Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new formula for the gradient of the CVaR in the form of a conditional expectation. Based on this formula, we propose a novel sampling-based estimator for the CVaR gradient, in the spirit of the likelihood-ratio method. We analyze the bias of the estimator, and prove the convergence of a corresponding stochastic gradient descent algorithm to a local CVaR optimum. Our method allows to consider CVaR optimization in new domains. As an example, we consider a reinforcement learning application, and learn a risk-sensitive controller for the game of Tetris.

Human computation or crowdsourcing involves joint inference of the ground-truth-answers and the worker-abilities by optimizing an objective function, for instance, by maximizing the data likelihood based on an assumed underlying model. A variety of methods have been proposed in the literature to address this inference problem. As far as we know, none of the objective functions in existing methods is convex. In machine learning and applied statistics, a convex function such as the objective function of support vector machines (SVMs) is generally preferred, since it can leverage the high-performance algorithms and rigorous guarantees established in the extensive literature on convex optimization. One may thus wonder if there exists a meaningful convex objective function for the inference problem in human computation. In this paper, we investigate this convexity issue for human computation. We take an axiomatic approach by formulating a set of axioms that impose two mild and natural assumptions on the objective function for the inference. Under these axioms, we show that it is unfortunately impossible to ensure convexity of the inference problem. On the other hand, we show that interestingly, in the absence of a requirement to model "spammers", one can construct reasonable objective functions for crowdsourcing that guarantee convex inference.

Originally designed to model text, topic modeling has become a powerful tool for uncovering latent structure in domains including medicine, finance, and vision. The goals for the model vary depending on the application: in some cases, the discovered topics may be used for prediction or some other downstream task. In other cases, the content of the topic itself may be of intrinsic scientific interest. Unfortunately, even using modern sparse techniques, the discovered topics are often difficult to interpret due to the high dimensionality of the underlying space. To improve topic interpretability, we introduce Graph-Sparse LDA, a hierarchical topic model that leverages knowledge of relationships between words (e.g., as encoded by an ontology). In our model, topics are summarized by a few latent concept-words from the underlying graph that explain the observed words. Graph-Sparse LDA recovers sparse, interpretable summaries on two real-world biomedical datasets while matching state-of-the-art prediction performance.

We study the problem of predicting the future, though only in the probabilistic sense of estimating a future state of a time-varying probability distribution. This is not only an interesting academic problem, but solving this extrapolation problem also has many practical application, e.g. for training classifiers that have to operate under time-varying conditions. Our main contribution is a method for predicting the next step of the time-varying distribution from a given sequence of sample sets from earlier time steps. For this we rely on two recent machine learning techniques: embedding probability distributions into a reproducing kernel Hilbert space, and learning operators by vector-valued regression. We illustrate the working principles and the practical usefulness of our method by experiments on synthetic and real data. We also highlight an exemplary application: training a classifier in a domain adaptation setting without having access to examples from the test time distribution at training time.

Estimating the difficulty level of math word problems is an important task for many educational applications. Identification of relevant and irrelevant sentences in math word problems is an important step for calculating the difficulty levels of such problems. This paper addresses a novel application of text categorization to identify two types of sentences in mathematical word problems, namely relevant and irrelevant sentences. A novel joint probabilistic classification model is proposed to estimate the joint probability of classification decisions for all sentences of a math word problem by utilizing the correlation among all sentences along with the correlation between the question sentence and other sentences, and sentence text. The proposed model is compared with i) a SVM classifier which makes independent classification decisions for individual sentences by only using the sentence text and ii) a novel SVM classifier that considers the correlation between the question sentence and other sentences along with the sentence text. An extensive set of experiments demonstrates the effectiveness of the joint probabilistic classification model for identifying relevant and irrelevant sentences as well as the novel SVM classifier that utilizes the correlation between the question sentence and other sentences. Furthermore, empirical results and analysis show that i) it is highly beneficial not to remove stopwords and ii) utilizing part of speech tagging does not make a significant improvement although it has been shown to be effective for the related task of math word problem type classification.

In this thesis, we propose several modelling strategies to tackle evolving data in different contexts. In the framework of static clustering, we start by introducing a soft kernel spectral clustering (SKSC) algorithm, which can better deal with overlapping clusters with respect to kernel spectral clustering (KSC) and provides more interpretable outcomes. Afterwards, a whole strategy based upon KSC for community detection of static networks is proposed, where the extraction of a high quality training sub-graph, the choice of the kernel function, the model selection and the applicability to large-scale data are key aspects. This paves the way for the development of a novel clustering algorithm for the analysis of evolving networks called kernel spectral clustering with memory effect (MKSC), where the temporal smoothness between clustering results in successive time steps is incorporated at the level of the primal optimization problem, by properly modifying the KSC formulation. Later on, an application of KSC to fault detection of an industrial machine is presented. Here, a smart pre-processing of the data by means of a proper windowing operation is necessary to catch the ongoing degradation process affecting the machine. In this way, in a genuinely unsupervised manner, it is possible to raise an early warning when necessary, in an online fashion. Finally, we propose a new algorithm called incremental kernel spectral clustering (IKSC) for online learning of non-stationary data. This ambitious challenge is faced by taking advantage of the out-of-sample property of kernel spectral clustering (KSC) to adapt the initial model, in order to tackle merging, splitting or drifting of clusters across time. Real-world applications considered in this thesis include image segmentation, time-series clustering, community detection of static and evolving networks.

This paper proposed a new regression model called $l_1$-regularized outlier isolation and regression (LOIRE) and a fast algorithm based on block coordinate descent to solve this model. Besides, assuming outliers are gross errors following a Bernoulli process, this paper also presented a Bernoulli estimate model which, in theory, should be very accurate and robust due to its complete elimination of affections caused by outliers. Though this Bernoulli estimate is hard to solve, it could be approximately achieved through a process which takes LOIRE as an important intermediate step. As a result, the approximate Bernoulli estimate is a good combination of Bernoulli estimate's accuracy and LOIRE regression's efficiency with several simulations conducted to strongly verify this point. Moreover, LOIRE can be further extended to realize robust rank factorization which is powerful in recovering low-rank component from massive corruptions. Extensive experimental results showed that the proposed method outperforms state-of-the-art methods like RPCA and GoDec in the aspect of computation speed with a competitive performance.

Computational intensity and sequential nature of estimation techniques for Bayesian methods in statistics and machine learning, combined with their increasing applications for big data analytics, necessitate both the identification of potential opportunities to parallelize techniques such as MCMC sampling, and the development of general strategies for mapping such parallel algorithms to modern CPUs in order to elicit the performance up the compute-based and/or memory-based hardware limits. Two opportunities for Single-Instruction Multiple-Data (SIMD) parallelization of MCMC sampling for probabilistic graphical models are presented. In exchangeable models with many observations such as Bayesian Generalized Linear Models, child-node contributions to the conditional posterior of each node can be calculated concurrently. In undirected graphs with discrete nodes, concurrent sampling of conditionally-independent nodes can be transformed into a SIMD form. High-performance libraries with multi-threading and vectorization capabilities can be readily applied to such SIMD opportunities to gain decent speedup, while a series of high-level source-code and runtime modifications provide further performance boost by reducing parallelization overhead and increasing data locality for NUMA architectures. For big-data Bayesian GLM graphs, the end-result is a routine for evaluating the conditional posterior and its gradient vector that is 5 times faster than a naive implementation using (built-in) multi-threaded Intel MKL BLAS, and reaches within the striking distance of the memory-bandwidth-induced hardware limit. The proposed optimization strategies improve the scaling of performance with number of cores and width of vector units (applicable to many-core SIMD processors such as Intel Xeon Phi and GPUs), resulting in cost-effectiveness, energy efficiency, and higher speed on multi-core x86 processors.

Modeling dynamical systems with ordinary differential equations implies a mechanistic view of the process underlying the dynamics. However in many cases, this knowledge is not available. To overcome this issue, we introduce a general framework for nonparametric ODE models using penalized regression in Reproducing Kernel Hilbert Spaces (RKHS) based on operator-valued kernels. Moreover, we extend the scope of gradient matching approaches to nonparametric ODE. A smooth estimate of the solution ODE is built to provide an approximation of the derivative of the ODE solution which is in turn used to learn the nonparametric ODE model. This approach benefits from the flexibility of penalized regression in RKHS allowing for ridge or (structured) sparse regression as well. Very good results are shown on 3 different ODE systems.

Binary classification is a common statistical learning problem in which a model is estimated on a set of covariates for some outcome indicating the membership of one of two classes. In the literature, there exists a distinction between hard and soft classification. In soft classification, the conditional class probability is modeled as a function of the covariates. In contrast, hard classification methods only target the optimal prediction boundary. While hard and soft classification methods have been studied extensively, not much work has been done to compare the actual tasks of hard and soft classification. In this paper we propose a spectrum of statistical learning problems which span the hard and soft classification tasks based on fitting multiple decision rules to the data. By doing so, we reveal a novel collection of learning tasks of increasing complexity. We study the problems using the framework of large-margin classifiers and a class of piecewise linear convex surrogates, for which we derive statistical properties and a corresponding sub-gradient descent algorithm. We conclude by applying our approach to simulation settings and a magnetic resonance imaging (MRI) dataset from the Alzheimer's Disease Neuroimaging Initiative (ADNI) study.