arXiv subjects

Adel Javanmard

Publications and source records attributed to Adel Javanmard.

At least 55 records · Page 3Linked to original sources

arXiv2021

Controlling the False Split Rate in Tree-Based Aggregation

In many domains, data measurements can naturally be associated with the leaves of a tree, expressing the relationships among these measurements. For example, companies belong to industries, which in turn belong to ever coarser divisions such as sectors; microbes are commonly arranged in a taxonomic hierarchy from species to kingdoms; street blocks belong to neighborhoods, which in turn belong to larger-scale regions. The problem of tree-based aggregation that we consider in this paper asks which of these tree-defined subgroups of leaves should really be treated as a single entity and which of these entities should be distinguished from each other. We introduce the "false split rate", an error measure that describes the degree to which subgroups have been split when they should not have been. We then propose a multiple hypothesis testing algorithm for tree-based aggregation, which we prove controls this error measure. We focus on two main examples of tree-based aggregation, one which involves aggregating means and the other which involves aggregating regression coefficients. We apply this methodology to aggregate stocks based on their volatility and to aggregate neighborhoods of New York City based on taxi fares.

stat.ME↗

arXiv2021

Near-Optimal Procedures for Model Discrimination with Non-Disclosure Properties

Let $θ_0,θ_1 \in \mathbb{R}^d$ be the population risk minimizers associated to some loss $\ell:\mathbb{R}^d\times \mathcal{Z}\to\mathbb{R}$ and two distributions $\mathbb{P}_0,\mathbb{P}_1$ on $\mathcal{Z}$. The models $θ_0,θ_1$ are unknown, and $\mathbb{P}_0,\mathbb{P}_1$ can be accessed by drawing i.i.d samples from them. Our work is motivated by the following model discrimination question: "What sizes of the samples from $\mathbb{P}_0$ and $\mathbb{P}_1$ allow to distinguish between the two hypotheses $θ^*=θ_0$ and $θ^*=θ_1$ for given $θ^*\in\{θ_0,θ_1\}$?" Making the first steps towards answering it in full generality, we first consider the case of a well-specified linear model with squared loss. Here we provide matching upper and lower bounds on the sample complexity as given by $\min\{1/Δ^2,\sqrt{r}/Δ\}$ up to a constant factor; here $Δ$ is a measure of separation between $\mathbb{P}_0$ and $\mathbb{P}_1$ and $r$ is the rank of the design covariance matrix. We then extend this result in two directions: (i) for general parametric models in asymptotic regime; (ii) for generalized linear models in small samples ($n\le r$) under weak moment assumptions. In both cases we derive sample complexity bounds of a similar form while allowing for model misspecification. In fact, our testing procedures only access $θ^*$ via a certain functional of empirical risk. In addition, the number of observations that allows us to reach statistical confidence does not allow to "resolve" the two models $-$ that is, recover $θ_0,θ_1$ up to $O(Δ)$ prediction accuracy. These two properties allow to use our framework in applied tasks where one would like to $\textit{identify}$ a prediction model, which can be proprietary, while guaranteeing that the model cannot be actually $\textit{inferred}$ by the identifying agent.

math.ST↗

arXiv2021

Fundamental Tradeoffs in Distributionally Adversarial Training

Adversarial training is among the most effective techniques to improve the robustness of models against adversarial perturbations. However, the full effect of this approach on models is not well understood. For example, while adversarial training can reduce the adversarial risk (prediction error against an adversary), it sometimes increase standard risk (generalization error when there is no adversary). Even more, such behavior is impacted by various elements of the learning problem, including the size and quality of training data, specific forms of adversarial perturbations in the input, model overparameterization, and adversary's power, among others. In this paper, we focus on \emph{distribution perturbing} adversary framework wherein the adversary can change the test distribution within a neighborhood of the training data distribution. The neighborhood is defined via Wasserstein distance between distributions and the radius of the neighborhood is a measure of adversary's manipulative power. We study the tradeoff between standard risk and adversarial risk and derive the Pareto-optimal tradeoff, achievable over specific classes of models, in the infinite data limit with features dimension kept fixed. We consider three learning settings: 1) Regression with the class of linear models; 2) Binary classification under the Gaussian mixtures data model, with the class of linear classifiers; 3) Regression with the class of random features model (which can be equivalently represented as two-layer neural network with random first-layer weights). We show that a tradeoff between standard and adversarial risk is manifested in all three settings. We further characterize the Pareto-optimal tradeoff curves and discuss how a variety of factors, such as features correlation, adversary's power or the width of two-layer neural network would affect this tradeoff.

cs.LG↗

arXiv2020

Multi-Product Dynamic Pricing in High-Dimensions with Heterogeneous Price Sensitivity

We consider the problem of multi-product dynamic pricing, in a contextual setting, for a seller of differentiated products. In this environment, the customers arrive over time and products are described by high-dimensional feature vectors. Each customer chooses a product according to the widely used Multinomial Logit (MNL) choice model and her utility depends on the product features as well as the prices offered. The seller a-priori does not know the parameters of the choice model but can learn them through interactions with customers. The seller's goal is to design a pricing policy that maximizes her cumulative revenue. This model is motivated by online marketplaces such as Airbnb platform and online advertising. We measure the performance of a pricing policy in terms of regret, which is the expected revenue loss with respect to a clairvoyant policy that knows the parameters of the choice model in advance and always sets the revenue-maximizing prices. We propose a pricing policy, named M3P, that achieves a $T$-period regret of $O(\log(Td) ( \sqrt{T}+ d\log(T)))$ under heterogeneous price sensitivity for products with features of dimension $d$. We also use tools from information theory to prove that no policy can achieve worst-case $T$-regret better than $Ω(\sqrt{T})$.

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arXiv2020

Online Debiasing for Adaptively Collected High-dimensional Data with Applications to Time Series Analysis

Adaptive collection of data is commonplace in applications throughout science and engineering. From the point of view of statistical inference however, adaptive data collection induces memory and correlation in the samples, and poses significant challenge. We consider the high-dimensional linear regression, where the samples are collected adaptively, and the sample size $n$ can be smaller than $p$, the number of covariates. In this setting, there are two distinct sources of bias: the first due to regularization imposed for consistent estimation, e.g. using the LASSO, and the second due to adaptivity in collecting the samples. We propose "online debiasing", a general procedure for estimators such as the LASSO, which addresses both sources of bias. In two concrete contexts $(i)$ time series analysis and $(ii)$ batched data collection, we demonstrate that online debiasing optimally debiases the LASSO estimate when the underlying parameter $θ_0$ has sparsity of order $o(\sqrt{n}/\log p)$. In this regime, the debiased estimator can be used to compute $p$-values and confidence intervals of optimal size.

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arXiv2020

Dynamic Incentive-aware Learning: Robust Pricing in Contextual Auctions

Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that describes the item. However, the seller is not aware of the relationship between the context and buyers' valuations, i.e., buyers' preferences. The seller's goal is to design a learning policy to set reserve prices via observing the past sales data, and her objective is to minimize her regret for revenue, where the regret is computed against a clairvoyant policy that knows buyers' heterogeneous preferences. Given the seller's goal, utility-maximizing buyers have the incentive to bid untruthfully in order to manipulate the seller's learning policy. We propose learning policies that are robust to such strategic behavior. These policies use the outcomes of the auctions, rather than the submitted bids, to estimate the preferences while controlling the long-term effect of the outcome of each auction on the future reserve prices. When the market noise distribution is known to the seller, we propose a policy called Contextual Robust Pricing (CORP) that achieves a T-period regret of $O(d\log(Td) \log (T))$, where $d$ is the dimension of {the} contextual information. When the market noise distribution is unknown to the seller, we propose two policies whose regrets are sublinear in $T$.

cs.LG↗

arXiv2020

Precise Tradeoffs in Adversarial Training for Linear Regression

Despite breakthrough performance, modern learning models are known to be highly vulnerable to small adversarial perturbations in their inputs. While a wide variety of recent \emph{adversarial training} methods have been effective at improving robustness to perturbed inputs (robust accuracy), often this benefit is accompanied by a decrease in accuracy on benign inputs (standard accuracy), leading to a tradeoff between often competing objectives. Complicating matters further, recent empirical evidence suggest that a variety of other factors (size and quality of training data, model size, etc.) affect this tradeoff in somewhat surprising ways. In this paper we provide a precise and comprehensive understanding of the role of adversarial training in the context of linear regression with Gaussian features. In particular, we characterize the fundamental tradeoff between the accuracies achievable by any algorithm regardless of computational power or size of the training data. Furthermore, we precisely characterize the standard/robust accuracy and the corresponding tradeoff achieved by a contemporary mini-max adversarial training approach in a high-dimensional regime where the number of data points and the parameters of the model grow in proportion to each other. Our theory for adversarial training algorithms also facilitates the rigorous study of how a variety of factors (size and quality of training data, model overparametrization etc.) affect the tradeoff between these two competing accuracies.

cs.LG↗

arXiv2019

Perturbation Bounds for Procrustes, Classical Scaling, and Trilateration, with Applications to Manifold Learning

One of the common tasks in unsupervised learning is dimensionality reduction, where the goal is to find meaningful low-dimensional structures hidden in high-dimensional data. Sometimes referred to as manifold learning, this problem is closely related to the problem of localization, which aims at embedding a weighted graph into a low-dimensional Euclidean space. Several methods have been proposed for localization, and also manifold learning. Nonetheless, the robustness property of most of them is little understood. In this paper, we obtain perturbation bounds for classical scaling and trilateration, which are then applied to derive performance bounds for Isomap, Landmark Isomap, and Maximum Variance Unfolding. A new perturbation bound for procrustes analysis plays a key role.

cs.LG↗

arXiv2019

A Flexible Framework for Hypothesis Testing in High-dimensions

Hypothesis testing in the linear regression model is a fundamental statistical problem. We consider linear regression in the high-dimensional regime where the number of parameters exceeds the number of samples ($p> n$). In order to make informative inference, we assume that the model is approximately sparse, that is the effect of covariates on the response can be well approximated by conditioning on a relatively small number of covariates whose identities are unknown. We develop a framework for testing very general hypotheses regarding the model parameters. Our framework encompasses testing whether the parameter lies in a convex cone, testing the signal strength, and testing arbitrary functionals of the parameter. We show that the proposed procedure controls the type I error, and also analyze the power of the procedure. Our numerical experiments confirm our theoretical findings and demonstrate that we control false positive rate (type I error) near the nominal level, and have high power. By duality between hypotheses testing and confidence intervals, the proposed framework can be used to obtain valid confidence intervals for various functionals of the model parameters. For linear functionals, the length of confidence intervals is shown to be minimax rate optimal.

math.ST↗

arXiv2019

Analysis of a Two-Layer Neural Network via Displacement Convexity

Fitting a function by using linear combinations of a large number $N$ of `simple' components is one of the most fruitful ideas in statistical learning. This idea lies at the core of a variety of methods, from two-layer neural networks to kernel regression, to boosting. In general, the resulting risk minimization problem is non-convex and is solved by gradient descent or its variants. Unfortunately, little is known about global convergence properties of these approaches. Here we consider the problem of learning a concave function $f$ on a compact convex domain $Ω\subseteq {\mathbb R}^d$, using linear combinations of `bump-like' components (neurons). The parameters to be fitted are the centers of $N$ bumps, and the resulting empirical risk minimization problem is highly non-convex. We prove that, in the limit in which the number of neurons diverges, the evolution of gradient descent converges to a Wasserstein gradient flow in the space of probability distributions over $Ω$. Further, when the bump width $δ$ tends to $0$, this gradient flow has a limit which is a viscous porous medium equation. Remarkably, the cost function optimized by this gradient flow exhibits a special property known as displacement convexity, which implies exponential convergence rates for $N\to\infty$, $δ\to 0$. Surprisingly, this asymptotic theory appears to capture well the behavior for moderate values of $δ, N$. Explaining this phenomenon, and understanding the dependence on $δ,N$ in a quantitative manner remains an outstanding challenge.

math.ST↗

arXiv2019

New Computational and Statistical Aspects of Regularized Regression with Application to Rare Feature Selection and Aggregation

Prior knowledge on properties of a target model often come as discrete or combinatorial descriptions. This work provides a unified computational framework for defining norms that promote such structures. More specifically, we develop associated tools for optimization involving such norms given only the orthogonal projection oracle onto the non-convex set of desired models. As an example, we study a norm, which we term the doubly-sparse norm, for promoting vectors with few nonzero entries taking only a few distinct values. We further discuss how the K-means algorithm can serve as the underlying projection oracle in this case and how it can be efficiently represented as a quadratically constrained quadratic program. Our motivation for the study of this norm is regularized regression in the presence of rare features which poses a challenge to various methods within high-dimensional statistics, and in machine learning in general. The proposed estimation procedure is designed to perform automatic feature selection and aggregation for which we develop statistical bounds. The bounds are general and offer a statistical framework for norm-based regularization. The bounds rely on novel geometric quantities on which we attempt to elaborate as well.

stat.ML↗

arXiv2019

False Discovery Rate Control via Debiased Lasso

We consider the problem of variable selection in high-dimensional statistical models where the goal is to report a set of variables, out of many predictors $X_1, \dotsc, X_p$, that are relevant to a response of interest. For linear high-dimensional model, where the number of parameters exceeds the number of samples $(p>n)$, we propose a procedure for variables selection and prove that it controls the "directional" false discovery rate (FDR) below a pre-assigned significance level $q\in [0,1]$. We further analyze the statistical power of our framework and show that for designs with subgaussian rows and a common precision matrix $Ω\in\mathbb{R}^{p\times p}$, if the minimum nonzero parameter $θ_{\min}$ satisfies $$\sqrt{n} θ_{\min} - σ\sqrt{2(\max_{i\in [p]}Ω_{ii})\log\left(\frac{2p}{qs_0}\right)} \to \infty\,,$$ then this procedure achieves asymptotic power one. Our framework is built upon the debiasing approach and assumes the standard condition $s_0 = o(\sqrt{n}/(\log p)^2)$, where $s_0$ indicates the number of true positives among the $p$ features. Notably, this framework achieves exact directional FDR control without any assumption on the amplitude of unknown regression parameters, and does not require any knowledge of the distribution of covariates or the noise level. We test our method in synthetic and real data experiments to assess its performance and to corroborate our theoretical results.

stat.ME↗

arXiv2018

Dynamic Pricing in High-dimensions

We study the pricing problem faced by a firm that sells a large number of products, described via a wide range of features, to customers that arrive over time. Customers independently make purchasing decisions according to a general choice model that includes products features and customers' characteristics, encoded as $d$-dimensional numerical vectors, as well as the price offered. The parameters of the choice model are a priori unknown to the firm, but can be learned as the (binary-valued) sales data accrues over time. The firm's objective is to minimize the regret, i.e., the expected revenue loss against a clairvoyant policy that knows the parameters of the choice model in advance, and always offers the revenue-maximizing price. This setting is motivated in part by the prevalence of online marketplaces that allow for real-time pricing. We assume a structured choice model, parameters of which depend on $s_0$ out of the $d$ product features. We propose a dynamic policy, called Regularized Maximum Likelihood Pricing (RMLP) that leverages the (sparsity) structure of the high-dimensional model and obtains a logarithmic regret in $T$. More specifically, the regret of our algorithm is of $O(s_0 \log d \cdot \log T)$. Furthermore, we show that no policy can obtain regret better than $O(s_0 (\log d + \log T))$.

stat.ML↗

arXiv2017

Online Rules for Control of False Discovery Rate and False Discovery Exceedance

Multiple hypothesis testing is a core problem in statistical inference and arises in almost every scientific field. Given a set of null hypotheses $\mathcal{H}(n) = (H_1,\dotsc, H_n)$, Benjamini and Hochberg introduced the false discovery rate (FDR), which is the expected proportion of false positives among rejected null hypotheses, and proposed a testing procedure that controls FDR below a pre-assigned significance level. Nowadays FDR is the criterion of choice for large scale multiple hypothesis testing. In this paper we consider the problem of controlling FDR in an "online manner". Concretely, we consider an ordered --possibly infinite-- sequence of null hypotheses $\mathcal{H} = (H_1,H_2,H_3,\dots )$ where, at each step $i$, the statistician must decide whether to reject hypothesis $H_i$ having access only to the previous decisions. This model was introduced by Foster and Stine. We study a class of "generalized alpha-investing" procedures and prove that any rule in this class controls online FDR, provided $p$-values corresponding to true nulls are independent from the other $p$-values. (Earlier work only established mFDR control.) Next, we obtain conditions under which generalized alpha-investing controls FDR in the presence of general $p$-values dependencies. Finally, we develop a modified set of procedures that also allow to control the false discovery exceedance (the tail of the proportion of false discoveries). Numerical simulations and analytical results indicate that online procedures do not incur a large loss in statistical power with respect to offline approaches, such as Benjamini-Hochberg.

math.ST↗

arXiv2017

Perishability of Data: Dynamic Pricing under Varying-Coefficient Models

We consider a firm that sells a large number of products to its customers in an online fashion. Each product is described by a high dimensional feature vector, and the market value of a product is assumed to be linear in the values of its features. Parameters of the valuation model are unknown and can change over time. The firm sequentially observes a product's features and can use the historical sales data (binary sale/no sale feedbacks) to set the price of current product, with the objective of maximizing the collected revenue. We measure the performance of a dynamic pricing policy via regret, which is the expected revenue loss compared to a clairvoyant that knows the sequence of model parameters in advance. We propose a pricing policy based on projected stochastic gradient descent (PSGD) and characterize its regret in terms of time $T$, features dimension $d$, and the temporal variability in the model parameters, $δ_t$. We consider two settings. In the first one, feature vectors are chosen antagonistically by nature and we prove that the regret of PSGD pricing policy is of order $O(\sqrt{T} + \sum_{t=1}^T \sqrt{t}δ_t)$. In the second setting (referred to as stochastic features model), the feature vectors are drawn independently from an unknown distribution. We show that in this case, the regret of PSGD pricing policy is of order $O(d^2 \log T + \sum_{t=1}^T tδ_t/d)$.

cs.GT↗

arXiv2016

Novel probabilistic models of spatial genetic ancestry with applications to stratification correction in genome-wide association studies

Genetic variation in human populations is influenced by geographic ancestry due to spatial locality in historical mating and migration patterns. Spatial population structure in genetic datasets has been traditionally analyzed using either model-free algorithms, such as principal components analysis (PCA) and multidimensional scaling, or using explicit spatial probabilistic models of allele frequency evolution. We develop a general probabilistic model and an associated inference algorithm that unify the model-based and data-driven approaches to visualizing and inferring population structure. Our algorithm, Geographic Ancestry Positioning (GAP), relates local genetic distances between samples to their spatial distances, and can be used for visually discerning population structure as well as accurately inferring the spatial origin of individuals on a two-dimensional continuum. On both simulated and several real datasets from diverse human populations, GAP exhibits substantially lower error in reconstructing spatial ancestry coordinates compared to PCA. Our spatial inference algorithm can also be effectively applied to the problem of population stratification in genome-wide association studies (GWAS), where hidden population structure can create fictitious associations when population ancestry is correlated with both the genotype and the trait. We develop an association test that uses the ancestry coordinates inferred by GAP to accurately account for ancestry-induced correlations in GWAS. Based on simulations and analysis of a dataset of 10 metabolic traits measured in a Northern Finland cohort, which is known to exhibit significant population structure, we find that our method has superior power to current approaches.

q-bio.PE↗

arXiv2016

De-biasing the Lasso: Optimal Sample Size for Gaussian Designs

Performing statistical inference in high-dimension is an outstanding challenge. A major source of difficulty is the absence of precise information on the distribution of high-dimensional estimators. Here, we consider linear regression in the high-dimensional regime $p\gg n$. In this context, we would like to perform inference on a high-dimensional parameters vector $θ^*\in{\mathbb R}^p$. Important progress has been achieved in computing confidence intervals for single coordinates $θ^*_i$. A key role in these new methods is played by a certain debiased estimator $\hatθ^{\rm d}$ that is constructed from the Lasso. Earlier work establishes that, under suitable assumptions on the design matrix, the coordinates of $\hatθ^{\rm d}$ are asymptotically Gaussian provided $θ^*$ is $s_0$-sparse with $s_0 = o(\sqrt{n}/\log p )$. The condition $s_0 = o(\sqrt{n}/ \log p )$ is stronger than the one for consistent estimation, namely $s_0 = o(n/ \log p)$. We study Gaussian designs with known or unknown population covariance. When the covariance is known, we prove that the debiased estimator is asymptotically Gaussian under the nearly optimal condition $s_0 = o(n/ (\log p)^2)$. Note that earlier work was limited to $s_0 = o(\sqrt{n}/\log p)$ even for perfectly known covariance. The same conclusion holds if the population covariance is unknown but can be estimated sufficiently well, e.g. under the same sparsity conditions on the inverse covariance as assumed by earlier work. For intermediate regimes, we describe the trade-off between sparsity in the coefficients and in the inverse covariance of the design. We further discuss several applications of our results to high-dimensional inference. In particular, we propose a new estimator that is minimax optimal up to a factor $1+o_n(1)$ for i.i.d. Gaussian designs.

math.ST↗

arXiv2016

Performance of a community detection algorithm based on semidefinite programming

The problem of detecting communities in a graph is maybe one the most studied inference problems, given its simplicity and widespread diffusion among several disciplines. A very common benchmark for this problem is the stochastic block model or planted partition problem, where a phase transition takes place in the detection of the planted partition by changing the signal-to-noise ratio. Optimal algorithms for the detection exist which are based on spectral methods, but we show these are extremely sensible to slight modification in the generative model. Recently Javanmard, Montanari and Ricci-Tersenghi (arXiv:1511.08769) have used statistical physics arguments, and numerical simulations to show that finding communities in the stochastic block model via semidefinite programming is quasi optimal. Further, the resulting semidefinite relaxation can be solved efficiently, and is very robust with respect to changes in the generative model. In this paper we study in detail several practical aspects of this new algorithm based on semidefinite programming for the detection of the planted partition. The algorithm turns out to be very fast, allowing the solution of problems with $O(10^5)$ variables in few second on a laptop computer.

stat.ML↗