31 research outputs found
Bandit Online Optimization Over the Permutahedron
The permutahedron is the convex polytope with vertex set consisting of the
vectors for all permutations (bijections) over
. We study a bandit game in which, at each step , an
adversary chooses a hidden weight weight vector , a player chooses a
vertex of the permutahedron and suffers an observed loss of
.
A previous algorithm CombBand of Cesa-Bianchi et al (2009) guarantees a
regret of for a time horizon of . Unfortunately,
CombBand requires at each step an -by- matrix permanent approximation to
within improved accuracy as grows, resulting in a total running time that
is super linear in , making it impractical for large time horizons.
We provide an algorithm of regret with total time
complexity . The ideas are a combination of CombBand and a recent
algorithm by Ailon (2013) for online optimization over the permutahedron in the
full information setting. The technical core is a bound on the variance of the
Plackett-Luce noisy sorting process's "pseudo loss". The bound is obtained by
establishing positive semi-definiteness of a family of 3-by-3 matrices
generated from rational functions of exponentials of 3 parameters
Leading strategies in competitive on-line prediction
We start from a simple asymptotic result for the problem of on-line
regression with the quadratic loss function: the class of continuous
limited-memory prediction strategies admits a "leading prediction strategy",
which not only asymptotically performs at least as well as any continuous
limited-memory strategy but also satisfies the property that the excess loss of
any continuous limited-memory strategy is determined by how closely it imitates
the leading strategy. More specifically, for any class of prediction strategies
constituting a reproducing kernel Hilbert space we construct a leading
strategy, in the sense that the loss of any prediction strategy whose norm is
not too large is determined by how closely it imitates the leading strategy.
This result is extended to the loss functions given by Bregman divergences and
by strictly proper scoring rules.Comment: 20 pages; a conference version is to appear in the ALT'2006
proceeding
Optimal dynamic portfolio selection with earnings-at-risk
In this paper we investigate a continuous-time portfolio selection problem. Instead of using the classical variance as usual, we use earnings-at-risk (EaR) of terminal wealth as a measure of risk. In the settings of Black-Scholes type financial markets and constantly-rebalanced portfolio (CRP) investment strategies, we obtain closed-form expressions for the best CRP investment strategy and the efficient frontier of the mean-EaR problem, and compare our mean-EaR analysis to the classical mean-variance analysis and to the mean-CaR (capital-at-risk) analysis. We also examine some economic implications arising from using the mean-EaR model. © 2007 Springer Science+Business Media, LLC.postprin
The development, educational stratification and decomposition of mothers' and fathers' childcare time in Germany: an update for 2001-2013
"This study updates empirical knowledge about the development,(the educational stratification, and the decomposition of mothers' and fathers' childcare time in Germany with the most recent time use data. Using time series data from the German Time Use Study 2001/2002 and 2012/ 2013, we analyze time budgets for total childcare and six specific childcare activities on weekdays and weekends and estimate OLS regressions and Oaxaca decompositions. The study found that total childcare time has increased for mothers and fathers between 2001 and 2013 and that this change is predominantly due to increased time for basic childcare. It also found consistent evidence of an education gradient only for reading time with children. If there is significant change of time budgets between 2001 and 2013, this change seems to be driven by behavioral change rather than changing demographics. Our empirical findings on childcare time in Germany do not provide evidence of dynamics and stratification but rather of stability and similarity across parentsâ educational levels. Besides the updates on German parents' development, stratification and decomposition of time use for childcare, these analyses show that change in total childcare is not due to a proportional change over all single activities but due to changes in a few activities only." (author's abstract)"Diese Studie aktualisiert das empirische Wissen ĂŒber die Entwicklung, die Bildungsstratifizierung und die Dekomposition der Zeitverwendung von MĂŒttern und VĂ€tern fĂŒr Kinderbetreuung mit den aktuellen Zeitbudgetdaten fĂŒr Deutschland. Auf Basis der der letzten beiden Erhebungen der Deutschen Zeitverwendungsstudie 2001/2002 und 2012/2013 werden die Zeitbudgets fĂŒr die Gesamtzeit fĂŒr Kinderbetreuung sowie sechs EinzeltĂ€tigkeiten mit OLS-Regressionen und Oaxaca- Dekompositionen untersucht. Die Studie zeigt, dass die Zeit fĂŒr Kinderbetreuung von MĂŒttern und VĂ€tern zwischen 2001 und 2013 angestiegen ist, es einen Bildungsgradienten fĂŒr Vorlesen gibt und signifikante VerĂ€nderungen in den Zeitbudgets nicht auf KompositionsverĂ€nderung der Bevölkerung zurĂŒckgefĂŒhrt werden können. Insgesamt belegt die Studie weniger die Dynamik als vielmehr die StabilitĂ€t und die geringe Bildungsdifferenzierung der Zeitverwendung fĂŒr Kinderbetreuung. DarĂŒber hinaus wird gezeigt, dass die VerĂ€nderungen in der Gesamtzeit fĂŒr Kinderbetreuung nicht auf proportionale VerĂ€nderungen in allen, sondern nur auf VerĂ€nderungen in wenigen EinzeltĂ€tigkeiten zurĂŒckgefĂŒhrt werden können." (Autorenreferat
Strong entropy concentration, game theory and algorithmic randomness
We give a characterization of Maximum Entropy/Minimum Relative Entropy inference by providing two âstrong entropy concentrationâ theorems. These theorems unify and generalize Jaynesâ âconcentration phenomenonâ and Van Campenhout and Coverâs âconditional limit theoremâ. The theorems characterize exactly in what sense a âpriorâ distribution Q conditioned on a given constraint and the distribution P minimizing D(P//Q) over all P satisfyingthe constraint are âcloseâ to each other. We show how our theorems are related to âuniversal modelsâ for exponential families, thereby establishinga link with Rissanenâs MDL/stochastic complexity. We then apply our theorems to establish the relationship (A) between entropy concentration and a game-theoretic characterization of Maximum Entropy Inference due to TopsĂže and others; (B) between maximum entropy distributions and sequences that are random (in the sense of Martin-Löf/Kolmogorov) with respect to the given constraint. These two applications have strong implications for the use of Maximum Entropy distributions in sequential prediction tasks, both for the logarithmic loss and for general loss functions. We identify circumstances under which Maximum Entropy predictions are almost optimal
Learning Probability Distributions over Permutations by Means of Fourier Coefficients
A large and increasing number of data mining domains consider data
that can be represented as permutations. Therefore, it is important to
devise new methods to learn predictive models over datasets of permutations.
However, maintaining models, such as probability distributions,
over the space of permutations is a hard task since there are n! permutations
of n elements. Recently the Fourier transform has been successfully
generalized to functions over permutations and offers an attractive
way to represent uncertainty over the space of permutations. One of its
main advantages is that the Fourier transform compactly summarizes approximations
to functions by discarding high order marginals information.
Moreover, a lately proposed framework for making inference completely
in the Fourier domain has opened new doors for efficiently reasoning over
a space of permutations. In this paper, we present a method to learn
a probability distribution that approximates the generating distribution
of a given sample of permutations. Particularly, this method learns the
Fourier domain information representing this probability distribution