8,729 research outputs found
Continuous-Discrete Path Integral Filtering
A summary of the relationship between the Langevin equation,
Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral
descriptions of stochastic processes relevant for the solution of the
continuous-discrete filtering problem is provided in this paper. The practical
utility of the path integral formula is demonstrated via some nontrivial
examples. Specifically, it is shown that the simplest approximation of the path
integral formula for the fundamental solution of the FPKfe can be applied to
solve nonlinear continuous-discrete filtering problems quite accurately. The
Dirac-Feynman path integral filtering algorithm is quite simple, and is
suitable for real-time implementation.Comment: 35 pages, 18 figures, JHEP3 clas
Econometrics for Learning Agents
The main goal of this paper is to develop a theory of inference of player
valuations from observed data in the generalized second price auction without
relying on the Nash equilibrium assumption. Existing work in Economics on
inferring agent values from data relies on the assumption that all participant
strategies are best responses of the observed play of other players, i.e. they
constitute a Nash equilibrium. In this paper, we show how to perform inference
relying on a weaker assumption instead: assuming that players are using some
form of no-regret learning. Learning outcomes emerged in recent years as an
attractive alternative to Nash equilibrium in analyzing game outcomes, modeling
players who haven't reached a stable equilibrium, but rather use algorithmic
learning, aiming to learn the best way to play from previous observations. In
this paper we show how to infer values of players who use algorithmic learning
strategies. Such inference is an important first step before we move to testing
any learning theoretic behavioral model on auction data. We apply our
techniques to a dataset from Microsoft's sponsored search ad auction system
What Can We Learn Privately?
Learning problems form an important category of computational tasks that
generalizes many of the computations researchers apply to large real-life data
sets. We ask: what concept classes can be learned privately, namely, by an
algorithm whose output does not depend too heavily on any one input or specific
training example? More precisely, we investigate learning algorithms that
satisfy differential privacy, a notion that provides strong confidentiality
guarantees in contexts where aggregate information is released about a database
containing sensitive information about individuals. We demonstrate that,
ignoring computational constraints, it is possible to privately agnostically
learn any concept class using a sample size approximately logarithmic in the
cardinality of the concept class. Therefore, almost anything learnable is
learnable privately: specifically, if a concept class is learnable by a
(non-private) algorithm with polynomial sample complexity and output size, then
it can be learned privately using a polynomial number of samples. We also
present a computationally efficient private PAC learner for the class of parity
functions. Local (or randomized response) algorithms are a practical class of
private algorithms that have received extensive investigation. We provide a
precise characterization of local private learning algorithms. We show that a
concept class is learnable by a local algorithm if and only if it is learnable
in the statistical query (SQ) model. Finally, we present a separation between
the power of interactive and noninteractive local learning algorithms.Comment: 35 pages, 2 figure
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization.
In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical realizability. Then we study utility maximization problems on incomplete financial markets whose dynamics are governed by continuous semimartingales. Adapting standard methods that solve the utility maximization problem using BSDEs, we give solutions for the portfolio optimization problem which involve the delivery of a liability at maturity. We illustrate our study by numerical simulations for selected examples. As a byproduct we prove existence of a solution to a very particular quadratic growth BSDE with unbounded terminal condition. This complements results on this topic obtained in [6, 7, 8].numerical scheme; stochastic optimal control; utility optimization; quadratic growth; distortion transformation; logarithmic transformation; BSPDE; BSDE;
MVG Mechanism: Differential Privacy under Matrix-Valued Query
Differential privacy mechanism design has traditionally been tailored for a
scalar-valued query function. Although many mechanisms such as the Laplace and
Gaussian mechanisms can be extended to a matrix-valued query function by adding
i.i.d. noise to each element of the matrix, this method is often suboptimal as
it forfeits an opportunity to exploit the structural characteristics typically
associated with matrix analysis. To address this challenge, we propose a novel
differential privacy mechanism called the Matrix-Variate Gaussian (MVG)
mechanism, which adds a matrix-valued noise drawn from a matrix-variate
Gaussian distribution, and we rigorously prove that the MVG mechanism preserves
-differential privacy. Furthermore, we introduce the concept
of directional noise made possible by the design of the MVG mechanism.
Directional noise allows the impact of the noise on the utility of the
matrix-valued query function to be moderated. Finally, we experimentally
demonstrate the performance of our mechanism using three matrix-valued queries
on three privacy-sensitive datasets. We find that the MVG mechanism notably
outperforms four previous state-of-the-art approaches, and provides comparable
utility to the non-private baseline.Comment: Appeared in CCS'1
Combinatorial Assortment Optimization
Assortment optimization refers to the problem of designing a slate of
products to offer potential customers, such as stocking the shelves in a
convenience store. The price of each product is fixed in advance, and a
probabilistic choice function describes which product a customer will choose
from any given subset. We introduce the combinatorial assortment problem, where
each customer may select a bundle of products. We consider a model of consumer
choice where the relative value of different bundles is described by a
valuation function, while individual customers may differ in their absolute
willingness to pay, and study the complexity of the resulting optimization
problem. We show that any sub-polynomial approximation to the problem requires
exponentially many demand queries when the valuation function is XOS, and that
no FPTAS exists even for succinctly-representable submodular valuations. On the
positive side, we show how to obtain constant approximations under a
"well-priced" condition, where each product's price is sufficiently high. We
also provide an exact algorithm for -additive valuations, and show how to
extend our results to a learning setting where the seller must infer the
customers' preferences from their purchasing behavior
Differentially Private Decomposable Submodular Maximization
We study the problem of differentially private constrained maximization of
decomposable submodular functions. A submodular function is decomposable if it
takes the form of a sum of submodular functions. The special case of maximizing
a monotone, decomposable submodular function under cardinality constraints is
known as the Combinatorial Public Projects (CPP) problem [Papadimitriou et al.,
2008]. Previous work by Gupta et al. [2010] gave a differentially private
algorithm for the CPP problem. We extend this work by designing differentially
private algorithms for both monotone and non-monotone decomposable submodular
maximization under general matroid constraints, with competitive utility
guarantees. We complement our theoretical bounds with experiments demonstrating
empirical performance, which improves over the differentially private
algorithms for the general case of submodular maximization and is close to the
performance of non-private algorithms
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