Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a high dimensional vector. We address the question of how long the system needs to be observed in order to learn this vector of parameters. We prove a general lower bound on this time complexity by using a characterization of mutual information as time integral of conditional variance, due to Kadota, Zakai, and Ziv. This general lower bound is applied to specific classes of linear and non-linear stochastic differential equations. In the linear case, the problem under consideration is the one of learning a matrix of interaction coefficients. We evaluate our lower bound for ensembles of sparse and dense random matrices. The resulting estimates match the qualitative behavior of upper bounds achieved by computationally efficient procedures.
Finally, a substantial literature addresses various questions related to learning SDE's @cite_5 @cite_8 @cite_12 . However this line of work did not yield quantitative estimates on the scaling of sample complexity with the problem dimensionality.
@cite_5 @cite_12 @cite_8
2023131636 2762016725 2219738499 1672197616
Evolutionary computation techniques have had limited capabilities in solving large-scale problems due to the large search space demanding large memory and much longer training times. In the work presented here, a genetic programming like rich encoding scheme has been constructed to identify building blocks of knowledge in a learning classifier system. The fitter building blocks from the learning system trained against smaller problems have been utilized in a higher complexity problem in the domain to achieve scalable learning. The proposed system has been examined and evaluated on four different Boolean problem domains: 1) multiplexer, 2) majority-on, 3) carry, and 4) even-parity problems. The major contribution of this paper is to successfully extract useful building blocks from smaller problems and reuse them to learn more complex large-scale problems in the domain, e.g., 135-bit multiplexer problem, where the number of possible instances is 2 135 ≈ 4 × 10 40 , is solved by reusing the extracted knowledge from the learned lower level solutions in the domain. Autonomous scaling is, for the first time, shown to be possible in learning classifier systems. It improves effectiveness and reduces the number of training instances required in large problems, but requires more time due to its sequential build-up of knowledge. Like other machine learning paradigms, multi-label learning also suffers from the curse of dimensionality problem. Multi-label dimensionality reduction can alleviate the problem but they generally ask for sufficient labeled samples. Nevertheless, we often may only have scarce labeled samples and abundant unlabeled samples. In this paper, we propose a @math emi-supervised @math ulti-label @math imensionality @math eduction based on @math ependence @math aximization approach (SMDRdm in short). SDMRdm assumes the semantic similarity and feature similarity of multi-label samples are inter-depended. SMDRdm first applies label propagation on a neighborhood graph composed with labeled and unlabeled samples to obtain the soft labels of unlabeled samples, and then measures the semantic similarity between all the training samples (including unlabeled ones) based on these soft labels and available labels of labeled samples. Next, it measures the feature similarity between samples in the subspace projected by the target projective matrix, instead of the original high-dimensional feature space. After that, it maximizes the dependence between these two types of similarities and incorporates the dependence into linear discriminant analysis to optimize the target projective matrix. Experiments on publicly accessible multi-label data sets demonstrate that SMDRdm achieves more prominent results than other related approaches across various evaluation metrics. In addition, the empirical study also shows the semantic similarity between samples derived from soft labels works better than that derived from scarce available labels. This paper deals with the problem of multi-instance learning when label proportions are provided. In this classification problem, the instances of the dataset are divided into disjoint groups, where there is no certainty about the labels associated with individual samples. However, in each group the number of instances that belong to each class is known. We propose several versions of an EM-algorithm that learns naive Bayes models to deal with the exposed problem. The proposed algorithms are evaluated on synthetic and real datasets, and compared with state-of-the-art approaches. The obtained results show a competitive behaviour of our proposals. We explore the effect of dimensionality on the "nearest neighbor" problem. We show that under a broad set of conditions (much broader than independent and identically distributed dimensions), as dimensionality increases, the distance to the nearest data point approaches the distance to the farthest data point. To provide a practical perspective, we present empirical results on both real and synthetic data sets that demonstrate that this effect can occur for as few as 10-15 dimensions. These results should not be interpreted to mean that high-dimensional indexing is never meaningful; we illustrate this point by identifying some high-dimensional workloads for which this effect does not occur. However, our results do emphasize that the methodology used almost universally in the database literature to evaluate high-dimensional indexing techniques is flawed, and should be modified. In particular, most such techniques proposed in the literature are not evaluated versus simple linear scan, and are evaluated over workloads for which nearest neighbor is not meaningful. Often, even the reported experiments, when analyzed carefully, show that linear scan would outperform the techniques being proposed on the workloads studied in high (10-15) dimensionality!