret bound of $O(\log T)$, where $T$ is the time horizon, when the parameter set is finite. In the general case (continuous parameter set), we show that the algorithm achieves $O (T^{2/3})$ regret under two technical assumptions. To the best of our knowledge, this is the first online RL algorithm for POMDPs and has sub-linear regret.