A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This work improves texture segmentation by automatically tuning hyperparameters for Total-Variation.
New method learns from noisy data without knowing noise level.
Among the plethora of techniques devised to curb the prevalence of noise in medical images, deep learning based approaches have shown the most promise. However, one critical limitation of these deep learning based denoisers is the requirement of high-quality noiseless ground truth images that are difficult to obtain in…
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed…
New method uses SURE to denoise signals, outperforming NPMLE.
The paper analyzes the risk of CV-tuned regularized estimators and connects it to SURE.
Learning from unlabeled and noisy data is one of the grand challenges of machine learning. As such, it has seen a flurry of research with new ideas proposed continuously. In this work, we revisit a classical idea: Stein's Unbiased Risk Estimator (SURE). We show that, in the context of image recovery, SURE and its gener…
C-SURE improves complex-valued deep learning models by shrinking estimates, outperforming MLE and SurReal.
Many applied settings in empirical economics involve simultaneous estimation of a large number of parameters. In particular, applied economists are often interested in estimating the effects of many-valued treatments (like teacher effects or location effects), treatment effects for many groups, and prediction models wi…
The problem of estimating a high-dimensional sparse vector from an observation in i.i.d. Gaussian noise is considered. The performance is measured using squared-error loss. An empirical Bayes shrinkage estimator, derived using a Bernoulli-Gaussian prior, is analyzed and compared with the…
ENSURE framework trains deep image recon algorithms without clean data.
New method for unbiased regression reduces excess risk.
Generalized R2R handles non-Gaussian noise for deep network training.
For the problem of multi-class linear classification and feature selection, we propose approximate message passing approaches to sparse multinomial logistic regression (MLR). First, we propose two algorithms based on the Hybrid Generalized Approximate Message Passing (HyGAMP) framework: one finds the maximum a posterio…
This paper presents a novel scaling method for unbiased risk estimation.
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures of risk measures in terms of bias. We show that once the parameters of a model ne…
Unrolled neural networks emerged recently as an effective model for learning inverse maps appearing in image restoration tasks. However, their generalization risk (i.e., test mean-squared-error) and its link to network design and train sample size remains mysterious. Leveraging the Stein's Unbiased Risk Estimator (SURE…
Paper proposes an unbiased risk estimator for PLLAC, handling unseen classes.
We propose an estimator of prediction error using an approximate message passing (AMP) algorithm that can be applied to a broad range of sparse penalties. Following Stein's lemma, the estimator of the generalized degrees of freedom, which is a key quantity for the construction of the estimator of the prediction error, …
Develops new methods to estimate treatment effects in survival data with competing risks.
From only positive (P) and unlabeled (U) data, a binary classifier could be trained with PU learning, in which the state of the art is unbiased PU learning. However, if its model is very flexible, empirical risks on training data will go negative, and we will suffer from serious overfitting. In this paper, we propose a…
JojoSCL improves scRNA-seq clustering by reducing intra-cluster dispersion.
The strategy of early stopping is a regularization technique based on choosing a stopping time for an iterative algorithm. Focusing on non-parametric regression in a reproducing kernel Hilbert space, we analyze the early stopping strategy for a form of gradient-descent applied to the least-squares loss function. We pro…
We propose an improved LASSO estimation technique based on Stein-rule. We shrink classical LASSO estimator using preliminary test, shrinkage, and positive-rule shrinkage principle. Simulation results have been carried out for various configurations of correlation coefficients (), size of the parameter vector (), …
New method calculates degrees of freedom for sparse estimation in continuous models.
Proposes a new framework for learning from labeled and unlabeled data.
UREs lead to overfitting in complex models, especially in complementary label learning.
Randomized trials, also known as A/B tests, are used to select between two policies: a control and a treatment. Given a corresponding set of features, we can ideally learn an optimized policy P that maps the A/B test data features to action space and optimizes reward. However, although A/B testing provides an unbiased …
Pairwise similarities and dissimilarities between data points might be easier to obtain than fully labeled data in real-world classification problems, e.g., in privacy-aware situations. To handle such pairwise information, an empirical risk minimization approach has been proposed, giving an unbiased estimator of the cl…
Study optimizes KSD estimation from samples, revealing Hilbert-Schmidt vs trace scales.
Paper tackles weakly supervised learning from similarity-confidence data.
In this analytical study we derive the optimal unbiased value estimator (MVU) and compare its statistical risk to three well known value estimators: Temporal Difference learning (TD), Monte Carlo estimation (MC) and Least-Squares Temporal Difference Learning (LSTD). We demonstrate that LSTD is equivalent to the MVU if …
Improved stochastic gradient estimation for deep learning in high dimensions.
Improved estimator for least squares using random projections achieves smaller error.
This paper considers the problem of estimating a high-dimensional vector of parameters from a noisy observation. The noise vector is i.i.d. Gaussian with known variance. For a squared-error loss function, the James-Stein (JS) estimator is known to dominate the simple maximum-likelihood (…
Integrates ESG data into Black-Litterman for portfolio optimization.
Efficient implicit differentiation for Lasso hyperparameter optimization.
SureMap estimates model performance across subpopulations efficiently.
Estimates conversion probabilities from click sequences with privacy constraints.
We present a multi-task learning approach to jointly estimate the means of multiple independent data sets. The proposed multi-task averaging (MTA) algorithm results in a convex combination of the single-task maximum likelihood estimates. We derive the optimal minimum risk estimator and the minimax estimator, and show t…
Iterative thresholding algorithms are well-suited for high-dimensional problems in sparse recovery and compressive sensing. The performance of this class of algorithms depends heavily on the tuning of certain threshold parameters. In particular, both the final reconstruction error and the convergence rate of the algori…
This paper studies the problem of learning with augmented classes (LAC), where augmented classes unobserved in the training data might emerge in the testing phase. Previous studies generally attempt to discover augmented classes by exploiting geometric properties, achieving inspiring empirical performance yet lacking t…
Paper proposes unbiased learning for recommendation causal effects.
A sparse modeling is a major topic in machine learning and statistics. LASSO (Least Absolute Shrinkage and Selection Operator) is a popular sparse modeling method while it has been known to yield unexpected large bias especially at a sparse representation. There have been several studies for improving this problem such…
The article compares neural networks and logistic regression for credit scoring and introduces a new probability calibration technique.
Bayesian method improves extreme quantile estimation with zero coverage error.
Recently developed deep-learning-based denoisers often outperform state-of-the-art conventional denoisers such as the BM3D. They are typically trained to minimize the mean squared error (MSE) between the output image of a deep neural network (DNN) and a ground truth image. Thus, it is important for deep-learning-based …
Develops new instance-optimality concepts in differential privacy.