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 extend the model of stochastic bandits with adversarial corruption (Lykouriset al., 2018) to the stochastic linear optimization problem (Dani et al., 2008). Our algorithm is agnostic to the amount of corruption chosen by the adaptive adversary. The regret of the algorithm only increases linearly in the amount of cor…
We study the stochastic multi-armed bandits problem in the presence of adversarial corruption. We present a new algorithm for this problem whose regret is nearly optimal, substantially improving upon previous work. Our algorithm is agnostic to the level of adversarial contamination and can tolerate a significant amount…
Reinforcement Learning (RL) agents require the specification of a reward signal for learning behaviours. However, introduction of corrupt or stochastic rewards can yield high variance in learning. Such corruption may be a direct result of goal misspecification, randomness in the reward signal, or correlation of the rew…
We introduce a new model of stochastic bandits with adversarial corruptions which aims to capture settings where most of the input follows a stochastic pattern but some fraction of it can be adversarially changed to trick the algorithm, e.g., click fraud, fake reviews and email spam. The goal of this model is to encour…
We study a variant of the stochastic multi-armed bandit (MAB) problem in which the rewards are corrupted. In this framework, motivated by privacy preservation in online recommender systems, the goal is to maximize the sum of the (unobserved) rewards, based on the observation of transformation of these rewards through a…
Lattice investment projects support process model with corruption is formulated and analyzed. The model is based on the Ising lattice model of ferromagnetic but takes deal with the social phenomenon. Set of corruption agents is considered. It is supposed that agents are placed in sites of the lattice. Agents take decis…
The paper shows optimal robustness against adversarial corruption in sequential decision-making problems.
problem Optimal robustness to adversarial corruption in online decision-making problems.
method Investigates prediction with expert advice and multi-armed bandit problems, focusing on algorithms with decreasing learning rates and second-order regret bounds.
result Optimal robustness can be expressed by a square-root dependency on the amount of corruption, achieving O(ΔlogN+ΔClogN)-regret.
Develops a strategy to minimize loss in both stochastic and adversarial environments for linear contextual bandits.
problem Linear contextual bandits with adversarial corruption.
method Proposes a novel strategy called Best-of-Both-Worlds (BoBW) RealFTRL, extending RealLinExp3 and FTRL.
result Regret upper bound of $O\left(\min\left\{\frac{(\log(T))^3}{Δ_{*}} + \sqrt{\frac{C(\log(T))^3}{Δ_{*}}},\ \ \sqrt{T}(\log(T))^2
ight\}
ight)$, showing effectiveness in both stochastic and adversarial environments.
In this paper, we present GASG21 (Grassmannian Adaptive Stochastic Gradient for L2,1 norm minimization), an adaptive stochastic gradient algorithm to robustly recover the low-rank subspace from a large matrix. In the presence of column outliers, we reformulate the batch mode matrix L2,1 norm minimization with…
We initiate the study of multi-stage episodic reinforcement learning under adversarial corruptions in both the rewards and the transition probabilities of the underlying system extending recent results for the special case of stochastic bandits. We provide a framework which modifies the aggressive exploration enjoyed b…
We consider high dimensional sparse regression, and develop strategies able to deal with arbitrary -- possibly, severe or coordinated -- errors in the covariance matrix X. These may come from corrupted data, persistent experimental errors, or malicious respondents in surveys/recommender systems, etc. Such non-stochas…
In supervised learning one wishes to identify a pattern present in a joint distribution P, of instances, label pairs, by providing a function f from instances to labels that has low risk EPℓ(y,f(x)). To do so, the learner is given access to n iid samples drawn from P. In many real world problem…
Stochastic gradient descent is a simple approach to find the local minima of a cost function whose evaluations are corrupted by noise. In this paper, we develop a procedure extending stochastic gradient descent algorithms to the case where the function is defined on a Riemannian manifold. We prove that, as in the Eucli…
We present a convergence rate analysis for biased stochastic gradient descent (SGD), where individual gradient updates are corrupted by computation errors. We develop stochastic quadratic constraints to formulate a small linear matrix inequality (LMI) whose feasible points lead to convergence bounds of biased SGD. Base…
In high dimensions, most machine learning methods are brittle to even a small fraction of structured outliers. To address this, we introduce a new meta-algorithm that can take in a base learner such as least squares or stochastic gradient descent, and harden the learner to be resistant to outliers. Our method, Sever, p…
In this paper, we propose a unified view of gradient-based algorithms for stochastic convex composite optimization by extending the concept of estimate sequence introduced by Nesterov. This point of view covers the stochastic gradient descent method, variants of the approaches SAGA, SVRG, and has several advantages: (i…
New algorithm robust to label corruptions in active learning.
problem Active learning under unknown adversarial label corruptions.
method Proposed a new active learning algorithm that is provably correct without assumptions on corruptions.
result Achieves minimax label complexity in non-corrupted setting and only requires additional labels to achieve desired accuracy in corrupted setting.
We present a probabilistic deep learning methodology that enables the construction of predictive data-driven surrogates for stochastic systems. Leveraging recent advances in variational inference with implicit distributions, we put forth a statistical inference framework that enables the end-to-end training of surrogat…
In this paper, we propose a unified view of gradient-based algorithms for stochastic convex composite optimization by extending the concept of estimate sequence introduced by Nesterov. More precisely, we interpret a large class of stochastic optimization methods as procedures that iteratively minimize a surrogate of th…
We report quantitative relations between corruption level and economic factors, such as country wealth and foreign investment per capita, which are characterized by a power law spanning multiple scales of wealth and investments per capita. These relations hold for diverse countries, and also remain stable over differen…