We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal component analysis. Using the extracted factors, we develop a novel forecasting method called the sufficient forecasting, which provides a set of sufficient predictive indices, inferred from high-dimensional predictors, to deliver additional predictive power. The projected principal component analysis will be employed to enhance the accuracy of inferred factors when a semi-parametric (approximate) factor model is assumed. Our method is also applicable to cross-sectional sufficient regression using extracted factors. The connection between the sufficient forecasting and the deep learning architecture is explicitly stated. The sufficient forecasting correctly estimates projection indices of the underlying factors even in the presence of a nonparametric forecasting function. The proposed method extends the sufficient dimension reduction to high-dimensional regimes by condensing the cross-sectional information through factor models. We derive asymptotic properties for the estimate of the central subspace spanned by these projection directions as well as the estimates of the sufficient predictive indices. We further show that the natural method of running multiple regression of target on estimated factors yields a linear estimate that actually falls into this central subspace. Our method and theory allow the number of predictors to be larger than the number of observations. We finally demonstrate that the sufficient forecasting improves upon the linear forecasting in both simulation studies and an empirical study of forecasting macroeconomic variables.

We survey concepts at the frontier of research connecting artificial, animal and human cognition to computation and information processing---from the Turing test to Searle's Chinese Room argument, from Integrated Information Theory to computational and algorithmic complexity. We start by arguing that passing the Turing test is a trivial computational problem and that its pragmatic difficulty sheds light on the computational nature of the human mind more than it does on the challenge of artificial intelligence. We then review our proposed algorithmic information-theoretic measures for quantifying and characterizing cognition in various forms. These are capable of accounting for known biases in human behavior, thus vindicating a computational algorithmic view of cognition as first suggested by Turing, but this time rooted in the concept of algorithmic probability, which in turn is based on computational universality while being independent of computational model, and which has the virtue of being predictive and testable as a model theory of cognitive behavior.

This paper defines adversarial reasoning as computational approaches to inferring and anticipating an enemy's perceptions, intents and actions. It argues that adversarial reasoning transcends the boundaries of game theory and must also leverage such disciplines as cognitive modeling, control theory, AI planning and others. To illustrate the challenges of applying adversarial reasoning to real-world problems, the paper explores the lessons learned in the CADET -- a battle planning system that focuses on brigade-level ground operations and involves adversarial reasoning. From this example of current capabilities, the paper proceeds to describe RAID -- a DARPA program that aims to build capabilities in adversarial reasoning, and how such capabilities would address practical requirements in Defense and other application areas.

We present a domain-general account of causation that applies to settings in which macro-level causal relations between two systems are of interest, but the relevant causal features are poorly understood and have to be aggregated from vast arrays of micro-measurements. Our approach generalizes that of Chalupka et al. (2015) to the setting in which the macro-level effect is not specified. We formalize the connection between micro- and macro-variables in such situations and provide a coherent framework describing causal relations at multiple levels of analysis. We present an algorithm that discovers macro-variable causes and effects from micro-level measurements obtained from an experiment. We further show how to design experiments to discover macro-variables from observational micro-variable data. Finally, we show that under specific conditions, one can identify multiple levels of causal structure. Throughout the article, we use a simulated neuroscience multi-unit recording experiment to illustrate the ideas and the algorithms.

Effective training of deep neural networks suffers from two main issues. The first is that the parameter spaces of these models exhibit pathological curvature. Recent methods address this problem by using adaptive preconditioning for Stochastic Gradient Descent (SGD). These methods improve convergence by adapting to the local geometry of parameter space. A second issue is overfitting, which is typically addressed by early stopping. However, recent work has demonstrated that Bayesian model averaging mitigates this problem. The posterior can be sampled by using Stochastic Gradient Langevin Dynamics (SGLD). However, the rapidly changing curvature renders default SGLD methods inefficient. Here, we propose combining adaptive preconditioners with SGLD. In support of this idea, we give theoretical properties on asymptotic convergence and predictive risk. We also provide empirical results for Logistic Regression, Feedforward Neural Nets, and Convolutional Neural Nets, demonstrating that our preconditioned SGLD method gives state-of-the-art performance on these models.

We present an adaptive online gradient descent algorithm to solve online convex optimization problems with long-term constraints , which are constraints that need to be satisfied when accumulated over a finite number of rounds T , but can be violated in intermediate rounds. For some user-defined trade-off parameter $\beta$ $\in$ (0, 1), the proposed algorithm achieves cumulative regret bounds of O(T^max{$\beta$,1--$\beta$}) and O(T^(1--$\beta$/2)) for the loss and the constraint violations respectively. Our results hold for convex losses and can handle arbitrary convex constraints without requiring knowledge of the number of rounds in advance. Our contributions improve over the best known cumulative regret bounds by Mahdavi, et al. (2012) that are respectively O(T^1/2) and O(T^3/4) for general convex domains, and respectively O(T^2/3) and O(T^2/3) when further restricting to polyhedral domains. We supplement the analysis with experiments validating the performance of our algorithm in practice.

Learning in deep models using Bayesian methods has generated significant attention recently. This is largely because of the feasibility of modern Bayesian methods to yield scalable learning and inference, while maintaining a measure of uncertainty in the model parameters. Stochastic gradient MCMC algorithms (SG-MCMC) are a family of diffusion-based sampling methods for large-scale Bayesian learning. In SG-MCMC, multivariate stochastic gradient thermostats (mSGNHT) augment each parameter of interest, with a momentum and a thermostat variable to maintain stationary distributions as target posterior distributions. As the number of variables in a continuous-time diffusion increases, its numerical approximation error becomes a practical bottleneck, so better use of a numerical integrator is desirable. To this end, we propose use of an efficient symmetric splitting integrator in mSGNHT, instead of the traditional Euler integrator. We demonstrate that the proposed scheme is more accurate, robust, and converges faster. These properties are demonstrated to be desirable in Bayesian deep learning. Extensive experiments on two canonical models and their deep extensions demonstrate that the proposed scheme improves general Bayesian posterior sampling, particularly for deep models.

We consider the Max $K$-Armed Bandit problem, where a learning agent is faced with several stochastic arms, each a source of i.i.d. rewards of unknown distribution. At each time step the agent chooses an arm, and observes the reward of the obtained sample. Each sample is considered here as a separate item with the reward designating its value, and the goal is to find an item with the highest possible value. Our basic assumption is a known lower bound on the {\em tail function} of the reward distributions. Under the PAC framework, we provide a lower bound on the sample complexity of any $(\epsilon,\delta)$-correct algorithm, and propose an algorithm that attains this bound up to logarithmic factors. We analyze the robustness of the proposed algorithm and in addition, we compare the performance of this algorithm to the variant in which the arms are not distinguishable by the agent and are chosen randomly at each stage. Interestingly, when the maximal rewards of the arms happen to be similar, the latter approach may provide better performance.

We show that the objective function of conventional k-means clustering can be expressed as the Frobenius norm of the difference of a data matrix and a low rank approximation of that data matrix. In short, we show that k-means clustering is a matrix factorization problem. These notes are meant as a reference and intended to provide a guided tour towards a result that is often mentioned but seldom made explicit in the literature.

Mean field variational Bayes (MFVB) is a popular posterior approximation method due to its fast runtime on large-scale data sets. However, it is well known that a major failing of MFVB is that it underestimates the uncertainty of model variables (sometimes severely) and provides no information about model variable covariance. We generalize linear response methods from statistical physics to deliver accurate uncertainty estimates for model variables---both for individual variables and coherently across variables. We call our method linear response variational Bayes (LRVB). When the MFVB posterior approximation is in the exponential family, LRVB has a simple, analytic form, even for non-conjugate models. Indeed, we make no assumptions about the form of the true posterior. We demonstrate the accuracy and scalability of our method on a range of models for both simulated and real data.