Existing survival analysis techniques heavily rely on strong modelling assumptions and are, therefore, prone to model misspecification errors. In this paper, we develop an inferential method based on ideas from conformal prediction, which can wrap around any survival prediction algorithm to produce calibrated, covariate-dependent lower predictive bounds on survival times. In the Type I right-censoring setting, when the censoring times are completely exogenous, the lower predictive bounds have guaranteed coverage in finite samples without any assumptions other than that of operating on independent and identically distributed data points. Under a more general conditionally independent censoring assumption, the bounds satisfy a doubly robust property which states the following: marginal coverage is approximately guaranteed if either the censoring mechanism or the conditional survival function is estimated well. Further, we demonstrate that the lower predictive bounds remain valid and informative for other types of censoring. The validity and efficiency of our procedure are demonstrated on synthetic data and real COVID-19 data from the UK Biobank.

In this paper, we investigate the sample complexity of policy evaluation in infinite-horizon offline reinforcement learning (also known as the off-policy evaluation problem) with linear function approximation. We identify a hard regime $d\gamma^{2}>1$, where $d$ is the dimension of the feature vector and $\gamma$ is the discount rate. In this regime, for any $q\in[\gamma^{2},1]$, we can construct a hard instance such that the smallest eigenvalue of its feature covariance matrix is $q/d$ and it requires $\Omega\left(\frac{d}{\gamma^{2}\left(q-\gamma^{2}\right)\varepsilon^{2}}\exp\left(\Theta\left(d\gamma^{2}\right)\right)\right)$ samples to approximate the value function up to an additive error $\varepsilon$. Note that the lower bound of the sample complexity is exponential in $d$. If $q=\gamma^{2}$, even infinite data cannot suffice. Under the low distribution shift assumption, we show that there is an algorithm that needs at most $O\left(\max\left\{ \frac{\left\Vert \theta^{\pi}\right\Vert _{2}^{4}}{\varepsilon^{4}}\log\frac{d}{\delta},\frac{1}{\varepsilon^{2}}\left(d+\log\frac{1}{\delta}\right)\right\} \right)$ samples ($\theta^{\pi}$ is the parameter of the policy in linear function approximation) and guarantees approximation to the value function up to an additive error of $\varepsilon$ with probability at least $1-\delta$.

We study the problem of reconstructing a perfect matching $M^*$ hidden in a randomly weighted $n\times n$ bipartite graph. The edge set includes every node pair in $M^*$ and each of the $n(n-1)$ node pairs not in $M^*$ independently with probability $d/n$. The weight of each edge $e$ is independently drawn from the distribution $\mathcal{P}$ if $e \in M^*$ and from $\mathcal{Q}$ if $e \notin M^*$. We show that if $\sqrt{d} B(\mathcal{P},\mathcal{Q}) \le 1$, where $B(\mathcal{P},\mathcal{Q})$ stands for the Bhattacharyya coefficient, the reconstruction error (average fraction of misclassified edges) of the maximum likelihood estimator of $M^*$ converges to $0$ as $n\to \infty$. Conversely, if $\sqrt{d} B(\mathcal{P},\mathcal{Q}) \ge 1+\epsilon$ for an arbitrarily small constant $\epsilon>0$, the reconstruction error for any estimator is shown to be bounded away from $0$ under both the sparse and dense model, resolving the conjecture in [Moharrami et al. 2019, Semerjian et al. 2020]. Furthermore, in the special case of complete exponentially weighted graph with $d=n$, $\mathcal{P}=\exp(\lambda)$, and $\mathcal{Q}=\exp(1/n)$, for which the sharp threshold simplifies to $\lambda=4$, we prove that when $\lambda \le 4-\epsilon$, the optimal reconstruction error is $\exp\left( - \Theta(1/\sqrt{\epsilon}) \right)$, confirming the conjectured infinite-order phase transition in [Semerjian et al. 2020].

We present a unified technique for sequential estimation of convex divergences between distributions, including integral probability metrics like the kernel maximum mean discrepancy, $\varphi$-divergences like the Kullback-Leibler divergence, and optimal transport costs, such as powers of Wasserstein distances. The technical underpinnings of our approach lie in the observation that empirical convex divergences are (partially ordered) reverse submartingales with respect to the exchangeable filtration, coupled with maximal inequalities for such processes. These techniques appear to be powerful additions to the existing literature on both confidence sequences and convex divergences. We construct an offline-to-sequential device that converts a wide array of existing offline concentration inequalities into time-uniform confidence sequences that can be continuously monitored, providing valid inference at arbitrary stopping times. The resulting sequential bounds pay only an iterated logarithmic price over the corresponding fixed-time bounds, retaining the same dependence on problem parameters (like dimension or alphabet size if applicable).

The exploration-exploitation trade-off is central to the description of adaptive behaviour in fields ranging from machine learning, to biology, to economics. While many approaches have been taken, one approach to solving this trade-off has been to equip or propose that agents possess an intrinsic 'exploratory drive' which is often implemented in terms of maximizing the agents information gain about the world -- an approach which has been widely studied in machine learning and cognitive science. In this paper we mathematically investigate the nature and meaning of such approaches and demonstrate that this combination of utility maximizing and information-seeking behaviour arises from the minimization of an entirely difference class of objectives we call divergence objectives. We propose a dichotomy in the objective functions underlying adaptive behaviour between \emph{evidence} objectives, which correspond to well-known reward or utility maximizing objectives in the literature, and \emph{divergence} objectives which instead seek to minimize the divergence between the agent's expected and desired futures, and argue that this new class of divergence objectives could form the mathematical foundation for a much richer understanding of the exploratory components of adaptive and intelligent action, beyond simply greedy utility maximization.

In this article, we'll discuss Gaussian Process Regression (GPR) from first principles, using mathematical concepts from machine learning, optimization, and Bayesian inference. We'll start with Gaussian Processes, use this to formalize how predictions are made with GPR models, and then discuss two crucial ingredients for GPR models: covariance functions and hyperparameter optimization. Finally, we'll build on our mathematical derivations below by discussing some intuitive ways to view GPR. If you'd also like to see these ideas presented as an academic-style paper, please check out this link here. Before we talk about GPR, let's first explore what a Gaussian Process is.

We present RAWLSNET, a system for altering Bayesian Network (BN) models to satisfy the Rawlsian principle of fair equality of opportunity (FEO). RAWLSNET's BN models generate aspirational data distributions: data generated to reflect an ideally fair, FEO-satisfying society. FEO states that everyone with the same talent and willingness to use it should have the same chance of achieving advantageous social positions (e.g., employment), regardless of their background circumstances (e.g., socioeconomic status). Satisfying FEO requires alterations to social structures such as school assignments. Our paper describes RAWLSNET, a method which takes as input a BN representation of an FEO application and alters the BN's parameters so as to satisfy FEO when possible, and minimize deviation from FEO otherwise. We also offer guidance for applying RAWLSNET, including on recognizing proper applications of FEO. We demonstrate the use of our system with publicly available data sets. RAWLSNET's altered BNs offer the novel capability of generating aspirational data for FEO-relevant tasks. Aspirational data are free from the biases of real-world data, and thus are useful for recognizing and detecting sources of unfairness in machine learning algorithms besides biased data.

In this paper it is shown that $C_\beta$-smooth functions can be approximated by neural networks with parameters $\{0,\pm \frac{1}{2}, \pm 1, 2\}$. The depth, width and the number of active parameters of constructed networks have, up to a logarithimc factor, the same dependence on the approximation error as the networks with parameters in $[-1,1]$. In particular, this means that the nonparametric regression estimation with constructed networks attain the same convergence rate as with the sparse networks with parameters in $[-1,1]$.

Policy makers typically face the problem of wanting to estimate the long-term effects of novel treatments, while only having historical data of older treatment options. We assume access to a long-term dataset where only past treatments were administered and a short-term dataset where novel treatments have been administered. We propose a surrogate based approach where we assume that the long-term effect is channeled through a multitude of available short-term proxies. Our work combines three major recent techniques in the causal machine learning literature: surrogate indices, dynamic treatment effect estimation and double machine learning, in a unified pipeline. We show that our method is consistent and provides root-n asymptotically normal estimates under a Markovian assumption on the data and the observational policy. We use a data-set from a major corporation that includes customer investments over a three year period to create a semi-synthetic data distribution where the major qualitative properties of the real dataset are preserved. We evaluate the performance of our method and discuss practical challenges of deploying our formal methodology and how to address them.

In the estimation of the causal effect under linear Structural Causal Models (SCMs), it is common practice to first identify the causal structure, estimate the probability distributions, and then calculate the causal effect. However, if the goal is to estimate the causal effect, it is not necessary to fix a single causal structure or probability distributions. In this paper, we first show from a Bayesian perspective that it is Bayes optimal to weight (average) the causal effects estimated under each model rather than estimating the causal effect under a fixed single model. This idea is also known as Bayesian model averaging. Although the Bayesian model averaging is optimal, as the number of candidate models increases, the weighting calculations become computationally hard. We develop an approximation to the Bayes optimal estimator by using Gaussian scale mixture distributions.