1,237 research outputs found
Online Reciprocal Recommendation with Theoretical Performance Guarantees
A reciprocal recommendation problem is one where the goal of learning is not
just to predict a user's preference towards a passive item (e.g., a book), but
to recommend the targeted user on one side another user from the other side
such that a mutual interest between the two exists. The problem thus is sharply
different from the more traditional items-to-users recommendation, since a good
match requires meeting the preferences of both users. We initiate a rigorous
theoretical investigation of the reciprocal recommendation task in a specific
framework of sequential learning. We point out general limitations, formulate
reasonable assumptions enabling effective learning and, under these
assumptions, we design and analyze a computationally efficient algorithm that
uncovers mutual likes at a pace comparable to those achieved by a clearvoyant
algorithm knowing all user preferences in advance. Finally, we validate our
algorithm against synthetic and real-world datasets, showing improved empirical
performance over simple baselines
An LSH Index for Computing Kendall's Tau over Top-k Lists
We consider the problem of similarity search within a set of top-k lists
under the Kendall's Tau distance function. This distance describes how related
two rankings are in terms of concordantly and discordantly ordered items. As
top-k lists are usually very short compared to the global domain of possible
items to be ranked, creating an inverted index to look up overlapping lists is
possible but does not capture tight enough the similarity measure. In this
work, we investigate locality sensitive hashing schemes for the Kendall's Tau
distance and evaluate the proposed methods using two real-world datasets.Comment: 6 pages, 8 subfigures, presented in Seventeenth International
Workshop on the Web and Databases (WebDB 2014) co-located with ACM SIGMOD201
Learning, monetary policy and asset prices
The dissertation examines several policy-related implications of relaxing the assumption
that economic agents are guided by rational expectations. A first, introductory chapter
presents the main technical issues related to adaptive learning. The second chapter studies
the implications for monetary policy of positing that both the private sector and the
central bank form their expectations through adaptive learning and that the central bank
has private information on shocks to the economy but cannot credibly commit. The main
finding of this chapter is that when agents learn adaptively a bias against activist policy
arises. The following chapter focuses on large, non-linear models, where no unambiguous
linear approximation eligible as perceived law of motion exists. Accordingly, there are
heterogeneous expectations and the system converges to a misspecification equilibrium,
affected by the communication strategies of the central bank. The main results are:
(1) the heterogeneity of expectations persists even when a large number of observations
are available; (2) the monetary policymaker has no incentive to be an inflation hawk; (3)
partial transparency enhances welfare somewhat but full transparency does not. The final
chapter adopts a model in which agents are fully informed and use Bayesian techniques to
estimate the hidden states of the economy. The monetary policy stance is unobservable
and state-independent, generating uncertainty among agents, who try to gauge it from
inflation: a change in consumer prices that confirms beliefs reduces stock risk premia,
while a change that contradicts beliefs drives the risk premia upward. This may generate
a negative correlation between returns and inflation that explains the Fisher puzzle. The
model is tested on US data. The econometric evidence suggests: (1) that a mimickingportfolio proxying for monetary policy uncertainty is a risk factor priced by financial
markets; and (2) that conditioning on monetary uncertainty and fundamentals eliminates
the Fisher puzzle
Capturing Risk in Capital Budgeting
NPS NRP Technical ReportThis proposed research has the goal of proposing novel, reusable, extensible, adaptable, and comprehensive advanced analytical process and Integrated Risk Management to help the (DOD) with risk-based capital budgeting, Monte Carlo risk-simulation, predictive analytics, and stochastic optimization of acquisitions and programs portfolios with multiple competing stakeholders while subject to budgetary, risk, schedule, and strategic constraints. The research covers topics of traditional capital budgeting methodologies used in industry, including the market, cost, and income approaches, and explains how some of these traditional methods can be applied in the DOD by using DOD-centric non-economic, logistic, readiness, capabilities, and requirements variables. Stochastic portfolio optimization with dynamic simulations and investment efficient frontiers will be run for the purposes of selecting the best combination of programs and capabilities is also addressed, as are other alternative methods such as average ranking, risk metrics, lexicographic methods, PROMETHEE, ELECTRE, and others. The results include actionable intelligence developed from an analytically robust case study that senior leadership at the DOD may utilize to make optimal decisions. The main deliverables will be a detailed written research report and presentation brief on the approach of capturing risk and uncertainty in capital budgeting analysis. The report will detail the proposed methodology and applications, as well as a summary case study and examples of how the methodology can be applied.N8 - Integration of Capabilities & ResourcesThis research is supported by funding from the Naval Postgraduate School, Naval Research Program (PE 0605853N/2098). https://nps.edu/nrpChief of Naval Operations (CNO)Approved for public release. Distribution is unlimited.
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Metareasoning for Planning and Execution in Autonomous Systems
Metareasoning is the process by which an autonomous system optimizes, specifically monitors and controls, its own planning and execution processes in order to operate more effectively in its environment. As autonomous systems rapidly grow in sophistication and autonomy, the need for metareasoning has become critical for efficient and reliable operation in noisy, stochastic, unstructured domains for long periods of time. This is due to the uncertainty over the limitations of their reasoning capabilities and the range of their potential circumstances. However, despite considerable progress in metareasoning as a whole over the last thirty years, work on metareasoning for planning relies on several assumptions that diminish its accuracy and practical utility in autonomous systems that operate in the real world while work on metareasoning for execution has not seen much attention yet. This dissertation therefore proposes more effective metareasoning for planning while expanding the scope of metareasoning to execution to improve the efficiency of planning and the reliability of execution in autonomous systems.
In particular, we offer a two-pronged framework that introduces metareasoning for efficient planning and reliable execution in autonomous systems. We begin by proposing two forms of metareasoning for efficient planning: (1) a method that determines when to interrupt an anytime algorithm and act on the current solution by using online performance prediction and (2) a method that tunes the hyperparameters of the anytime algorithm at runtime by using deep reinforcement learning. We then propose two forms of metareasoning for reliable execution: (3) a method that recovers from exceptions that can be encountered during operation by using belief space planning and (4) a method that maintains and restores safety during operation by using probabilistic planning
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