Human-in-the-loop Active Covariance Learning for Improving Prediction in Small Data Sets

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Abstract

Learning predictive models from small high-dimensional data sets is a key problem in high-dimensional statistics. Expert knowledge elicitation can help, and a strong line of work focuses on directly eliciting informative prior distributions for parameters. This either requires considerable statistical expertise or is laborious, as the emphasis has been on accuracy and not on efficiency of the process. Another line of work queries about importance of features one at a time, assuming them to be independent and hence missing covariance information. In contrast, we propose eliciting expert knowledge about pairwise feature similarities, to borrow statistical strength in the predictions, and using sequential decision making techniques to minimize the effort of the expert. Empirical results demonstrate improvement in predictive performance on both simulated and real data, in high-dimensional linear regression tasks, where we learn the covariance structure with a Gaussian process, based on sequential elicitation.

Details

Original languageEnglish
Title of host publicationProceedings of the 28th International Joint Conference on Artificial Intelligence, IJCAI 2019
Publication statusPublished - Jul 2019
MoE publication typeA4 Article in a conference publication
EventInternational Joint Conference on Artificial Intelligence - Venetian Macao Resort Hotel, Macao, China
Duration: 10 Aug 201916 Aug 2019
Conference number: 28
https://ijcai19.org/
http://ijcai19.org/

Publication series

NameIJCAI International Joint Conference on Artificial Intelligence
PublisherInternational Joint Conferences on Artificial Intelligence
ISSN (Print)1045-0823

Conference

ConferenceInternational Joint Conference on Artificial Intelligence
Abbreviated titleIJCAI
CountryChina
CityMacao
Period10/08/201916/08/2019
Internet address

ID: 33776797