Nearly optimal solutions for the Chow Parameters Problem and low-weight approximation of halfspaces

The \emph{Chow parameters} of a Boolean function $f: \{-1,1\}^n \to \{-1,1\}$ are its $n+1$ degree-0 and degree-1 Fourier coefficients. It has been known since 1961 (Chow, Tannenbaum) that the (exact values of the) Chow parameters of any linear threshold function $f$ uniquely specify $f$ within the space of all Boolean functions, but until recently (O'Donnell and Servedio) nothing was known about efficient algorithms for \emph{reconstructing} $f$ (exactly or approximately) from exact or approximate values of its Chow parameters. We refer to this reconstruction problem as the \emph{Chow Parameters Problem.} Our main result is a new algorithm for the Chow Parameters Problem which, given (sufficiently accurate approximations to) the Chow parameters of any linear threshold function $f$, runs in time \tilde{O}(n^2)\cdot (1/\eps)^{O(\log^2(1/\eps))} and with high probability outputs a representation of an LTF $f'$ that is \eps-close to $f$. The only previous algorithm (O'Donnell and Servedio) had running time \poly(n) \cdot 2^{2^{\tilde{O}(1/\eps^2)}}. As a byproduct of our approach, we show that for any linear threshold function $f$ over $\{-1,1\}^n$, there is a linear threshold function $f'$ which is \eps-close to $f$ and has all weights that are integers at most \sqrt{n} \cdot (1/\eps)^{O(\log^2(1/\eps))}. This significantly improves the best previous result of Diakonikolas and Servedio which gave a \poly(n) \cdot 2^{\tilde{O}(1/\eps^{2/3})} weight bound, and is close to the known lower bound of $\max\{\sqrt{n},$ (1/\eps)^{\Omega(\log \log (1/\eps))}\} (Goldberg, Servedio). Our techniques also yield improved algorithms for related problems in learning theory

Approximate F_2-Sketching of Valuation Functions

We study the problem of constructing a linear sketch of minimum dimension that allows approximation of a given real-valued function f : F_2^n - > R with small expected squared error. We develop a general theory of linear sketching for such functions through which we analyze their dimension for most commonly studied types of valuation functions: additive, budget-additive, coverage, alpha-Lipschitz submodular and matroid rank functions. This gives a characterization of how many bits of information have to be stored about the input x so that one can compute f under additive updates to its coordinates. Our results are tight in most cases and we also give extensions to the distributional version of the problem where the input x in F_2^n is generated uniformly at random. Using known connections with dynamic streaming algorithms, both upper and lower bounds on dimension obtained in our work extend to the space complexity of algorithms evaluating f(x) under long sequences of additive updates to the input x presented as a stream. Similar results hold for simultaneous communication in a distributed setting

Bayesian emulation for optimization in multi-step portfolio decisions

We discuss the Bayesian emulation approach to computational solution of multi-step portfolio studies in financial time series. "Bayesian emulation for decisions" involves mapping the technical structure of a decision analysis problem to that of Bayesian inference in a purely synthetic "emulating" statistical model. This provides access to standard posterior analytic, simulation and optimization methods that yield indirect solutions of the decision problem. We develop this in time series portfolio analysis using classes of economically and psychologically relevant multi-step ahead portfolio utility functions. Studies with multivariate currency, commodity and stock index time series illustrate the approach and show some of the practical utility and benefits of the Bayesian emulation methodology.Comment: 24 pages, 7 figures, 2 table

Bottom-k and Priority Sampling, Set Similarity and Subset Sums with Minimal Independence

We consider bottom-k sampling for a set X, picking a sample S_k(X) consisting of the k elements that are smallest according to a given hash function h. With this sample we can estimate the relative size f=|Y|/|X| of any subset Y as |S_k(X) intersect Y|/k. A standard application is the estimation of the Jaccard similarity f=|A intersect B|/|A union B| between sets A and B. Given the bottom-k samples from A and B, we construct the bottom-k sample of their union as S_k(A union B)=S_k(S_k(A) union S_k(B)), and then the similarity is estimated as |S_k(A union B) intersect S_k(A) intersect S_k(B)|/k. We show here that even if the hash function is only 2-independent, the expected relative error is O(1/sqrt(fk)). For fk=Omega(1) this is within a constant factor of the expected relative error with truly random hashing. For comparison, consider the classic approach of kxmin-wise where we use k hash independent functions h_1,...,h_k, storing the smallest element with each hash function. For kxmin-wise there is an at least constant bias with constant independence, and it is not reduced with larger k. Recently Feigenblat et al. showed that bottom-k circumvents the bias if the hash function is 8-independent and k is sufficiently large. We get down to 2-independence for any k. Our result is based on a simply union bound, transferring generic concentration bounds for the hashing scheme to the bottom-k sample, e.g., getting stronger probability error bounds with higher independence. For weighted sets, we consider priority sampling which adapts efficiently to the concrete input weights, e.g., benefiting strongly from heavy-tailed input. This time, the analysis is much more involved, but again we show that generic concentration bounds can be applied.Comment: A short version appeared at STOC'1