Another Look at Distance-Weighted Discrimination
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Summary Distance-weighted discrimination (DWD) is a modern margin-based classifier with an interesting geometric motivation. It was proposed as a competitor to the support vector machine (SVM). Despite many recent references on DWD, DWD is far less popular than the SVM, mainly because of computational and theoretical reasons. We greatly advance the current DWD methodology and its learning theory. We propose a novel thrifty algorithm for solving standard DWD and generalized DWD, and our algorithm can be several hundred times faster than the existing state of the art algorithm based on second-order cone programming. In addition, we exploit the new algorithm to design an efficient scheme to tune generalized DWD. Furthermore, we formulate a natural kernel DWD approach in a reproducing kernel Hilbert space and then establish the Bayes risk consistency of the kernel DWD by using a universal kernel such as the Gaussian kernel. This result solves an open theoretical problem in the DWD literature. A comparison study on 16 benchmark data sets shows that data-driven generalized DWD consistently delivers higher classification accuracy with less computation time than the SVM.
多元Lévy自适应B样条回归
We propose Multivariate Lévy Adaptive B-Spline Regression (MLABS), a Bayesian nonparametric regression model designed to capture nonlinear effects, interactions, and locally varying features of multivariate functions. MLABS represents the regression function as a random sum of low-order tensor-product B-spline basis functions under a finite Lévy random measure prior. The resulting representation adapts to the complexity and local structure of the regression function while…
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
贝叶斯算子学习:高斯先验下后验存在性与点估计收敛
We develop a Bayesian framework for learning nonlinear operators between infinite-dimensional spaces. Given a map $g_0:\mathcal{X}\to\mathcal{Y}$ between separable Hilbert spaces, we study the recovery of $g_0$ from $n\in\mathbb{N}$ noisy input-output pairs $(\boldsymbol{X},\boldsymbol{Z})=(X_i,Z_i)_{i=1}^n$ with $Z_i= g_0 (X_i ) + E_i$. Here the $X_i\in\mathcal{X}$ are randomly drawn 'design' points in a compact subset of $\mathcal X$, and the $E_i$ are assumed to be i.i.d.…
析因多变量贝叶斯因果森林:多处理的异质主效应与交互效应
Many studies expose units to several binary treatments at once and record several correlated outcomes, yet analysts usually estimate one treatment's average effect on one outcome at a time -- discarding how treatments interact and how their effects vary across units. We introduce the factorial multivariate Bayesian causal forest, a Bayesian nonparametric model that decomposes the factorial response surface over the treatment lattice into a prognostic sum-of-trees plus one…
具有 Cholesky 随机波动率的大型 VAR:贝叶斯推断、在线预测与模型选择
We consider $K$-dimensional Bayesian vector autoregressions (BVARs) with Cholesky stochastic volatility (SV), in which the innovation covariance matrix is a lower-triangular linear transform of $K$ independent univariate SV processes. Such models are widely used in empirical macroeconomics to capture time-varying uncertainty and improve forecast accuracy, but the cost of posterior simulation is the binding constraint on the size of the system, and a major bottleneck for…
目标函数平衡:利用策略性不平衡估计因果效应
When estimating the average treatment effect of a binary intervention with weights, investigators are often burdened with how best to leave imbalance in the distributions of observed covariates. This requires that investigators proceed cautiously, as imbalance in key (nonlinear transformations of) covariates potentially introduces bias into the ultimate estimated effect. This paper introduces Targeted Function Balancing (TFB), a flexible covariate balancing weights approach…