Minimax Regret Learning for Data with Heterogeneous Sub-populations
報告人簡介
Weibin Mo is an Assistant Professor of Management at Daniels School of Business, Purdue University. His research interests mainly focus on statistical methodologies in machine learning, personalized decision making, causal inference and semiparametric inference, and robust optimization. The major application areas of his research are precision medicine, inventory management, and assortment.
內容簡介
Modern complex datasets often consist of various sub-populations. To develop robust and generalizable methods in the presence of sub-population heterogeneity, it is important to guarantee a uniform learning performance instead of an average one. In many applications, prior information is often available on which sub-population or group the data points belong to. Given the observed groups of data, we develop a min-max-regret (MMR) learning framework for general supervised learning, which targets to minimize the worst-group regret. Motivated from the regret-based decision theoretic framework, the proposed MMR is distinguished from the value-based or risk-based robust learning methods in the existing literature. The regret criterion features several robustness and invariance properties simultaneously. In terms of generalizability, we develop the theoretical guarantee for the worst-case regret over a super-population of the meta data, which incorporates the observed sub-populations, their mixtures, as well as other unseen sub-populations that could be approximated by the observed ones. We demonstrate the effectiveness of our method through extensive simulation studies and an application to kidney transplantation data from hundreds of transplant centers. This is a joint work with Weijing Tang, Songkai Xue, Yufeng Liu and Ji Zhu.
