This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an application to margin constraints and found to match real world observations about financi…
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48 results for “Constraint Heterogeneity”
Bayesian optimization improves with transfer learning for aircraft design.
problem Cold start problem in Bayesian optimization for aircraft design.
method Ensemble of surrogate models using transfer learning in a constrained Bayesian optimization framework.
result Significant improvement in convergence and prediction accuracy.
Paper tackles nonparametric classification with privacy constraints, achieving optimal accuracy.
problem Nonparametric classification under distributed differential privacy constraints.
method Minimax and adaptive transfer learning, considering privacy, sample sizes, and heterogeneity.
result Developed an adaptive classifier achieving optimal misclassification rate with privacy constraints.
Collaborative Learning of Discrete Distributions under Heterogeneity and Communication Constraintsstat.ML
SHIFT method optimally estimates heterogeneous discrete distributions with limited communication.
problem Collaborative learning of discrete distributions under heterogeneity and communication constraints.
method Two-stage method: First, users learn a central distribution; then, fine-tune this to estimate individual distributions.
result SHIFT is minimax optimal in the model of heterogeneity and under communication constraints.
Study Federated RL with diverse constraints, proposing new optimization methods.
problem Solving reinforcement learning with multiple constraints in federated learning.
method Federated primal-dual policy optimization methods based on policy gradient methods.
result FedNPG achieves global convergence with an rate.
New method optimizes costly functions with unknown costs and budget constraints.
problem Optimizing functions with unknown and heterogeneous evaluation costs under a budget constraint.
method Budgeted multi-step expected improvement acquisition function.
result Our method outperforms existing approaches in various synthetic and real problems.
We consider learning in decentralized heterogeneous networks: agents seek to minimize a convex functional that aggregates data across the network, while only having access to their local data streams. We focus on the case where agents seek to estimate a regression \emph{function} that belongs to a reproducing kernel Hi…
SDF-Bayes finds safe drug combinations safely, balancing optimism and caution.
problem Finding safe drug combinations in clinical trials with multiple drugs and patient heterogeneity.
method SDF-Bayes uses Bayesian statistics to choose the most likely MTD while ensuring safety constraints.
result SDF-Bayes outperforms existing methods in both accuracy and safety for drug combination trials.
DFFL tackles federated learning with heterogeneous objectives and constraints.
problem Federated learning with clients having different objectives and feasible regions.
method Derived heterogeneity bounds for cost-vector distances and support-function/shape-distance terms. Lifted pointwise bounds to local-versus-federated excess-risk comparison.
result Federation is beneficial when the statistical advantage of pooling exceeds a client-specific heterogeneity penalty.
This paper optimizes reinsurance contracts with belief differences between insurer and reinsurer.
problem Dynamic reinsurance design with heterogeneous beliefs under mean-variance framework.
method Modeling surplus process, applying partitioned domain optimization, solving HJB system.
result Optimal reinsurance contracts with belief heterogeneity are more complex than standard contracts.
Neural Index Policy for multi-action bandits with heterogeneous budgets.
problem Real-world settings often involve multiple interventions with heterogeneous costs and constraints, breaking classical assumptions.
method Introduces a Neural Index Policy (NIP) that learns to assign budget-aware indices to arm-action pairs using a neural network and differentiable knapsack layer.
result Empirically achieves near-optimal performance while strictly enforcing heterogeneous budgets and scaling to hundreds of arms.
Proposes fair and robust methods for estimating treatment effects.
problem Estimating treatment effects while maintaining fairness.
method Simple, nonparametric framework with fairness constraints.
result Estimators are double robust and characterize welfare trade-offs.
Paper studies optimal federated learning for nonparametric regression with privacy constraints.
problem Federated learning for nonparametric regression with heterogeneous differential privacy constraints.
method Proposes distributed privacy-preserving estimators and investigates their risk properties.
result Establishes matching minimax lower bounds for global and pointwise estimation.
Productivity and credit limits affect aggregate production in non-monotonic ways.
problem Understanding how aggregate production is influenced by individual characteristics and financial constraints.
method Analytical proof of non-monotonic effects of productivity and credit limits on aggregate production in a general equilibrium model.
result Equilibrium aggregate production can be non-monotonic in both individual productivity and credit limit.
We consider the matrix completion problem of recovering a structured matrix from noisy and partial measurements. Recent works have proposed tractable estimators with strong statistical guarantees for the case where the underlying matrix is low--rank, and the measurements consist of a subset, either of the exact individ…
FairMixRep learns fair representations from mixed data types.
problem Representation learning in mixed numerical and categorical data with fairness constraints.
method Efficient encoder-decoder framework + fairness constraints.
result Excellent performance in preserving information and fairness in mixed data representations.
This work optimizes mean estimation under varying privacy constraints.
problem Mean estimation with heterogeneous privacy constraints.
method Proposes an algorithm for mean estimation under different privacy levels for users.
result Shows a saturation phenomenon in performance as privacy levels are relaxed.
It is commonplace to encounter heterogeneous or nonstationary data, of which the underlying generating process changes across domains or over time. Such a distribution shift feature presents both challenges and opportunities for causal discovery. In this paper, we develop a framework for causal discovery from such data…
Federated Learning is a distributed learning paradigm with two key challenges that differentiate it from traditional distributed optimization: (1) significant variability in terms of the systems characteristics on each device in the network (systems heterogeneity), and (2) non-identically distributed data across the ne…
Proposes a new Lasso method with performance constraints.
problem No control over prediction accuracy for certain individuals.
method Adds quadratic performance constraints to Lasso-based objective functions.
result Defines a constrained sparse regression model through nonlinear optimization.
Two algorithms improve Federated RL in diverse environments.
problem Collaborative learning in environments with varying dynamics.
method Proposed two federated RL algorithms, QAvg and PAvg, and a personalization heuristic.
result Achieved better performance and generalization in diverse environments.
Unified framework for clustering and learning causal graphs across subjects.
problem Bias and obscured subpopulation-specific dependencies in multivariate systems.
method Directed Acyclic Graph-based Dependency Clustering via Alternating Direction Method of Multipliers (DAG-DC-ADMM) integrated with Structural Equation Modeling (SEM).
result Unified framework recovers cluster-specific causal dependency structures with high true positive rate and low false discovery rate.
Paper proposes federated offline RL for personalized medicine.
problem Privacy constraints and heterogeneity in healthcare data.
method Multi-site Markov decision process model and first federated policy optimization algorithm.
result The proposed algorithm achieves comparable suboptimality to centralized RL.
AEGCN uses autoencoder constraints to improve graph node classification.
problem Node classification on graph domains with reduced information loss.
method Autoencoder-constrained graph convolutional network (AEGCN).
result Adding autoencoder constraints significantly improves graph convolutional network performance.
OL4EL optimizes edge learning on resource-constrained servers.
problem Resource constraints on edge servers hinder effective distributed machine learning.
method Online Learning for EL (OL4EL) framework using budget-limited multi-armed bandit model.
result OL4EL significantly improves learning performance while conserving resources.
Study optimal policies under budget and coverage constraints.
problem Optimal policy learning with budget and coverage constraints.
method Combination of knapsack structure, affine threshold rule, linear programming relaxation, Greedy-Lagrangian (GLC), and rank-and-cut (RC) algorithms.
result GLC closely approximates the optimal solution and achieves near-optimal performance in finite samples; RC is approximately optimal under certain conditions.
PerPCA separates unique and shared features from heterogeneous data.
problem Extracting shared and unique features from data collected from different sources with varying trends.
method Personalized PCA (PerPCA) uses orthogonal global and local principal components to encode both unique and shared features.
result PerPCA can identify and recover both unique and shared features under mild conditions.
On the Estimation Performance of Generalized Power Method for Heteroscedastic Probabilistic PCAmath.OC
Paper proposes GPM for heteroscedastic PCA estimation.
problem Estimating ground truth from heterogeneous data.
method Generalized power method (GPM) for HQPOC.
result GPM achieves geometrically decreasing distances to ground truth.
New models capture heterogeneous network density, improving community detection.
problem Empirical networks are often globally sparse but locally dense.
method Latent Poisson models generating hidden multigraphs.
result These models improve community detection in sparse networks.
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
Study dynamic matching in heterogeneous networks using ODE model.
problem Dynamic matching in heterogeneous networks with compatibility restrictions.
method Introduced an ODE model to evaluate matching algorithms.
result Demonstrated trade-off between quick matching and optimal matching.
Proposes PFWCP for multi-agent tasks with privacy and validity guarantees.
problem Challenges in uncertainty quantification for multi-agent settings.
method Personalized federated weighted conformal prediction (PFWCP) combining local density ratio weighting and weighted quantile aggregation.
result Asymptotically valid coverage guarantees for each agent in heterogeneous settings.
Stabilizing Private LASSO under Heterogeneous Covariates via Anisotropic Objective Perturbationstat.ML
New method stabilizes private LASSO for high-dimensional data with diverse covariate scales.
problem Privacy constraints and heterogeneity in covariate scales degrade LASSO stability and accuracy.
method Gram-based anisotropic objective perturbation to counteract covariate structure.
result Significantly improves convergence and statistical efficiency of private LASSO estimators.
Method completes mixed matrix from complex surveys with heterogeneous missingness.
problem Recovering a mixed dataframe matrix from complex survey sampling with different missingness patterns.
method Two-stage procedure: logistic regression for missingness modeling, and weighted log-likelihood maximization with low-rank constraint.
result The proposed method achieves sublinear convergence and shows superior performance compared to existing methods.
Federated Learning with L0 constraint improves sparsity and performance.
problem Inherent sparsity in data and models leads to dense models with poor generalizability.
method L0 constraint on model density achieved through probabilistic gates and federated stochastic gradient descent.
result Achieves target sparsity (rho) in FL with minimal loss in statistical performance.
New DP methods for estimating means and frequencies with varying privacy demands.
problem Estimating statistics with users having different privacy requirements.
method Proposes algorithms for empirical mean and frequency estimation under heterogeneous privacy constraints, considering both correlated and permuted datasets.
result Establishes theoretical performance guarantees for algorithms, achieving minimax optimality.
Paper proposes a method to detect fair communities in graphs considering demographic attributes.
problem Inconsistent community detection violates fairness constraints for nodes with demographic attributes.
method Develops an -regularized pseudo-likelihood approach for fair graphical model selection.
result The method ensures demographic groups are fairly represented within detected communities.
A novel transfer learning framework combines multiple data sources for PU learning.
problem Challenges in PU learning due to lack of negative labels and data scarcity.
method Model averaging of heterogeneous data sources, including binary labeled, semi-supervised, and PU data.
result Method outperforms other methods in predictive accuracy and robustness, especially under limited labeled data.
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' excess demand functions, and the diffusion approximation approach is appl…
Donald Trump was lagging behind in nearly all opinion polls leading up to the 2016 US presidential election, but he surprisingly won the election. This raises the following important questions: 1) why most opinion polls were not accurate in 2016? and 2) how to improve the accuracies of opinion polls? In this paper, we …
Federated survival analysis outperforms local and centralized training, with RSF offering the best balance of discrimination, calibration, and robustness.
problem Survival analysis models require large, diverse cohorts but are limited by privacy regulations and lack of centralized data.
method Federated learning (FL) is used to train shared models without exchanging raw data.
result FL consistently outperforms local training and approaches, and occasionally exceeds centralized performance.
FedCONST adapts update magnitudes to enhance feature generalization in FL.
problem Heterogeneous client data in FL leads to overfitting and distorted transferable features.
method FedCONST uses linear convex constraints to stabilize training and preserve generalization.
result FedCONST enhances feature transferability and robustness, achieving state-of-the-art performance.
Paper tackles federated learning with privacy, enhancing target data analysis.
problem Heterogeneity and privacy of distributed data in federated learning.
method Formulates federated differential privacy, studies statistical problems under privacy constraints.
result Federated differential privacy offers a balance between privacy and knowledge transfer.
Model infers diffusion networks from heterogeneous cascade data.
problem Understanding and predicting diffusion processes in interconnected populations.
method Double mixture directed graph model with layer-specific constraints.
result Convex formulation allows for statistical and computational guarantees.
Optimal risk sharing found for heterogeneous risk attitudes using distortion risk measures.
problem Risk sharing in economies with diverse risk attitudes.
method Modeling preferences with distortion risk measures, using comonotonic and counter-monotonic principles.
result Optimal risk sharing strategies identified based on risk attitudes, reducing the -agent problem to a two-agent formulation.
We study collaborative machine learning (ML) across wireless devices, each with its own local dataset. Offloading these datasets to a cloud or an edge server to implement powerful ML solutions is often not feasible due to latency, bandwidth and privacy constraints. Instead, we consider federated edge learning (FEEL), w…
Model explains capital allocation and wealth distribution dynamics in a frictional economy.
problem Understanding capital allocation and wealth distribution dynamics in a frictional economy.
method Mean-field game approach to model interactions between expert and household groups.
result Experts accumulate capital during booms and quickly reverse behavior in busts, even without macro-shocks.
PS framework selects best policy from library for CSO problems.
problem Policy selection in CSO with heterogeneous performance across covariate space.
method PS framework constructs library of candidate policies and learns a meta-policy to select the best one.
result PS consistently outperforms best single policy in heterogeneous CSO problems.