Data-Driven Estimation in Equilibrium Using Inverse Optimization

Equilibrium modeling is common in a variety of fields such as game theory and transportation science. The inputs for these models, however, are often difficult to estimate, while their outputs, i.e., the equilibria they are meant to describe, are often directly observable. By combining ideas from inverse optimization with the theory of variational inequalities, we develop an efficient, data-driven technique for estimating the parameters of these models from observed equilibria. We use this technique to estimate the utility functions of players in a game from their observed actions and to estimate the congestion function on a road network from traffic count data. A distinguishing feature of our approach is that it supports both parametric and \emph{nonparametric} estimation by leveraging ideas from statistical learning (kernel methods and regularization operators). In computational experiments involving Nash and Wardrop equilibria in a nonparametric setting, we find that a) we effectively estimate the unknown demand or congestion function, respectively, and b) our proposed regularization technique substantially improves the out-of-sample performance of our estimators.Comment: 36 pages, 5 figures Additional theorems for generalization guarantees and statistical analysis adde

A Geometric Approach to Sound Source Localization from Time-Delay Estimates

This paper addresses the problem of sound-source localization from time-delay estimates using arbitrarily-shaped non-coplanar microphone arrays. A novel geometric formulation is proposed, together with a thorough algebraic analysis and a global optimization solver. The proposed model is thoroughly described and evaluated. The geometric analysis, stemming from the direct acoustic propagation model, leads to necessary and sufficient conditions for a set of time delays to correspond to a unique position in the source space. Such sets of time delays are referred to as feasible sets. We formally prove that every feasible set corresponds to exactly one position in the source space, whose value can be recovered using a closed-form localization mapping. Therefore we seek for the optimal feasible set of time delays given, as input, the received microphone signals. This time delay estimation problem is naturally cast into a programming task, constrained by the feasibility conditions derived from the geometric analysis. A global branch-and-bound optimization technique is proposed to solve the problem at hand, hence estimating the best set of feasible time delays and, subsequently, localizing the sound source. Extensive experiments with both simulated and real data are reported; we compare our methodology to four state-of-the-art techniques. This comparison clearly shows that the proposed method combined with the branch-and-bound algorithm outperforms existing methods. These in-depth geometric understanding, practical algorithms, and encouraging results, open several opportunities for future work.Comment: 13 pages, 2 figures, 3 table, journa

Almost-Smooth Histograms and Sliding-Window Graph Algorithms

We study algorithms for the sliding-window model, an important variant of the data-stream model, in which the goal is to compute some function of a fixed-length suffix of the stream. We extend the smooth-histogram framework of Braverman and Ostrovsky (FOCS 2007) to almost-smooth functions, which includes all subadditive functions. Specifically, we show that if a subadditive function can be $(1+\epsilon)$-approximated in the insertion-only streaming model, then it can be $(2+\epsilon)$-approximated also in the sliding-window model with space complexity larger by factor $O(\epsilon^{-1}\log w)$, where $w$ is the window size. We demonstrate how our framework yields new approximation algorithms with relatively little effort for a variety of problems that do not admit the smooth-histogram technique. For example, in the frequency-vector model, a symmetric norm is subadditive and thus we obtain a sliding-window $(2+\epsilon)$-approximation algorithm for it. Another example is for streaming matrices, where we derive a new sliding-window $(\sqrt{2}+\epsilon)$-approximation algorithm for Schatten $4$-norm. We then consider graph streams and show that many graph problems are subadditive, including maximum submodular matching, minimum vertex-cover, and maximum $k$-cover, thereby deriving sliding-window $O(1)$-approximation algorithms for them almost for free (using known insertion-only algorithms). Finally, we design for every $d\in (1,2]$ an artificial function, based on the maximum-matching size, whose almost-smoothness parameter is exactly $d$

Estimating the Distribution of Random Parameters in a Diffusion Equation Forward Model for a Transdermal Alcohol Biosensor

We estimate the distribution of random parameters in a distributed parameter model with unbounded input and output for the transdermal transport of ethanol in humans. The model takes the form of a diffusion equation with the input being the blood alcohol concentration and the output being the transdermal alcohol concentration. Our approach is based on the idea of reformulating the underlying dynamical system in such a way that the random parameters are now treated as additional space variables. When the distribution to be estimated is assumed to be defined in terms of a joint density, estimating the distribution is equivalent to estimating the diffusivity in a multi-dimensional diffusion equation and thus well-established finite dimensional approximation schemes, functional analytic based convergence arguments, optimization techniques, and computational methods may all be employed. We use our technique to estimate a bivariate normal distribution based on data for multiple drinking episodes from a single subject.Comment: 10 page

The Kalai-Smorodinski solution for many-objective Bayesian optimization

An ongoing aim of research in multiobjective Bayesian optimization is to extend its applicability to a large number of objectives. While coping with a limited budget of evaluations, recovering the set of optimal compromise solutions generally requires numerous observations and is less interpretable since this set tends to grow larger with the number of objectives. We thus propose to focus on a specific solution originating from game theory, the Kalai-Smorodinsky solution, which possesses attractive properties. In particular, it ensures equal marginal gains over all objectives. We further make it insensitive to a monotonic transformation of the objectives by considering the objectives in the copula space. A novel tailored algorithm is proposed to search for the solution, in the form of a Bayesian optimization algorithm: sequential sampling decisions are made based on acquisition functions that derive from an instrumental Gaussian process prior. Our approach is tested on four problems with respectively four, six, eight, and nine objectives. The method is available in the Rpackage GPGame available on CRAN at https://cran.r-project.org/package=GPGame

Optimal Precoders for Tracking the AoD and AoA of a mm-Wave Path

In millimeter-wave channels, most of the received energy is carried by a few paths. Traditional precoders sweep the angle-of-departure (AoD) and angle-of-arrival (AoA) space with directional precoders to identify directions with largest power. Such precoders are heuristic and lead to sub-optimal AoD/AoA estimation. We derive optimal precoders, minimizing the Cram\'{e}r-Rao bound (CRB) of the AoD/AoA, assuming a fully digital architecture at the transmitter and spatial filtering of a single path. The precoders are found by solving a suitable convex optimization problem. We demonstrate that the accuracy can be improved by at least a factor of two over traditional precoders, and show that there is an optimal number of distinct precoders beyond which the CRB does not improve.Comment: Resubmission to IEEE Trans. on Signal Processing. 12 pages and 9 figure

Optimal Data Acquisition for Statistical Estimation

We consider a data analyst's problem of purchasing data from strategic agents to compute an unbiased estimate of a statistic of interest. Agents incur private costs to reveal their data and the costs can be arbitrarily correlated with their data. Once revealed, data are verifiable. This paper focuses on linear unbiased estimators. We design an individually rational and incentive compatible mechanism that optimizes the worst-case mean-squared error of the estimation, where the worst-case is over the unknown correlation between costs and data, subject to a budget constraint in expectation. We characterize the form of the optimal mechanism in closed-form. We further extend our results to acquiring data for estimating a parameter in regression analysis, where private costs can correlate with the values of the dependent variable but not with the values of the independent variables