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Data-driven Optimal Filtering for Linear Systems with Unknown Noise Covariances

Neural Information Processing Systems

This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization problem, aiming to minimize the output prediction error. This formulation provides a direct bridge between data-driven optimal control and, its dual, optimal filtering.



A Proof of Theorems

Neural Information Processing Systems

We still need to demonstrate that the properties in P AC-Bayes analysis hold for both the margin operator and the robust margin operator. Then we complete the proof of Lemma 6.1. The proof of Lemma 7.1 and 7.2 is similar. We provide the proof of Lemma 7.2 below. Lemma 7.1 follows the proof of Lemma 7.2 by replacing the robust margin operator by the margin Since the above bound holds for any x in the domain X, we can get the following a.s.: R The second inequality is the tail bound above.



An active learning framework for multi-group mean estimation

Neural Information Processing Systems

After observing a sample, the analyst may update their estimate of the mean and variance of that group and choose the next group accordingly. The analyst's objective is to dynamically collect samples to minimize the



Sampling from multimodal distributions with warm starts: Non-asymptotic bounds for the Reweighted Annealed Leap-Point Sampler

Lee, Holden, Santana-Gijzen, Matheau

arXiv.org Machine Learning

Sampling from multimodal distributions is a central challenge in Bayesian inference and machine learning. In light of hardness results for sampling -- classical MCMC methods, even with tempering, can suffer from exponential mixing times -- a natural question is how to leverage additional information, such as a warm start point for each mode, to enable faster mixing across modes. To address this, we introduce Reweighted ALPS (Re-ALPS), a modified version of the Annealed Leap-Point Sampler (ALPS) that dispenses with the Gaussian approximation assumption. We prove the first polynomial-time bound that works in a general setting, under a natural assumption that each component contains significant mass relative to the others when tilted towards the corresponding warm start point. Similarly to ALPS, we define distributions tilted towards a mixture centered at the warm start points, and at the coldest level, use teleportation between warm start points to enable efficient mixing across modes. In contrast to ALPS, our method does not require Hessian information at the modes, but instead estimates component partition functions via Monte Carlo. This additional estimation step is crucial in allowing the algorithm to handle target distributions with more complex geometries besides approximate Gaussian. For the proof, we show convergence results for Markov processes when only part of the stationary distribution is well-mixing and estimation for partition functions for individual components of a mixture. We numerically evaluate our algorithm's mixing performance compared to ALPS on a mixture of heavy-tailed distributions.


Provably Extracting the Features from a General Superposition

Liu, Allen

arXiv.org Machine Learning

It is widely believed that complex machine learning models generally encode features through linear representations, but these features exist in superposition, making them challenging to recover. We study the following fundamental setting for learning features in superposition from black-box query access: we are given query access to a function \[ f(x)=\sum_{i=1}^n a_i\,σ_i(v_i^\top x), \] where each unit vector $v_i$ encodes a feature direction and $σ_i:\mathbb{R} \rightarrow \mathbb{R}$ is an arbitrary response function and our goal is to recover the $v_i$ and the function $f$. In learning-theoretic terms, superposition refers to the overcomplete regime, when the number of features is larger than the underlying dimension (i.e. $n > d$), which has proven especially challenging for typical algorithmic approaches. Our main result is an efficient query algorithm that, from noisy oracle access to $f$, identifies all feature directions whose responses are non-degenerate and reconstructs the function $f$. Crucially, our algorithm works in a significantly more general setting than all related prior results -- we allow for essentially arbitrary superpositions, only requiring that $v_i, v_j$ are not nearly identical for $i \neq j$, and general response functions $σ_i$. At a high level, our algorithm introduces an approach for searching in Fourier space by iteratively refining the search space to locate the hidden directions $v_i$.


Differential privacy from axioms

Blanc, Guy, Pires, William, Pitassi, Toniann

arXiv.org Artificial Intelligence

Differential privacy (DP) is the de facto notion of privacy both in theory and in practice. However, despite its popularity, DP imposes strict requirements which guard against strong worst-case scenarios. For example, it guards against seemingly unrealistic scenarios where an attacker has full information about all but one point in the data set, and still nothing can be learned about the remaining point. While preventing such a strong attack is desirable, many works have explored whether average-case relaxations of DP are easier to satisfy [HWR13,WLF16,BF16,LWX23]. In this work, we are motivated by the question of whether alternate, weaker notions of privacy are possible: can a weakened privacy notion still guarantee some basic level of privacy, and on the other hand, achieve privacy more efficiently and/or for a substantially broader set of tasks? Our main result shows the answer is no: even in the statistical setting, any reasonable measure of privacy satisfying nontrivial composition is equivalent to DP. To prove this, we identify a core set of four axioms or desiderata: pre-processing invariance, prohibition of blatant non-privacy, strong composition, and linear scalability. Our main theorem shows that any privacy measure satisfying our axioms is equivalent to DP, up to polynomial factors in sample complexity. We complement this result by showing our axioms are minimal: removing any one of our axioms enables ill-behaved measures of privacy.