Classifiers and rating scores are prone to implicitly codifying biases, which may be present in the training data, against protected classes (i.e., age, gender, or race). So it is important to understand how to design classifiers and scores that prevent discrimination in predictions. This paper develops computationally tractable algorithms for designing accurate but fair support vector machines (SVM's). Our approach imposes a constraint on the covariance matrices conditioned on each protected class, which leads to a nonconvex quadratic constraint in the SVM formulation. We develop iterative algorithms to compute fair linear and kernel SVM's, which solve a sequence of relaxations constructed using a spectral decomposition of the nonconvex constraint. Its effectiveness in achieving high prediction accuracy while ensuring fairness is shown through numerical experiments on several data sets.

Maximizing the area under the receiver operating characteristic curve (AUC) is a standard approach to imbalanced classification. So far, various supervised AUC optimization methods have been developed and they are also extended to semi-supervised scenarios to cope with small sample problems. However, existing semi-supervised AUC optimization methods rely on strong distributional assumptions, which are rarely satisfied in real-world problems. In this paper, we propose a novel semi-supervised AUC optimization method that does not require such restrictive assumptions. We first develop an AUC optimization method based only on positive and unlabeled data (PU-AUC) and then extend it to semi-supervised learning by combining it with a supervised AUC optimization method. We theoretically prove that, without the restrictive distributional assumptions, unlabeled data contribute to improving the generalization performance in PU and semi-supervised AUC optimization methods. Finally, we demonstrate the practical usefulness of the proposed methods through experiments.

In my last post, I covered the introduction to Regularization in supervised learning models. In this post, let's go over some of the regularization techniques widely used and the key difference between those. A regression model that uses L1 regularization technique is called Lasso Regression and model which uses L2 is called Ridge Regression. The key difference between these two is the penalty term. Ridge regression adds "squared magnitude" of coefficient as penalty term to the loss function.

This paper considers the problem of brain disease classification based on connectome data. A connectome is a network representation of a human brain. The typical connectome classification problem is very challenging because of the small sample size and high dimensionality of the data. We propose to use simultaneous approximate diagonalization of adjacency matrices in order to compute their eigenstructures in more stable way. The obtained approximate eigenvalues are further used as features for classification. The proposed approach is demonstrated to be efficient for detection of Alzheimer's disease, outperforming simple baselines and competing with state-of-the-art approaches to brain disease classification.

In this paper, we study the Nystr{\"o}m type subsampling for large scale kernel methods to reduce the computational complexities of big data. We discuss the multi-penalty regularization scheme based on Nystr{\"o}m type subsampling which is motivated from well-studied manifold regularization schemes. We develop a theoretical analysis of multi-penalty least-square regularization scheme under the general source condition in vector-valued function setting, therefore the results can also be applied to multi-task learning problems. We achieve the optimal minimax convergence rates of multi-penalty regularization using the concept of effective dimension for the appropriate subsampling size. We discuss an aggregation approach based on linear function strategy to combine various Nystr{\"o}m approximants. Finally, we demonstrate the performance of multi-penalty regularization based on Nystr{\"o}m type subsampling on Caltech-101 data set for multi-class image classification and NSL-KDD benchmark data set for intrusion detection problem.

We introduce a statistical physics inspired supervised machine learning algorithm for classification and regression problems. The method is based on the invariances or stability of predicted results when known data is represented as expansions in terms of various stochastic functions. The algorithm predicts the classification/regression values of new data by combining (via voting) the outputs of these numerous linear expansions in randomly chosen functions. The few parameters (typically only one parameter is used in all studied examples) that this model has may be automatically optimized. The algorithm has been tested on 10 diverse training data sets of various types and feature space dimensions. It has been shown to consistently exhibit high accuracy and readily allow for optimization of parameters, while simultaneously avoiding pitfalls of existing algorithms such as those associated with class imbalance. We very briefly speculate on whether spatial coordinates in physical theories may be viewed as emergent "features" that enable a robust machine learning type description of data with generic low order smooth functions.

We propose a dynamic edge exchangeable network model that can capture sparse connections observed in real temporal networks, in contrast to existing models which are dense. The model achieved superior link prediction accuracy on multiple data sets when compared to a dynamic variant of the blockmodel, and is able to extract interpretable time-varying community structures from the data. In addition to sparsity, the model accounts for the effect of social influence on vertices' future behaviours. Compared to the dynamic blockmodels, our model has a smaller latent space. The compact latent space requires a smaller number of parameters to be estimated in variational inference and results in a computationally friendly inference algorithm.

Molecular machine learning has been maturing rapidly over the last few years. Improved methods and the presence of larger datasets have enabled machine learning algorithms to make increasingly accurate predictions about molecular properties. However, algorithmic progress has been limited due to the lack of a standard benchmark to compare the efficacy of proposed methods; most new algorithms are benchmarked on different datasets making it challenging to gauge the quality of proposed methods. This work introduces MoleculeNet, a large scale benchmark for molecular machine learning. MoleculeNet curates multiple public datasets, establishes metrics for evaluation, and offers high quality open-source implementations of multiple previously proposed molecular featurization and learning algorithms (released as part of the DeepChem open source library). MoleculeNet benchmarks demonstrate that learnable representations are powerful tools for molecular machine learning and broadly offer the best performance. However, this result comes with caveats. Learnable representations still struggle to deal with complex tasks under data scarcity and highly imbalanced classification. For quantum mechanical and biophysical datasets, the use of physics-aware featurizations can be more important than choice of particular learning algorithm.

If you are out to describe the truth, leave elegance to the tailor. Machine learning is everywhere now, from self-driving cars to Siri and Google Translate, to news recommendation systems and, of course, trading. In the investing world, machine learning is at an inflection point. What was bleeding edge is rapidly going mainstream. It's being incorporated into mainstream tools, news recommendation engines, sentiment analysis, stock screeners. And the software frameworks are increasingly commoditized, so you don't need to be a machine learning specialist to make your own models and predictions. If you're an old-school quant investor, you may have been trained in traditional statistics paradigms and want to see if machine learning can improve your models and predictions. If so, then this primer is for you! Even if you're not planning to build your own models, AI tools are proliferating, and investors who use them will want to know the concepts behind them. And machine learning is transforming society with huge investing implications, so investors should know basically how it works. In school, when we studied modeling and forecasting, we were probably studying statistical methods. Those methods were created by geniuses like Pascal, Gauss, and Bernoulli.

Now that you have learnt how to manipulate data in the tutorials Basics & From Lab to Flow, you're ready to build a model to predict customer value. In this tutorial, you will create your first machine learning model by analyzing the historical customer records and order logs from Haiku T-Shirts. The goal of this tutorial is to predict whether a new customer will become a high-value customer, based on the information gathered during their first purchase. This tutorial assumes that you have completed Tutorial: From Lab to Flow prior to beginning this one! From Dataiku DSS home page, click on the Tutorials button in the left pane, and select Tutorial: Machine Learning. In the flow, you see the steps used in the previous tutorials to create, prepare, and join the customers and orders datasets.