Effects of sampling skewness of the importance-weighted risk estimator on model selection

Importance-weighting is a popular and well-researched technique for dealing with sample selection bias and covariate shift. It has desirable characteristics such as unbiasedness, consistency and low computational complexity. However, weighting can have a detrimental effect on an estimator as well. In this work, we empirically show that the sampling distribution of an importance-weighted estimator can be skewed. For sample selection bias settings, and for small sample sizes, the importance-weighted risk estimator produces overestimates for datasets in the body of the sampling distribution, i.e. the majority of cases, and large underestimates for data sets in the tail of the sampling distribution. These over- and underestimates of the risk lead to suboptimal regularization parameters when used for importance-weighted validation.Comment: Conference paper, 6 pages, 5 figure

On Regularization Parameter Estimation under Covariate Shift

This paper identifies a problem with the usual procedure for L2-regularization parameter estimation in a domain adaptation setting. In such a setting, there are differences between the distributions generating the training data (source domain) and the test data (target domain). The usual cross-validation procedure requires validation data, which can not be obtained from the unlabeled target data. The problem is that if one decides to use source validation data, the regularization parameter is underestimated. One possible solution is to scale the source validation data through importance weighting, but we show that this correction is not sufficient. We conclude the paper with an empirical analysis of the effect of several importance weight estimators on the estimation of the regularization parameter.Comment: 6 pages, 2 figures, 2 tables. Accepted to ICPR 201

Transfer Learning Strategies for Credit Card Fraud Detection.

Credit card fraud jeopardizes the trust of customers in e-commerce transactions. This led in recent years to major advances in the design of automatic Fraud Detection Systems (FDS) able to detect fraudulent transactions with short reaction time and high precision. Nevertheless, the heterogeneous nature of the fraud behavior makes it difficult to tailor existing systems to different contexts (e.g. new payment systems, different countries and/or population segments). Given the high cost (research, prototype development, and implementation in production) of designing data-driven FDSs, it is crucial for transactional companies to define procedures able to adapt existing pipelines to new challenges. From an AI/machine learning perspective, this is known as the problem of transfer learning. This paper discusses the design and implementation of transfer learning approaches for e-commerce credit card fraud detection and their assessment in a real setting. The case study, based on a six-month dataset (more than 200 million e-commerce transactions) provided by the industrial partner, relates to the transfer of detection models developed for a European country to another country. In particular, we present and discuss 15 transfer learning techniques (ranging from naive baselines to state-of-the-art and new approaches), making a critical and quantitative comparison in terms of precision for different transfer scenarios. Our contributions are twofold: (i) we show that the accuracy of many transfer methods is strongly dependent on the number of labeled samples in the target domain and (ii) we propose an ensemble solution to this problem based on self-supervised and semi-supervised domain adaptation classifiers. The thorough experimental assessment shows that this solution is both highly accurate and hardly sensitive to the number of labeled samples

A review of domain adaptation without target labels

Domain adaptation has become a prominent problem setting in machine learning and related fields. This review asks the question: how can a classifier learn from a source domain and generalize to a target domain? We present a categorization of approaches, divided into, what we refer to as, sample-based, feature-based and inference-based methods. Sample-based methods focus on weighting individual observations during training based on their importance to the target domain. Feature-based methods revolve around on mapping, projecting and representing features such that a source classifier performs well on the target domain and inference-based methods incorporate adaptation into the parameter estimation procedure, for instance through constraints on the optimization procedure. Additionally, we review a number of conditions that allow for formulating bounds on the cross-domain generalization error. Our categorization highlights recurring ideas and raises questions important to further research.Comment: 20 pages, 5 figure

SPINEX: Similarity-based Predictions and Explainable Neighbors Exploration for Regression and Classification Tasks in Machine Learning

The field of machine learning (ML) has witnessed significant advancements in recent years. However, many existing algorithms lack interpretability and struggle with high-dimensional and imbalanced data. This paper proposes SPINEX, a novel similarity-based interpretable neighbor exploration algorithm designed to address these limitations. This algorithm combines ensemble learning and feature interaction analysis to achieve accurate predictions and meaningful insights by quantifying each feature's contribution to predictions and identifying interactions between features, thereby enhancing the interpretability of the algorithm. To evaluate the performance of SPINEX, extensive experiments on 59 synthetic and real datasets were conducted for both regression and classification tasks. The results demonstrate that SPINEX achieves comparative performance and, in some scenarios, may outperform commonly adopted ML algorithms. The same findings demonstrate the effectiveness and competitiveness of SPINEX, making it a promising approach for various real-world applications

Stratified Learning: a general-purpose statistical method for improved learning under Covariate Shift

Covariate shift arises when the labelled training (source) data is not representative of the unlabelled (target) data due to systematic differences in the covariate distributions. A supervised model trained on the source data subject to covariate shift may suffer from poor generalization on the target data. We propose a novel, statistically principled and theoretically justified method to improve learning under covariate shift conditions, based on propensity score stratification, a well-established methodology in causal inference. We show that the effects of covariate shift can be reduced or altogether eliminated by conditioning on propensity scores. In practice, this is achieved by fitting learners on subgroups ("strata") constructed by partitioning the data based on the estimated propensity scores, leading to balanced covariates and much-improved target prediction. We demonstrate the effectiveness of our general-purpose method on contemporary research questions in observational cosmology, and on additional benchmark examples, matching or outperforming state-of-the-art importance weighting methods, widely studied in the covariate shift literature. We obtain the best reported AUC (0.958) on the updated "Supernovae photometric classification challenge" and improve upon existing conditional density estimation of galaxy redshift from Sloan Data Sky Survey (SDSS) data