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Diffstat (limited to 'paper.tex')
| -rw-r--r-- | paper.tex | 49 |
1 files changed, 45 insertions, 4 deletions
@@ -21,15 +21,17 @@ \title{Budgeted mechanism for optimal experiment design} \begin{document} +\maketitle + \section{Intro} \begin{itemize} \item already existing field of experiment design: survey-like setup, what - are the best points to include in your experiment. Measure of the - usefulness of the data: variance-reduction or entropy-reduction + are the best points to include in your experiment? Measure of the + usefulness of the data: variance-reduction or entropy-reduction. \item nowadays, there is also a big focus on purchasing data: paid surveys, mechanical turk, etc. that add economic aspects to the problem of - experiment desgin + experiment design \item recent advances (Singer, Chen) in the field of budgeted mechanisms \item we study ridge regression, very widely used in statistical learning, and treat it as a problem of budgeted experiment design @@ -59,6 +61,45 @@ \end{itemize} \subsection{Data model} + +There is a set of $n$ users, $\mathcal{N} = \{1,\ldots, n\}$. Each user +$i\in\mathcal{N}$ has a public vector of features $x_i\in\mathbf{R}^d$ and an +undisclosed piece of information $y_i\in\mathbf{R}$. We assume that the data +has already been normalized so that $\norm{x_i}_2\leq 1$ for all +$i\in\mathcal{N}$. + +The experimenter is going to select a set of users and ask them to reveal their +private piece of information. We are interested in a \emph{survey setup}: the +experimenter has not seen the data yet, but he wants to know which users he +should be selecting. His goal is to learn the model underlying the data. Here, +we assume a linear model: +\begin{displaymath} + \forall i\in\mathcal{N},\quad y_i = \beta^* x_i + \varepsilon_i +\end{displaymath} +where $\beta\in\mathbf{R}^d$ and $\varepsilon_i\in\mathbf{R}$ follows a normal +distribution of mean $0$ and variance $\sigma^2$. + +After observing the data, the experimenter could simply do linear regression to +learn the model parameter $\beta$. However, in a more general setup, the +experimenter has a prior knowledge about $\beta$, a distribution over +$\mathbf{R}^d$. After observing the data, the experimenter performs +\emph{maximum a posteriori estimation}: computing the point which maximizes the +posterior distribution of $\beta$ given the observations. + +Here, we will assume, as it is often done, that the prior distribution is +a multivariate normal distribution of mean zero and covariance matrix $\kappa +I_d$. Maximum a posteriori estimation leads to the following maximization +problem: +\begin{displaymath} + \beta_{\text{max}} = \argmax_{\beta\in\mathbf{R}^d} \sum_i (y_i - \beta^*x_i)^2 + + \frac{1}{\mu}\sum_i \norm{\beta}_2^2 +\end{displaymath} +which is the well-known \emph{ridge regression}. $\mu += \frac{\kappa}{\sigma^2}$ is the regularization parameter. Ridge regression +can thus be seen as linear regression with a regularization term which +prevents $\beta$ from having a large $L_2$-norm. + + \begin{itemize} \item set of $n$ users $\mathcal{N} = \{1,\ldots, n\}$ \item each user has a public vector of features $x_i\in\mathbf{R}^d$ and some @@ -141,7 +182,7 @@ problem. Goal design a mechanism (selection and payment scheme) which is: \section{Main result} \begin{algorithm}\label{mechanism} - \caption{Budget feasible mechanism for ridge regression} + \caption{Mechanism for ridge regression} \begin{algorithmic}[1] \State $i^* \gets \argmax_{j\in\mathcal{N}}V(j)$ \State $x^* \gets \argmax_{x\in[0,1]^n} \{L_{\mathcal{N}\setminus\{i^*\}}(x) |