We present a novel distribution-free approach, the data-driven threshold machine (DTM), for a fundamental problem at the core of many learning tasks: choose a threshold for a given pre-specified level that bounds the tail probability of the maximum of a (possibly dependent but stationary) random sequence. We do not assume data distribution, but rather relying on the asymptotic distribution of extremal values, and reduce the problem to estimate three parameters of the extreme value distributions and the extremal index. We specially take care of data dependence via estimating extremal index since in many settings, such as scan statistics, change-point detection, and extreme bandits, where dependence in the sequence of statistics can be significant. Key features of our DTM also include robustness and the computational efficiency, and it only requires one sample path to form a reliable estimate of the threshold, in contrast to the Monte Carlo sampling approach which requires drawing a large number of sample paths. We demonstrate the good performance of DTM via numerical examples in various dependent settings.
Choosing threshold using EVT has been studied in @cite_19 ; however, they assume samples, which cannot be applied to the settings we consider here such as scan-statistic, change-point detection since the dependence in the sequence of statistics is very significant. In other settings, EVT has been used to understand the theoretical basis of machine learning algorithms: recognition score analysis @cite_1 @cite_13 , for novelty detection @cite_8 , and for satellite image analysis @cite_21 .
@cite_8 @cite_21 @cite_1 @cite_19 @cite_13
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Change detection is one of the most important applications of remote sensing technology. It is a challenging task due to the obvious variations in the radiometric value of spectral signature and the limited capability of utilizing spectral information. In this paper, an improved sparse coding method for change detection is proposed. The intuition of the proposed method is that unchanged pixels in different images can be well reconstructed by the joint dictionary, which corresponds to knowledge of unchanged pixels, while changed pixels cannot. First, a query image pair is projected onto the joint dictionary to constitute the knowledge of unchanged pixels. Then reconstruction error is obtained to discriminate between the changed and unchanged pixels in the different images. To select the proper thresholds for determining changed regions, an automatic threshold selection strategy is presented by minimizing the reconstruction errors of the changed pixels. Adequate experiments on multispectral data have been tested, and the experimental results compared with the state-of-the-art methods prove the superiority of the proposed method. Contributions of the proposed method can be summarized as follows: 1) joint dictionary learning is proposed to explore the intrinsic information of different images for change detection. In this case, change detection can be transformed as a sparse representation problem. To the authors’ knowledge, few publications utilize joint learning dictionary in change detection; 2) an automatic threshold selection strategy is presented, which minimizes the reconstruction errors of the changed pixels without the prior assumption of the spectral signature. As a result, the threshold value provided by the proposed method can adapt to different data due to the characteristic of joint dictionary learning; and 3) the proposed method makes no prior assumption of the modeling and the handling of the spectral signature, which can be adapted to different data. Determining a detection threshold to automatically maintain a low false alarm rate is a challenging problem. In a number of different applications, the underlying parametric assumptions of most automatic target detection algorithms are invalid. Therefore, thresholds derived using these incorrect distribution assumptions do not produce desirable results when applied to real sensor data. Monte Carlo methods for threshold determination work well but tend to perform poorly when targets are present. In order to mitigate these effects, we propose an algorithm using extreme value theory through the use of the generalized Pareto distribution (GPD) and a Kolmogorov-Smirnov statistical test. Unlike previous work based on GPD estimates, this algorithm incorporates a way to adaptively maintain low false alarm rates in the presence of targets. Both synthetic and real-world detection results demonstrate the usefulness of this algorithm. This paper presents a novel learning framework for training boosting cascade based object detector from large scale dataset. The framework is derived from the well-known Viola-Jones (VJ) framework but distinguished by three key differences. First, the proposed framework adopts multi-dimensional SURF features instead of single dimensional Haar features to describe local patches. In this way, the number of used local patches can be reduced from hundreds of thousands to several hundreds. Second, it adopts logistic regression as weak classifier for each local patch instead of decision trees in the VJ framework. Third, we adopt AUC as a single criterion for the convergence test during cascade training rather than the two trade-off criteria (false-positive-rate and hit-rate) in the VJ framework. The benefit is that the false-positive-rate can be adaptive among different cascade stages, and thus yields much faster convergence speed of SURF cascade. Combining these points together, the proposed approach has three good properties. First, the boosting cascade can be trained very efficiently. Experiments show that the proposed approach can train object detectors from billions of negative samples within one hour even on personal computers. Second, the built detector is comparable to the state-of-the-art algorithm not only on the accuracy but also on the processing speed. Third, the built detector is small in model-size due to short cascade stages. Over the past few years, insights from computer science, statistical physics, and information theory have revealed phase transitions in a wide array of high-dimensional statistical problems at two distinct thresholds: One is the information-theoretical (IT) threshold below which the observation is too noisy so that inference of the ground truth structure is impossible regardless of the computational cost; the other is the computational threshold above which inference can be performed efficiently, i.e., in time that is polynomial in the input size. In the intermediate regime, inference is information-theoretically possible, but conjectured to be computationally hard. This article provides a survey of the common techniques for determining the sharp IT and computational limits, using community detection and submatrix detection as illustrating examples. For IT limits, we discuss tools including the first and second moment method for analyzing the maximal likelihood estimator, information-theoretic methods for proving impossibility results using rate-distortion theory, and methods originated from statistical physics such as interpolation method. To investigate computational limits, we describe a common recipe to construct a randomized polynomial-time reduction scheme that approximately maps instances of the planted clique problem to the problem of interest in total variation distance.