The Multi-Armed Bandits (MAB) framework highlights the trade-off between acquiring new knowledge (Exploration) and leveraging available knowledge (Exploitation). In the classical MAB problem, a decision maker must choose an arm at each time step, upon which she receives a reward. The decision maker's objective is to maximize her cumulative expected reward over the time horizon. The MAB problem has been studied extensively, specifically under the assumption of the arms' rewards distributions being stationary, or quasi-stationary, over time. We consider a variant of the MAB framework, which we termed Rotting Bandits, where each arm's expected reward decays as a function of the number of times it has been pulled. We are motivated by many real-world scenarios such as online advertising, content recommendation, crowdsourcing, and more. We present algorithms, accompanied by simulations, and derive theoretical guarantees.

We propose a novel adaptive test of goodness-of-fit, with computational cost linear in the number of samples. We learn the test features that best indicate the differences between observed samples and a reference model, by minimizing the false negative rate. These features are constructed via Stein's method, meaning that it is not necessary to compute the normalising constant of the model. We analyse the asymptotic Bahadur efficiency of the new test, and prove that under a mean-shift alternative, our test always has greater relative efficiency than a previous linear-time kernel test, regardless of the choice of parameters for that test. In experiments, the performance of our method exceeds that of the earlier linear-time test, and matches or exceeds the power of a quadratic-time kernel test. In high dimensions and where model structure may be exploited, our goodness of fit test performs far better than a quadratic-time two-sample test based on the Maximum Mean Discrepancy, with samples drawn from the model.

We study the question of fair clustering under the {\em disparate impact} doctrine, where each protected class must have approximately equal representation in every cluster. We formulate the fair clustering problem under both the k-center and the k-median objectives, and show that even with two protected classes the problem is challenging, as the optimum solution can violate common conventions---for instance a point may no longer be assigned to its nearest cluster center! En route we introduce the concept of fairlets, which are minimal sets that satisfy fair representation while approximately preserving the clustering objective. We show that any fair clustering problem can be decomposed into first finding good fairlets, and then using existing machinery for traditional clustering algorithms. While finding good fairlets can be NP-hard, we proceed to obtain efficient approximation algorithms based on minimum cost flow. We empirically demonstrate the \emph{price of fairness} by quantifying the value of fair clustering on real-world datasets with sensitive attributes.

For applications as varied as Bayesian neural networks, determinantal point processes, elliptical graphical models, and kernel learning for Gaussian processes (GPs), one must compute a log determinant of an n by n positive definite matrix, and its derivatives---leading to prohibitive O(n^3) computations. We propose novel O(n) approaches to estimating these quantities from only fast matrix vector multiplications (MVMs). These stochastic approximations are based on Chebyshev, Lanczos, and surrogate models, and converge quickly even for kernel matrices that have challenging spectra. We leverage these approximations to develop a scalable Gaussian process approach to kernel learning. We find that Lanczos is generally superior to Chebyshev for kernel learning, and that a surrogate approach can be highly efficient and accurate with popular kernels.

We formulate a supervised learning problem, referred to as continuous ranking, where a continuous real-valued label Y is assigned to an observable r.v. X taking its values in a feature space X and the goal is to order all possible observations x in X by means of a scoring function s: X R so that s(X) and Y tend to increase or decrease together with highest probability. This problem generalizes bi/multi-partite ranking to a certain extent and the task of finding optimal scoring functions s(x) can be naturally cast as optimization of a dedicated functional criterion, called the IROC curve here, or as maximization of the Kendall τ related to the pair (s(X), Y). From the theoretical side, we describe the optimal elements of this problem and provide statistical guarantees for empirical Kendall τ maximization under appropriate conditions for the class of scoring function candidates. We also propose a recursive statistical learning algorithm tailored to empirical IROC curve optimization and producing a piecewise constant scoring function that is fully described by an oriented binary tree. Preliminary numerical experiments highlight the difference in nature between regression and continuous ranking and provide strong empirical evidence of the performance of empirical optimizers of the criteria proposed.

Learning individual-level causal effects from observational data, such as inferring the most effective medication for a specific patient, is a problem of growing importance for policy makers. The most important aspect of inferring causal effects from observational data is the handling of confounders, factors that affect both an intervention and its outcome. A carefully designed observational study attempts to measure all important confounders. However, even if one does not have direct access to all confounders, there may exist noisy and uncertain measurement of proxies for confounders. We build on recent advances in latent variable modeling to simultaneously estimate the unknown latent space summarizing the confounders and the causal effect. Our method is based on Variational Autoencoders (VAE) which follow the causal structure of inference with proxies. We show our method is significantly more robust than existing methods, and matches the state-of-the-art on previous benchmarks focused on individual treatment effects.

We examine the Bayes-consistency of a recently proposed 1-nearest-neighbor-based multiclass learning algorithm. This algorithm is derived from sample compression bounds and enjoys the statistical advantages of tight, fully empirical generalization bounds, as well as the algorithmic advantages of a faster runtime and memory savings. We prove that this algorithm is strongly Bayes-consistent in metric spaces with finite doubling dimension --- the first consistency result for an efficient nearest-neighbor sample compression scheme. Rather surprisingly, we discover that this algorithm continues to be Bayes-consistent even in a certain infinite-dimensional setting, in which the basic measure-theoretic conditions on which classic consistency proofs hinge are violated. This is all the more surprising, since it is known that k-NN is not Bayes-consistent in this setting. We pose several challenging open problems for future research.

Kernel machines as well as neural networks possess universal function approximation properties. Nevertheless in practice their ways of choosing the appropriate function class differ. Specifically neural networks learn a representation by adapting their basis functions to the data and the task at hand, while kernel methods typically use a basis that is not adapted during training. In this work, we contrast random features of approximated kernel machines with learned features of neural networks. Our analysis reveals how these random and adaptive basis functions affect the quality of learning. Furthermore, we present basis adaptation schemes that allow for a more compact representation, while retaining the generalization properties of kernel machines.

We develop a nonparametric and online learning algorithm that estimates the triggering functions of a multivariate Hawkes process (MHP). The approach we take approximates the triggering function $f_{i,j}(t)$ by functions in a reproducing kernel Hilbert space (RKHS), and maximizes a time-discretized version of the log-likelihood, with Tikhonov regularization. Theoretically, our algorithm achieves an $\calO(\log T)$ regret bound. Numerical results show that our algorithm offers a competing performance to that of the nonparametric batch learning algorithm, with a run time comparable to the parametric online learning algorithm.

We propose new algorithms for topic modeling when the number of topics is unknown.