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.
Advice-efficient prediction with expert advice (in analogy to label-efficient prediction) is a variant of prediction with expert advice game, where on each round of the game we are allowed to ask for advice of a limited number M out of N experts. This setting is especially interesting when asking for advice of ever…
Non-experts have long made important contributions to machine learning (ML) by contributing training data, and recent work has shown that non-experts can also help with feature engineering by suggesting novel predictive features. However, non-experts have only contributed features to prediction tasks already posed by e…
Generalized algorithm for translation and scale-invariant prediction.
problem Sequential prediction with expert advice, focusing on translation and scale invariance.
method Designing a generalized online algorithm using the universal prediction perspective to compete against a generic class of expert selection strategies.
result No preliminary knowledge of loss sequences is required; performance bounds are stable under arbitrary scalings and translations.
We investigate online classification with paid stochastic experts. Here, before making their prediction, each expert must be paid. The amount that we pay each expert directly influences the accuracy of their prediction through some unknown Lipschitz "productivity" function. In each round, the learner must decide how mu…
Predicting the efficacy of a drug for a given individual, using high-dimensional genomic measurements, is at the core of precision medicine. However, identifying features on which to base the predictions remains a challenge, especially when the sample size is small. Incorporating expert knowledge offers a promising alt…
In this work, we propose a generalized product of experts (gPoE) framework for combining the predictions of multiple probabilistic models. We identify four desirable properties that are important for scalability, expressiveness and robustness, when learning and inferring with a combination of multiple models. Through a…
In the framework of prediction with expert advice, we consider a recently introduced kind of regret bounds: the bounds that depend on the effective instead of nominal number of experts. In contrast to the Normal- Hedge bound, which mainly depends on the effective number of experts but also weakly depends on the nominal…
For the prediction with experts' advice setting, we construct forecasting algorithms that suffer loss not much more than any expert in the pool. In contrast to the standard approach, we investigate the case of long-term forecasting of time series and consider two scenarios. In the first one, at each step t the learne…
We explicitly solve the nonlinear PDE that is the continuous limit of dynamic programming of \emph{expert prediction problem} in finite horizon setting with N=4 experts. The \emph{expert prediction problem} is formulated as a zero sum game between a player and an adversary. By showing that the solution is $\mathcal{C…
fMRI semantic category understanding using linguistic encoding models attempt to learn a forward mapping that relates stimuli to the corresponding brain activation. Classical encoding models use linear multi-variate methods to predict the brain activation (all voxels) given the stimulus. However, these methods essentia…
Prediction in a small-sized sample with a large number of covariates, the "small n, large p" problem, is challenging. This setting is encountered in multiple applications, such as precision medicine, where obtaining additional samples can be extremely costly or even impossible, and extensive research effort has recentl…
We develop the setting of sequential prediction based on shifting experts and on a "smooth" version of the method of specialized experts. To aggregate experts predictions, we use the AdaHedge algorithm, which is a version of the Hedge algorithm with adaptive learning rate, and extend it by the meta-algorithm Fixed Shar…
A recommender system based on ranks is proposed, where an expert's ranking of a set of objects and a user's ranking of a subset of those objects are combined to make a prediction of the user's ranking of all objects. The rankings are assumed to be induced by latent continuous variables corresponding to the grades assig…
High-dimensional prediction is a challenging problem setting for traditional statistical models. Although regularization improves model performance in high dimensions, it does not sufficiently leverage knowledge on feature importances held by domain experts. As an alternative to standard regularization techniques, we p…
We present and test a sequential learning algorithm for the short-term prediction of human mobility. This novel approach pairs the Exponential Weights forecaster with a very large ensemble of experts. The experts are individual sequence prediction algorithms constructed from the mobility traces of 10 million roaming mo…
This paper considers a variant of the classical online learning problem with expert predictions. Our model's differences and challenges are due to lacking any direct feedback on the loss each expert incurs at each time step t. We propose an approach that uses peer prediction and identify conditions where it succeeds.…
With the increasing volume of data in the world, the best approach for learning from this data is to exploit an online learning algorithm. Online ensemble methods are online algorithms which take advantage of an ensemble of classifiers to predict labels of data. Prediction with expert advice is a well-studied problem i…