Publications related to Regret (decision theory)

Near-Minimax Optimal Estimation With Shallow ReLU Neural Networks

We study the problem of estimating an unknown function from noisy data using shallow ReLU neural networks. The estimators we study minimize the sum of squared data-fitting errors plus a regularization term proportional to the squared Euclidean norm of the ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2023

Interventionist estimands in event history analysis

Matias Janvin

The presence of competing events, such as death, makes it challenging to define causal effects on recurrent outcomes. In this thesis, I formalize causal inference for recurrent events, with and without competing events. I define several causal estimands an ...

EPFL2023

Follow the Clairvoyant: an Imitation Learning Approach to Optimal Control

Giancarlo Ferrari Trecate, Luca Furieri, John Lygeros, Andrea Martin, Florian Dörfler

We consider control of dynamical systems through the lens of competitive analysis. Most prior work in this area focuses on minimizing regret, that is, the loss relative to an ideal clairvoyant policy that has noncausal access to past, present, and future d ...

Elsevier2023

No-regret learning in games with noisy feedback: Faster rates and adaptivity via learning rate separation

Volkan Cevher, Kimon Antonakopoulos, Ya-Ping Hsieh

We examine the problem of regret minimization when the learner is involved in a continuous game with other optimizing agents: in this case, if all players follow a no-regret algorithm, it is possible to achieve significantly lower regret relative to fully ...

2022

Alpha-NML Universal Predictors

Michael Christoph Gastpar, Marco Bondaschi

Inspired by Sibson’s alpha-mutual information, we introduce a new parametric class of universal predictors. This class interpolates two well-known predictors, the mixture estimator, that includes the Laplace and the Krichevsky-Trofimov predictors, and the ...

2022

Relatively Robust Decisions

Thomas Alois Weber

It is natural for humans to judge the outcome of a decision under uncertainty as a percentage of an ex-post optimal performance. We propose a robust decision-making framework based on a relative performance index. It is shown that if the decision maker’s p ...

2023

Regret Minimization in Stochastic Non-Convex Learning via a Proximal-Gradient Approach

Volkan Cevher, Shaul Nadav Hallak

This paper develops a methodology for regret minimization with stochastic first-order oracle feedback in online, constrained, non-smooth, non-convex problems. In this setting, the minimization of external regret is beyond reach for first-order methods, and ...

JMLR-JOURNAL MACHINE LEARNING RESEARCH2021

A Catalyst Framework for Minimax Optimization

Negar Kiyavash

We introduce a generic two-loop scheme for smooth minimax optimization with strongly-convex-concave objectives. Our approach applies the accelerated proximal point framework (or Catalyst) to the associated dual problem and takes full advantage of existing ...

NEURAL INFORMATION PROCESSING SYSTEMS (NIPS)2020

Regret Minimization and Separation in Multi-Bidder Multi-Item Auctions

Daniel Kuhn, Napat Rujeerapaiboon, Cagil Kocyigit

We study a robust auction design problem with a minimax regret objective, where a seller seeks a mechanism for selling multiple items to multiple anonymous bidders with additive values. The seller knows that the bidders' values range over a box uncertainty ...

2024

Information-gap decision theory (IGDT): a new promising method for management of uncertainties in hydropower projects: case study

Anton Schleiss, Felix Oberrauch

The design of hydropower is determined by estimates and long-term forecasts. These forecasts and estimates are highly uncertain and make performance evaluation and design choices challenging. Effective values deviating from the estimates can have a signifi ...

Hydropower&Dams, Aqua Media International2018

Robust Multidimensional Pricing: Separation without Regret

Daniel Kuhn, Napat Rujeerapaiboon, Cagil Kocyigit

We study a robust monopoly pricing problem with a minimax regret objective, where a seller endeavors to sell multiple goods to a single buyer, only knowing that the buyer's values for the goods range over a rectangular uncertainty set. We interpret this pr ...

2022

Time-Varying Gaussian Process Bandit Optimization

Volkan Cevher, Jonathan Mark Scarlett, Ilija Bogunovic

We consider the sequential Bayesian optimization problem with bandit feedback, adopting a formulation that allows for the reward function to vary with time. We model the reward function using a Gaussian process whose evolution obeys a simple Markov model. ...

2016

A mixed random utility Random regret model linking the choice of decision rule to latent character traits

Amanda Blomberg Stathopoulos

An increasing number of studies are concerned with the use of alternatives to random utility maximisation as a decision rule in choice models, with a particular emphasis on regret minimisation over the last few years. The initial focus was on revealing whi ...

2013

An empirical comparison of travel choice models that capture preferences for compromise alternatives

Michel Bierlaire

Compromise alternatives have an intermediate performance on each or most attributes rather than having a poor performance on some attributes and a strong performance on others. The relative popularity of compromise alternatives among decision-makers has be ...

Springer2013

Inference about the number of contributors to a DNA mixture: Comparative analyses of a Bayesian network approach and the maximum allele count method

Kjell Konis

In the forensic examination of DNA mixtures, the question of how to set the total number of contributors (N) presents a topic of ongoing interest. Part of the discussion gravitates around issues of bias, in particular when assessments of the number of cont ...

Elsevier2012

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Selfish Response to Epidemic Propagation

Jean-Yves Le Boudec, Georgios Theodorakopoulos

An epidemic spreading in a network calls for a decision on the part of the network members: They should decide whether to protect themselves or not. Their decision depends on the trade off between their perceived risk of being infected and the cost of bein ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011

Multimodel Structural Performance Monitoring

Ian Smith, James-Alexandre Goulet

Measurements from load tests may lead to numerical models that better reflect structural behavior. This kind of system identification is not straightforward due to important uncertainties in measurement and models. Moreover, since system identification is ...

2010

A Behavioral and Neural Evaluation of Prospective Decision-Making under Risk

Making the best choice when faced with a chain of decisions requires a person to judge both anticipated outcomes and future actions. Although economic decision-making models account for both risk and reward in single-choice contexts, there is a dearth of s ...

2010

Neural Correlates of Value, Risk, and Risk Aversion Contributing to Decision Making under Risk

Decision making under risk is central to human behavior. Economic decision theory suggests that value, risk, and risk aversion influence choice behavior. Although previous studies identified neural correlates of decision parameters, the contribution of the ...

2009