path: root/notes.tex

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\begin{document}

\section{Introduction}

\subsection{Framework}
We are given a set of users, each user has a vector of features which is known
to us and allows us to distinguish this user from the others. We are interested
in studying a \emph{survey} in which a subset of users will be selected and
queried.

We assume there is a hypothesis function such that, when submitted to a query,
the answer of a specific user to the query will be equal to the function
applied to his feature vector with some noise added. The noise is considered to
be independent of the user, which is equivalent to say that conditioned on the
hypothesis, the answers are independent.

The hypothesis is unknown to us, and the answers of the users are going to be
used to learn it. Because we do not know the hypothesis, we maintain
a distribution over the hypothesis set, and this distribution is going to be
updated after the survey. The meaning of this distribution is that it conveys
the uncertainty we have about the hypothesis. More precisely the uncertainty is
captured by the \emph{entropy} of the distribution.

Thus, the setup takes the form of an \emph{active learning} setup: we want to
select the most interesting users before conducting the survey. Here, ``most
interesting'' refers to a notion of \emph{value} implied by the model: the
value of a subset of users will be defined as the decrease of entropy caused by
the observation of the answers of this group of users.

The motivation of this definition of value makes sense when considering the
information theoretic interpretation of the entropy: let us consider that we
have an oracle to whom we can ask yes/no questions about the hypothesis. Then,
the entropy of the hypothesis distribution is exactly the number of questions
we need to ask to fully know the hypothesis. If we need to pay for each
question asked to the oracle, then our definition of value directly relates to
the cost decrease implied by observing a set of users. 

\subsection{Problem}

Once you have defined a notion of value, there are several problems you can
address:
\begin{enumerate}
    \item \emph{budget auctions:} the points in the database are associated
        with users. Each user $i$ has a cost $c_i$ for revealing his data. You
        are given a budget $B$ and you want to select a subset $S$ of users and
        a payment scheme which is truthful. The value of the subset $S$ should
        be as big as possible with the constraint that the payments should stay
        within budget.
    \item \emph{value sharing:} the goal is to find a value sharing method to
        split the whole value of a subset $S$ among its participants.
    \item \emph{k-best auctions:} this one is very similar to \emph{budget
        auctions}, but instead of having a budget constraint, the constraint is
        on the number of people in the subset $S$.
\end{enumerate}

\emph{[TODO: add references to the papers mentioning these problems, what we
know about the value functions defined above, etc.]}

These problems have already been studied, and optimal or near-optimal solution
are already known when the value function is submodular. 

\section{Value of data in the Gaussian world}

In this section we will assume a multivariate Gaussian model:
\begin{displaymath}
    y = \beta^*x + \epsilon
\end{displaymath}

The prior distribution of $\beta$ is a multivariate normal distribution of mean
zero and covariance $\Sigma$. $\epsilon$ is the noise which is modeled with
a normal distribution of mean zero and variance $\sigma^2$.

Note that this model is the probabilistic model used in ridge regression. To
compute the value of a subset $S$ as defined above, we have to compute the
differential conditional entropy of the posterior distribution after observing
the set $S$, which is exactly the distribution which leads to the ridge
regression estimator. Thus the following computation can be seen as the study
of how the ridge regression estimator evolves as you observe more points.

Let us start by computing the entropy of the multivariate normal distribution:
\begin{displaymath}
    H(\beta) = -\frac{1}{C}
    \int_{b\in\mathbf{R}^d} \exp\left(-\frac{1}{2}b^*\Sigma^{-1}b\right)
    \log\left(-\frac{1}{C}\exp\left(-\frac{1}{2}b^*\Sigma^{-1}b\right)\right)db
\end{displaymath}
where:
\begin{displaymath}
    C = \big(\sqrt{2\pi}\big)^d\sqrt{\det\Sigma}
    = \int_{b\in\mathbf{R}^d}\exp\left(-\frac{1}{2}b^*\Sigma^{-1}b\right)db 
\end{displaymath}

By expanding the logarithm, we get:
\begin{displaymath}
    H(\beta) = \log(C) + \frac{1}{2C}\int_{b\in\mathbf{R}^d}
    b^*\Sigma^{-1}b\exp\left(-\frac{1}{2}b^*\Sigma^{-1}b\right)db
\end{displaymath}

One can notice that:
\begin{displaymath}
    \frac{1}{C}\int_{b\in\mathbf{R}^d}
    b^*\Sigma^{-1}b\exp\left(-\frac{1}{2}b^*\Sigma^{-1}b\right)db
    = \expt{b^*\Sigma^{-1}b}
\end{displaymath}
where $b$ follows a multivariate normal distribution of variance $\Sigma$
and mean zero.
\begin{displaymath}
    \expt{b^*\Sigma^{-1}b} = \expt{\trace\big(\Sigma^{-1}bb^*\big)}
    = \trace\big(\Sigma^{-1}\Sigma\big)
    = 1
\end{displaymath}

Finally:
\begin{displaymath}
    H(\beta) = \frac{1}{2}\log\big((2\pi)^d\det\Sigma\big) + \frac{1}{2}
    = \frac{1}{2}\log\big((2\pi e)^d\det\Sigma\big)
\end{displaymath}

\subsubsection*{Conditional entropy}

Let $S$ be a subset of $D$ of size $n$. Let us denote by $x_1,\ldots,x_n$ the
points in $S$ and by $Y_1, \ldots, Y_n$ the associated random variables of
interest.

Using the Bayes rule for conditional entropy, we get that:
\begin{displaymath}
    H(\beta\,|\,Y_1,\ldots ,Y_n) = H(Y_1,\ldots,Y_n\,|\,\beta)
    +H(\beta) - H(Y_1,\ldots, Y_n)
\end{displaymath}

Conditioned on $\beta$, $(Y_1,\ldots,Y_n)$ follows a multivariate normal
distribution of mean $X\beta$ and of covariance matrix $\sigma^2 I_n$. Hence:
\begin{displaymath}
    H(Y_1,\ldots,Y_n\,|\,\beta) 
    = \frac{1}{2}\log\left((2\pi e)^n \det(\sigma^2I_n)\right)
\end{displaymath}

$(Y_1,\ldots,Y_n)$ follows a multivariate normal distribution of mean 0. Let us
denote by $\Sigma_Y$ its covariance matrix:
\begin{align}
    \Sigma_Y & = \expt{YY^*} = \expt{(X\beta + E)(X\beta + E)^*}\\
             & = X\Sigma X^* + \sigma^2I_n
\end{align}
which yields the following expression for the joint entropy:
\begin{displaymath}
    H(Y_1,\ldots, Y_n) 
    = \frac{1}{2}\log\left((2\pi e)^n \det(X\Sigma X^* + \sigma^2 I_n)\right)
\end{displaymath}

Combining the above equations, we get:
\begin{align}
    H(\beta\,|\, Y_1,\ldots,Y_n) 
    & = \frac{1}{2}\log\left((2\pi e)^d \det \Sigma
    \det\left(I_d + \Sigma \frac{X^*X}{\sigma^2}\right)^{-1}\right)\\
    & = - \frac{1}{2}\log\left((2\pi e)^d
\det\left(\Sigma^{-1} + \frac{X^*X}{\sigma^2}\right)\right)
\end{align}

\subsubsection*{Value of data}

By combining the formula for entropy and the conditional entropy, we get that
the value of a set $S$ of points is equal to:
\begin{align}
    V(S) & = \frac{1}{2}\log\left((2\pi e)^d \det \Sigma\right)
    + \frac{1}{2}\log\left((2\pi e)^d \det
    \left(\Sigma^{-1}+\frac{X_S^*X_S}{\sigma^2}\right)\right)\\
    & = \frac{1}{2}\log\left(\det\left(I_d 
    + \Sigma\frac{X_S^*X_S}{\sigma^2}\right)\right)
\end{align}

\subsubsection*{Marginal contribution}

Here, we want to compute the marginal contribution of a point $x$ to a set $S$ of
users:
\begin{displaymath}
    \Delta_xV(S) = V(S\cup \{x\}) - V(S)
\end{displaymath}

Using that:
\begin{displaymath}
    X_{S\cup\{x\}}^*X_{S\cup\{x\}} = X_S^*X_S + xx^*
\end{displaymath}
we get:
\begin{align}
    \Delta_x V(S) & = \frac{1}{2}\log\det\left(I_d 
    + \Sigma\frac{X_S^*X_S}{\sigma^2} + \Sigma\frac{xx^*}{\sigma^2}\right)
    - \frac{1}{2}\log\det\left(I_d + \Sigma\frac{X_S^*X_S}{\sigma^2}\right)\\
    &  = \frac{1}{2}\log\det\left(I_d + \frac{xx^*}{\sigma^2}\left(\Sigma^{-1} +
\frac{X_S^*X_S}{\sigma^2}\right)^{-1}\right)\\
& = \frac{1}{2}\log\left(1 + \frac{1}{\sigma^2}x^*\left(\Sigma^{-1}
+ \frac{X_S^*X_S}{\sigma^2}\right)^{-1}x\right)
\end{align}

\section{Submodularity}

In this section, we will consider that we are given a \emph{universe} set $U$.
A set function $f$ is a function defined on the power set of $U$, $\mathfrak{P}(U)$.

A set function $f$ defined on $\mathfrak{P}(U)$ will be said \emph{increasing} if
it is increasing with regards to inclusion, that is:

\begin{displaymath}
  \forall\,S\subseteq T,\quad f(S)\leq f(T)
\end{displaymath}

A \emph{decreasing} function on $\mathfrak{P}(U)$ is defined similarly.

A set function $f$ defined on $\mathfrak{P}(U)$ is said to be
\emph{submodular} if it verifies the diminishing returns property, that is,
the marginal increments when adding a point to a set, is a set decreasing
function. More formally, for any point $x$ in $U$, we can define the marginal
increment of $f$ regarding $x$, it is the set function defined as:
\begin{displaymath}
    \Delta_x f(S) = f(S\cup\{x\}) - f(S)
\end{displaymath}
Then, $f$ is \emph{submodular} iff. for all $x$ in $U$, $\Delta_x f$ is a set
decreasing function.

Similarly, a \emph{supermodular} is a function whose marginal increments are set
increasing functions.
\begin{prop}
  Let $R:\mathbf{R}\rightarrow \mathbf{R}$ be a decreasing concave function and
  $f:\mathfrak{P}(U)\rightarrow\mathbf{R}$ be a decreasing submodular function,
  then the composed function $R\circ f$ is increasing and supermodular.
\end{prop}

\begin{proof}
  The increasingness of $R\circ f$ follows immediately from the decreasingness
  of $R$ and $f$.
  
  For the supermodularity, let $S$ and $T$ be two sets such that $S\subseteq
  T$. By decreasingness of $f$, we have:
  \begin{displaymath}
    \forall\,V,\quad f(T)\leq f(S)\quad\mathrm{and}\quad f(T\cup V)\leq f(S\cup V)
  \end{displaymath}
  
  Thus, by concavity of $R$:
  \begin{displaymath}\label{eq:base}
    \forall\,V,\quad\frac{R\big(f(S)\big)-R\big(f(S\cup V)\big)}{f(S)-f(S\cup V)}
    \leq\frac{R\big(f(T)\big)-R\big(f(T\cup V)\big)}{f(T)-f(T\cup V)}
  \end{displaymath}
  
  $f$ is decreasing, so multiplying this last inequality by
  $f(S)-f(S\cup V)$ and $f(T)-f(T\cup V)$ yields:
  \begin{multline}
    \forall V,\quad\Big(R\big(f(S)\big)-R\big(f(S\cup V)\big)\Big)\big(f(T)-f(T\cup V)\big)\\
    \leq \Big(R\big(f(T)\big)-R\big(f(T\cup V)\big)\Big)\big(f(S)-f(S\cup V)\big)
  \end{multline}

  $f$ is submodular, so:
  \begin{displaymath}
    f(T\cup V)-f(T)\leq f(S\cup V) - f(S)
  \end{displaymath}
  
  $R\circ f$ is increasing, so:
  \begin{displaymath}
    R\big(f(S)\big)-R\big(f(S\cup V)\big)\leq 0
  \end{displaymath}

  By combining the two previous inequalities, we get:
    \begin{multline*}
    \forall V,\quad\Big(R\big(f(S)\big)-R\big(f(S\cup V)\big)\Big)\big(f(S)-f(S\cup V)\big)\\
    \leq \Big(R\big(f(S)\big)-R\big(f(S\cup V)\big)\Big)\big(f(T)-f(T\cup V)\big)
  \end{multline*}

  Injecting this last inequality into \eqref{eq:base} gives:
  \begin{multline*}
    \forall V,\quad\Big(R\big(f(S)\big)-R\big(f(S\cup V)\big)\Big)\big(f(S)-f(S\cup V)\big)\\
    \leq \Big(R\big(f(T)\big)-R\big(f(T\cup V)\big)\Big)\big(f(S)-f(S\cup V)\big)
  \end{multline*}

  Dividing left and right by $f(S)-f(S\cup V)$ yields:
  \begin{displaymath}
    \forall V,\quad R\big(f(S)\big)-R\big(f(S\cup V)\big)
    \leq R\big(f(T)\big)-R\big(f(T\cup V)\big)
  \end{displaymath}
  which is exactly the supermodularity of $R\circ f$.
\end{proof}

\end{document}