Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators
人应当向机器谎报吗?Lasso 与广义线性结构稀疏估计的激励相容性
We consider situations where a user feeds her attributes to a machine learning method that tries to predict her best option based on a random sample of other users. The predictor is incentive-compatible if the user has no incentive to misreport her covariates. Focusing on the popular Lasso estimation technique, we borrow tools from high-dimensional statistics to characterize sufficient conditions that ensure that Lasso is incentive compatible in the asymptotic case. We…