Online A-Optimal Design and Active Linear Regression
Xavier Fontaine, Pierre Perrault, Michal Valko, Vianney Perchet
Abstract
We consider in this paper the problem of optimal experiment design where a decision maker can choose which points to sample to obtain an estimate $\hat{\beta}$ of the hidden parameter $\beta^{\star}$ of an underlying linear model. The key challenge of this work lies in the heteroscedasticity assumption that we make, meaning that each covariate has a different and unknown variance. The goal of the decision maker is then to figure out on the fly the optimal way to allocate the total budget of $T$ samples between covariates, as sampling several times a specific one will reduce the variance of the estimated model around it (but at the cost of a possible higher variance elsewhere). By trying to minimize the $\ell^2$-loss $\mathbb{E} [\lVert\hat{\beta}-\beta^{\star}\rVert^2]$ the decision maker is actually minimizing the trace of the covariance matrix of the problem, which corresponds then to online A-optimal design. Combining techniques from bandit and convex optimization we propose a new active sampling algorithm and we compare it with existing ones. We provide theoretical guarantees of this algorithm in different settings, including a $\mathcal{O}(T^{-2})$ regret bound in the case where the covariates form a basis of the feature space, generalizing and improving existing results. Numerical experiments validate our theoretical findings.
BibTeX
@InProceedings{pmlr-v139-fontaine21a,
title = {Online A-Optimal Design and Active Linear Regression},
author = {Fontaine, Xavier and Perrault, Pierre and Valko, Michal and Perchet, Vianney},
booktitle = {Proceedings of the 38th International Conference on Machine Learning},
pages = {3374--3383},
year = {2021},
editor = {Meila, Marina and Zhang, Tong},
volume = {139},
series = {Proceedings of Machine Learning Research},
month = {18--24 Jul},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v139/fontaine21a/fontaine21a.pdf},
url = {https://proceedings.mlr.press/v139/fontaine21a.html},
abstract = {We consider in this paper the problem of optimal experiment design where a decision maker can choose which points to sample to obtain an estimate $\hat{\beta}$ of the hidden parameter $\beta^{\star}$ of an underlying linear model. The key challenge of this work lies in the heteroscedasticity assumption that we make, meaning that each covariate has a different and unknown variance. The goal of the decision maker is then to figure out on the fly the optimal way to allocate the total budget of $T$ samples between covariates, as sampling several times a specific one will reduce the variance of the estimated model around it (but at the cost of a possible higher variance elsewhere). By trying to minimize the $\ell^2$-loss $\mathbb{E} [\lVert\hat{\beta}-\beta^{\star}\rVert^2]$ the decision maker is actually minimizing the trace of the covariance matrix of the problem, which corresponds then to online A-optimal design. Combining techniques from bandit and convex optimization we propose a new active sampling algorithm and we compare it with existing ones. We provide theoretical guarantees of this algorithm in different settings, including a $\mathcal{O}(T^{-2})$ regret bound in the case where the covariates form a basis of the feature space, generalizing and improving existing results. Numerical experiments validate our theoretical findings.}
}