Universal Sequential Outlier Hypothesis Testing

Universal outlier hypothesis testing is studied in a sequential setting. Multiple observation sequences are collected, a small subset of which are outliers. A sequence is considered an outlier if the observations in that sequence are generated by an "outlier" distribution, distinct from a common "typical" distribution governing the majority of the sequences. Apart from being distinct, the outlier and typical distributions can be arbitrarily close. The goal is to design a universal test to best discern all the outlier sequences. A universal test with the flavor of the repeated significance test is proposed and its asymptotic performance is characterized under various universal settings. The proposed test is shown to be universally consistent. For the model with identical outliers, the test is shown to be asymptotically optimal universally when the number of outliers is the largest possible and with the typical distribution being known, and its asymptotic performance otherwise is also characterized. An extension of the findings to the model with multiple distinct outliers is also discussed. In all cases, it is shown that the asymptotic performance guarantees for the proposed test when neither the outlier nor typical distribution is known converge to those when the typical distribution is known.Comment: Proc. of the Asilomar Conference on Signals, Systems, and Computers, 2014. To appea

Seeing into Darkness: Scotopic Visual Recognition

Images are formed by counting how many photons traveling from a given set of directions hit an image sensor during a given time interval. When photons are few and far in between, the concept of `image' breaks down and it is best to consider directly the flow of photons. Computer vision in this regime, which we call `scotopic', is radically different from the classical image-based paradigm in that visual computations (classification, control, search) have to take place while the stream of photons is captured and decisions may be taken as soon as enough information is available. The scotopic regime is important for biomedical imaging, security, astronomy and many other fields. Here we develop a framework that allows a machine to classify objects with as few photons as possible, while maintaining the error rate below an acceptable threshold. A dynamic and asymptotically optimal speed-accuracy tradeoff is a key feature of this framework. We propose and study an algorithm to optimize the tradeoff of a convolutional network directly from lowlight images and evaluate on simulated images from standard datasets. Surprisingly, scotopic systems can achieve comparable classification performance as traditional vision systems while using less than 0.1% of the photons in a conventional image. In addition, we demonstrate that our algorithms work even when the illuminance of the environment is unknown and varying. Last, we outline a spiking neural network coupled with photon-counting sensors as a power-efficient hardware realization of scotopic algorithms.Comment: 23 pages, 6 figure

A Stochastic Dominance Approach to Spanning

We develop a Stochastic Dominance methodology to analyze if new assets expand theinvestment possibilities for rational nonsatiable and risk-averse investors. This methodologyavoids the simplifying assumptions underlying the traditional mean-variance approach tospanning. The methodology is applied to analyze the stock market behavior of small firms in themonth of January. Our findings suggest that the previously observed January effect isremarkably robust with respect to simplifying assumptions regarding the return distribution.stochastic dominance;portfolio selection;linear programming;portfolio evaluation;spanning

Generalized Error Exponents For Small Sample Universal Hypothesis Testing

The small sample universal hypothesis testing problem is investigated in this paper, in which the number of samples $n$ is smaller than the number of possible outcomes $m$. The goal of this work is to find an appropriate criterion to analyze statistical tests in this setting. A suitable model for analysis is the high-dimensional model in which both $n$ and $m$ increase to infinity, and $n=o(m)$. A new performance criterion based on large deviations analysis is proposed and it generalizes the classical error exponent applicable for large sample problems (in which $m=O(n)$). This generalized error exponent criterion provides insights that are not available from asymptotic consistency or central limit theorem analysis. The following results are established for the uniform null distribution: (i) The best achievable probability of error $P_e$ decays as $P_e=\exp\{-(n^2/m) J (1+o(1))\}$ for some $J>0$. (ii) A class of tests based on separable statistics, including the coincidence-based test, attains the optimal generalized error exponents. (iii) Pearson's chi-square test has a zero generalized error exponent and thus its probability of error is asymptotically larger than the optimal test.Comment: 43 pages, 4 figure