This paper describes a new win-rate based bid shading algorithm (WR) that does not rely on the minimum-bid-to-win feedback from a Sell-Side Platform (SSP). The method uses a modified logistic regression to predict the profit from each possible shaded bid price. The function form allows fast maximization at run-time, a key requirement for Real-Time Bidding (RTB) systems. We report production results from this method along with several other algorithms. We found that bid shading, in general, can deliver significant value to advertisers, reducing price per impression to about 55% of the unshaded cost. Further, the particular approach described in this paper captures 7% more profit for advertisers, than do benchmark methods of just bidding the most probable winning price. We also report 4.3% higher surplus than an industry Sell-Side Platform shading service. Furthermore, we observed 3% - 7% lower eCPM, eCPC and eCPA when the algorithm was integrated with budget controllers. We attribute the gains above as being mainly due to the explicit maximization of the surplus function, and note that other algorithms can take advantage of this same approach.

In the field of chemistry, there have been many attempts to predict the properties of unknown compounds from statistical models constructed using machine learning. In an area where many known compounds are present (the interpolation area), an accurate model can be constructed. In contrast, data in areas where there are no known compounds (the extrapolation area) are generally difficult to predict. However, in the development of new materials, it is desirable to search this extrapolation area and discover compounds with unprecedented physical properties. In this paper, we propose Stochastic Threshold Model Trees (STMT), an extrapolation method that reflects the trend of the data, while maintaining the accuracy of conventional interpolation methods. The behavior of STMT is confirmed through experiments using both artificial and real data. In the case of the real data, although there is no significant overall improvement in accuracy, there is one compound for which the prediction accuracy is notably improved, suggesting that STMT reflects the data trends in the extrapolation area. We believe that the proposed method will contribute to more efficient searches in situations such as new material development.

In environmental epidemiology, it is critically important to identify subpopulations that are most vulnerable to the adverse effects of air pollution so we can develop targeted interventions. In recent years, there have been many methodological developments for addressing heterogeneity of treatment effects in causal inference. A common approach is to estimate the conditional average treatment effect (CATE) for a pre-specified covariate set. However, this approach does not provide an easy-to-interpret tool for identifying susceptible subpopulations or discover new subpopulations that are not defined a priori by the researchers. In this paper, we propose a new causal rule ensemble (CRE) method with two features simultaneously: 1) ensuring interpretability by revealing heterogeneous treatment effect structures in terms of decision rules and 2) providing CATE estimates with high statistical precision similar to causal machine learning algorithms. We provide theoretical results that guarantee consistency of the estimated causal effects for the newly discovered causal rules. Furthermore, via simulations, we show that the CRE method has competitive performance on its ability to discover subpopulations and then accurately estimate the causal effects. We also develop a new sensitivity analysis method that examine robustness to unmeasured confounding bias. Lastly, we apply the CRE method to the study of the effects of long-term exposure to air pollution on the 5-year mortality rate of the New England Medicare-enrolled population in United States. Code is available at https://github.com/kwonsang/causal_rule_ensemble.

Time series forecasting involves collecting and analyzing past observations to develop a model to extrapolate such observations into the future. Forecasting of future events is important in many fields to support decision making as it contributes to reducing the future uncertainty. We propose explainable boosted linear regression (EBLR) algorithm for time series forecasting, which is an iterative method that starts with a base model, and explains the model's errors through regression trees. At each iteration, the path leading to highest error is added as a new variable to the base model. In this regard, our approach can be considered as an improvement over general time series models since it enables incorporating nonlinear features by residuals explanation. More importantly, use of the single rule that contributes to the error most allows for interpretable results. The proposed approach extends to probabilistic forecasting through generating prediction intervals based on the empirical error distribution. We conduct a detailed numerical study with EBLR and compare against various other approaches. We observe that EBLR substantially improves the base model performance through extracted features, and provide a comparable performance to other well established approaches. The interpretability of the model predictions and high predictive accuracy of EBLR makes it a promising method for time series forecasting.

Artificial intelligence (AI) provides many opportunities to improve private and public life. Discovering patterns and structures in large troves of data in an automated manner is a core component of data science, and currently drives applications in diverse areas such as computational biology, law and finance. However, such a highly positive impact is coupled with significant challenges: how do we understand the decisions suggested by these systems in order that we can trust them? In this report, we focus specifically on data-driven methods -- machine learning (ML) and pattern recognition models in particular -- so as to survey and distill the results and observations from the literature. The purpose of this report can be especially appreciated by noting that ML models are increasingly deployed in a wide range of businesses. However, with the increasing prevalence and complexity of methods, business stakeholders in the very least have a growing number of concerns about the drawbacks of models, data-specific biases, and so on. Analogously, data science practitioners are often not aware about approaches emerging from the academic literature, or may struggle to appreciate the differences between different methods, so end up using industry standards such as SHAP. Here, we have undertaken a survey to help industry practitioners (but also data scientists more broadly) understand the field of explainable machine learning better and apply the right tools. Our latter sections build a narrative around a putative data scientist, and discuss how she might go about explaining her models by asking the right questions.

Let's now look at the common types of linear-regression analysis used in machine learning. There are four basic techniques that we're going to have a look at here. Other regression models can also be found, but they're not so commonly used. Simple linear regression uses one independent variable to explain or predict the outcome. For example, you have a table with the sample data concerning the temperature of cables and their durability.

In high dimensional setting, the facts that the classical ridge regression method cannot perform model selection on its own and it introduces large bias make this method an unsatisfactory tool for analyzing high dimensional linear models. In this paper, we propose the debiased and threshold ridge regression method which solves these drawbacks. Besides, focus on performing statistical inference and prediction of linear combinations of parameters, we provide a normal approximation theorem for the estimator and propose two bootstrap algorithms which provide joint confidence regions and prediction regions for the linear combinations. In statistical inference part, apart from the dimension of parameters, we allow the number of linear combinations to grow as sample size increases. From numerical experiments, we can see that the proposed regression method is robust with the fluctuation in ridge parameter and reduces estimation errors compared to classical and threshold ridge regression methods. Apart from theoretical interests, the proposed algorithms can be applied to disciplines such as econometrics, biology and etc.

Predictive analytics, sometimes referred to as big data analytics, relies on aspects of data mining as well as algorithms to develop predictive models. These predictive models can be used by enterprise marketers to more effectively develop predictions of future user behaviors based on the sourced historical data. These statistical models are growing as a result of the wide swaths of available current data as well as the advent of capable artificial intelligence and machine learning. The applications of predictive analytics are extensive and often require four key components to maintain effectiveness. Fundamental to any aspect of data science, it's difficult to develop accurate predictions or craft a decision tree if you're garnering insights from inadequate data sources.

Accurately determining a change in protein binding affinity upon mutations is important for the discovery and design of novel therapeutics and to assist mutagenesis studies. Determination of change in binding affinity upon mutations requires sophisticated, expensive, and time-consuming wet-lab experiments that can be aided with computational methods. Most of the computational prediction techniques require protein structures that limit their applicability to protein complexes with known structures. In this work, we explore the sequence-based prediction of change in protein binding affinity upon mutation. We have used protein sequence information instead of protein structures along with machine learning techniques to accurately predict the change in protein binding affinity upon mutation. Our proposed sequence-based novel change in protein binding affinity predictor called PANDA gives better accuracy than existing methods over the same validation set as well as on an external independent test dataset. On an external test dataset, our proposed method gives a maximum Pearson correlation coefficient of 0.52 in comparison to the state-of-the-art existing protein structure-based method called MutaBind which gives a maximum Pearson correlation coefficient of 0.59. Our proposed protein sequence-based method, to predict a change in binding affinity upon mutations, has wide applicability and comparable performance in comparison to existing protein structure-based methods.

An exciting, quite new branch of econometrics studies how machine learning techniques can be adapted to consistently estimate causal effects. For example, the widely cited article by Belloni, Chernozhukov and Hansen (2014) introduces a post double selection method where one first runs two lasso regressions to select suitable control variables for a final OLS regression. When I first heard about the method, it had the alluring promise to provide an objective way to select control variables that may reduce the scope of p-hacking. But assumptions may be violated and there may be plausible settings where the method fails. Unfortunately, I lack the deep econometric background to have a good intuitive assessment of the assumptions. But luckily even without a deep grasp of asymptotic theory, one can always combine some intuition with Monte-Carlo simulation to assess an econometric method.