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.
We consider using an ensemble of binary classifiers for transductive prediction, when unlabeled test data are known in advance. We derive minimax optimal rules for confidence-rated prediction in this setting. By using PAC-Bayes analysis on these rules, we obtain data-dependent performance guarantees without distributio…
The Lasso is a computationally efficient regression regularization procedure that can produce sparse estimators when the number of predictors (p) is large. Oracle inequalities provide probability loss bounds for the Lasso estimator at a deterministic choice of the regularization parameter. These bounds tend to zero if …
We present a study of generalization for data-dependent hypothesis sets. We give a general learning guarantee for data-dependent hypothesis sets based on a notion of transductive Rademacher complexity. Our main result is a generalization bound for data-dependent hypothesis sets expressed in terms of a notion of hypothe…
Stochastic gradient descent algorithms for training linear and kernel predictors are gaining more and more importance, thanks to their scalability. While various methods have been proposed to speed up their convergence, the model selection phase is often ignored. In fact, in theoretical works most of the time assumptio…
The Probably Approximately Correct (PAC) Bayes framework (McAllester, 1999) can incorporate knowledge about the learning algorithm and (data) distribution through the use of distribution-dependent priors, yielding tighter generalization bounds on data-dependent posteriors. Using this flexibility, however, is difficult,…
We improve the robustness of Deep Neural Net (DNN) to adversarial attacks by using an interpolating function as the output activation. This data-dependent activation remarkably improves both the generalization and robustness of DNN. In the CIFAR10 benchmark, we raise the robust accuracy of the adversarially trained Res…
The lasso and related sparsity inducing algorithms have been the target of substantial theoretical and applied research. Correspondingly, many results are known about their behavior for a fixed or optimally chosen tuning parameter specified up to unknown constants. In practice, however, this oracle tuning parameter is …
In this paper, we consider the problem of prediction with expert advice in dynamic environments. We choose tracking regret as the performance metric and develop two adaptive and efficient algorithms with data-dependent tracking regret bounds. The first algorithm achieves a second-order tracking regret bound, which impr…
In this work, we improve upon the stepwise analysis of noisy iterative learning algorithms initiated by Pensia, Jog, and Loh (2018) and recently extended by Bu, Zou, and Veeravalli (2019). Our main contributions are significantly improved mutual information bounds for Stochastic Gradient Langevin Dynamics via data-depe…
In this paper, we introduce a novel method to generate interpretable regression function estimators. The idea is based on called data-dependent coverings. The aim is to extract from the data a covering of the feature space instead of a partition. The estimator predicts the empirical conditional expectation over the cel…
This work obtains novel finite sample guarantees for Principal Component Analysis (PCA). These hold even when the corrupting noise is non-isotropic, and a part (or all of it) is data-dependent. Because of the latter, in general, the noise and the true data are correlated. The results in this work are a significant impr…
The Adam algorithm has become extremely popular for large-scale machine learning. Under convexity condition, it has been proved to enjoy a data-dependant O(T) regret bound where T is the time horizon. However, whether strong convexity can be utilized to further improve the performance remains an open problem…
In this paper, we consider the problem of recovering a graph that represents the statistical data dependency among nodes for a set of data samples generated by nodes, which provides the basic structure to perform an inference task, such as MAP (maximum a posteriori). This problem is referred to as structure learning. W…
We present algorithms for topic modeling based on the geometry of cross-document word-frequency patterns. This perspective gains significance under the so called separability condition. This is a condition on existence of novel-words that are unique to each topic. We present a suite of highly efficient algorithms based…
The problem of forecasting conditional probabilities of the next event given the past is considered in a general probabilistic setting. Given an arbitrary (large, uncountable) set C of predictors, we would like to construct a single predictor that performs asymptotically as well as the best predictor in C, on any data.…