Adaptive importance sampling(AIS) uses past samples to update thesampling policyqt.

Meta-learning involves training models on a variety of training tasks in a way that enables them to generalize well on new, unseen test tasks. In this work, we consider meta-learning within the framework of high-dimensional multivariate random-effects linear models and study generalized ridge-regression based predictions. The statistical intuition of using generalized ridge regression in this setting is that the covariance structure of the random regression coefficients could be leveraged to make better predictions on new tasks. Accordingly, we first characterize the precise asymptotic behavior of the predictive risk for a new test task when the data dimension grows proportionally to the number of samples per task. We next show that this predictive risk is optimal when the weight matrix in generalized ridge regression is chosen to be the inverse of the covariance matrix of random coefficients. Finally, we propose and analyze an estimator of the inverse covariance matrix of random regression coefficients based on data from the training tasks. As opposed to intractable MLE-type estimators, the proposed estimators could be computed efficiently as they could be obtained by solving (global) geodesically-convex optimization problems. Our analysis and methodology use tools from random matrix theory and Riemannian optimization. Simulation results demonstrate the improved generalization performance of the proposed method on new unseen test tasks within the considered framework.

This paper proposes a new method for solving the well-known rank aggregation problem from pairwise comparisons using the method of low-rank matrix completion. The partial and noisy data of pairwise comparisons is transformed into a matrix form. We then use tools from matrix completion, which has served as a major component in the low-rank completion solution of the Netflix challenge, to construct the preference of the different objects. In our approach, the data of multiple comparisons is used to create an estimate of the probability of object i to win (or be chosen) over object j, where only a partial set of comparisons between N objects is known. The data is then transformed into a matrix form for which the noiseless solution has a known rank of one. An alternating minimization algorithm, in which the target matrix takes a bilinear form, is then used in combination with maximum likelihood estimation for both factors. The reconstructed matrix is used to obtain the true underlying preference intensity. This work demonstrates the improvement of our proposed algorithm over the current state-of-the-art in both simulated scenarios and real data.