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Modeling Human Decision-making in Generalized Gaussian Multi-armed Bandits

arXiv.org Machine Learning

We present a formal model of human decision-making in explore-exploit tasks using the context of multi-armed bandit problems, where the decision-maker must choose among multiple options with uncertain rewards. We address the standard multi-armed bandit problem, the multi-armed bandit problem with transition costs, and the multi-armed bandit problem on graphs. We focus on the case of Gaussian rewards in a setting where the decision-maker uses Bayesian inference to estimate the reward values. We model the decision-maker's prior knowledge with the Bayesian prior on the mean reward. We develop the upper credible limit (UCL) algorithm for the standard multi-armed bandit problem and show that this deterministic algorithm achieves logarithmic cumulative expected regret, which is optimal performance for uninformative priors. We show how good priors and good assumptions on the correlation structure among arms can greatly enhance decision-making performance, even over short time horizons. We extend to the stochastic UCL algorithm and draw several connections to human decision-making behavior. We present empirical data from human experiments and show that human performance is efficiently captured by the stochastic UCL algorithm with appropriate parameters. For the multi-armed bandit problem with transition costs and the multi-armed bandit problem on graphs, we generalize the UCL algorithm to the block UCL algorithm and the graphical block UCL algorithm, respectively. We show that these algorithms also achieve logarithmic cumulative expected regret and require a sub-logarithmic expected number of transitions among arms. We further illustrate the performance of these algorithms with numerical examples.


Representing and Reasoning About the Rules of General Games With Imperfect Information

Journal of Artificial Intelligence Research

A general game player is a system that can play previously unknown games just by being given their rules. For this purpose, the Game Description Language (GDL) has been developed as a high-level knowledge representation formalism to communicate game rules to players. In this paper, we address a fundamental limitation of state-of-the-art methods and systems for General Game Playing, namely, their being confined to deterministic games with complete information about the game state. We develop a simple yet expressive extension of standard GDL that allows for formalising the rules of arbitrary finite, n-player games with randomness and incomplete state knowledge. In the second part of the paper, we address the intricate reasoning challenge for general game-playing systems that comes with the new description language. We develop a full embedding of extended GDL into the Situation Calculus augmented by Scherl and Levesque's knowledge fluent. We formally prove that this provides a sound and complete reasoning method for players' knowledge about game states as well as about the knowledge of the other players.


Generative Modelling for Unsupervised Score Calibration

arXiv.org Machine Learning

ABSTRACT Score calibration enables automatic speaker recognizers to make cost-effective accept / reject decisions. Traditional calibration requires supervised data, which is an expensive resource. We propose a 2-component GMM for unsupervised calibration and demonstrate good performance relative to a supervised baseline on NIST SRE'10 and SRE'12. A Bayesian analysis demonstrates that the uncertainty associated with the unsupervised calibration parameter estimates is surprisingly small. Index Terms-- calibration, unsupervised learning, Laplace approximation, automatic speaker recognition 1. INTRODUCTION Automatic speaker recognizers map trials to scores.


Authorship Analysis based on Data Compression

arXiv.org Machine Learning

This paper proposes to perform authorship analysis using the Fast Compression Distance (FCD), a similarity measure based on compression with dictionaries directly extracted from the written texts. The FCD computes a similarity between two documents through an effective binary search on the intersection set between the two related dictionaries. In the reported experiments the proposed method is applied to documents which are heterogeneous in style, written in five different languages and coming from different historical periods. Results are comparable to the state of the art and outperform traditional compression-based methods.


Stochastic Gradient Estimate Variance in Contrastive Divergence and Persistent Contrastive Divergence

arXiv.org Machine Learning

Contrastive Divergence (CD) and Persistent Contrastive Divergence (PCD) are popular methods for training the weights of Restricted Boltzmann Machines. However, both methods use an approximate method for sampling from the model distribution. As a side effect, these approximations yield significantly different biases and variances for stochastic gradient estimates of individual data points. It is well known that CD yields a biased gradient estimate. In this paper we however show empirically that CD has a lower stochastic gradient estimate variance than exact sampling, while the mean of subsequent PCD estimates has a higher variance than exact sampling. The results give one explanation to the finding that CD can be used with smaller minibatches or higher learning rates than PCD.


The Law of Total Odds

arXiv.org Machine Learning

The law of total probability may be deployed in binary classification exercises to estimate the unconditional class probabilities if the class proportions in the training set are not representative of the population class proportions. We argue that this is not a conceptually sound approach and suggest an alternative based on the new law of total odds. We quantify the bias of the total probability estimator of the unconditional class probabilities and show that the total odds estimator is unbiased. The sample version of the total odds estimator is shown to coincide with a maximum-likelihood estimator known from the literature. The law of total odds can also be used for transforming the conditional class probabilities if independent estimates of the unconditional class probabilities of the population are available. Keywords: Total probability, likelihood ratio, Bayes' formula, binary classification, relative odds, unbiased estimator, supervised learning, dataset shift.


Austerity in MCMC Land: Cutting the Metropolis-Hastings Budget

arXiv.org Machine Learning

Markov chain Monte Carlo (MCMC) sampling has been the main workhorse of Bayesian computation since the 1990s. A canonical MCMC algorithm proposes samples from a distribution q and then accepts or rejects these proposals with a certain probability given by the Metropolis-Hastings (MH) formula [Metropolis et al., 1953, Hastings, 1970]. For each proposed sample, the MH rule needs to examine the likelihood of all dataitems. When the number of data-cases is large this is an awful lot of computation for one bit of information, namely whether to accept or reject a proposal. In today's Big Data world, we need to rethink our Bayesian inference algorithms. Standard MCMC methods do not meet the Big Data challenge for the reason described above. Researchers have made some progress in terms of making MCMC more efficient, mostly by focusing on parallelization. Very few question the algorithm itself: is the standard MCMC paradigm really optimally efficient in achieving its goals?


Gaussian Process Volatility Model

arXiv.org Machine Learning

The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function parameters are usually learned using maximum likelihood, which can lead to overfitting. To address these problems we introduce a novel model for time-changing variances using Gaussian Processes. A Gaussian Process (GP) defines a distribution over functions, which allows us to capture highly flexible functional relationships for the variances. In addition, we develop an online algorithm to perform inference. The algorithm has two main advantages. First, it takes a Bayesian approach, thereby avoiding overfitting. Second, it is much quicker than current offline inference procedures. Finally, our new model was evaluated on financial data and showed significant improvement in predictive performance over current standard models.


Squeezing bottlenecks: exploring the limits of autoencoder semantic representation capabilities

arXiv.org Machine Learning

We present a comprehensive study on the use of autoencoders for modelling text data, in which (differently from previous studies) we focus our attention on the following issues: i) we explore the suitability of two different models bDA and rsDA for constructing deep autoencoders for text data at the sentence level; ii) we propose and evaluate two novel metrics for better assessing the text-reconstruction capabilities of autoencoders; and iii) we propose an automatic method to find the critical bottleneck dimensionality for text language representations (below which structural information is lost).