Archive for reinforcement learning

Jana de Wiljes’ colloquium at Warwick

Posted in Statistics with tags , , , , , , on February 25, 2020 by xi'an

the most important statistical ideas of the past 50 years

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , , , , , , on January 10, 2020 by xi'an

A grand building entrance near the train station in HelsinkiAki and Andrew are celebrating the New Year in advance by composing a list of the most important statistics ideas occurring (roughly) since they were born (or since Fisher died)! Like

  • substitution of computing for mathematical analysis (incl. bootstrap)
  • fitting a model with a large number of parameters, using some regularization procedure to get stable estimates and good predictions (e.g., Gaussian processes, neural networks, generative adversarial networks, variational autoencoders)
  • multilevel or hierarchical modelling (incl. Bayesian inference)
  • advances in statistical algorithms for efficient computing (with a long list of innovations since 1970, including ABC!), pointing out that a large fraction was of the  divide & conquer flavour (in connection with large—if not necessarily Big—data)
  • statistical decision analysis (e.g., Bayesian optimization and reinforcement learning, getting beyond classical experimental design )
  • robustness (under partial specification, misspecification or in the M-open world)
  • EDA à la Tukey and statistical graphics (and R!)
  • causal inference (via counterfactuals)

Now, had I been painfully arm-bent into coming up with such a list, it would have certainly been shorter, for lack of opinion about some of these directions (even the Biometrika deputeditoship has certainly helped in reassessing the popularity of different branches!), and I would have have presumably been biased towards Bayes as well as more mathematical flavours. Hence objecting to the witty comment that “theoretical statistics is the theory of applied statistics”(p.10) and including Ghosal and van der Vaart (2017) as a major reference. Also bemoaning the lack of long-term structure and theoretical support of a branch of the machine-learning literature.

Maybe also more space and analysis could have been spent on “debates remain regarding appropriate use and interpretation of statistical methods” (p.11) in that a major difficulty with the latest in data science is not so much the method(s) as the data on which they are based, which in a large fraction of the cases, is not representative and is poorly if at all corrected for this bias. The “replication crisis” is thus only one (tiny) aspect of the challenge.

Sean Meyn in Paris

Posted in Books, Statistics, Travel with tags , , , , , , , on November 23, 2013 by xi'an

My friend Sean Meyn (from the University of Florida, Gainesville) will give a talk in Paris next week (and I will be away in Coventry at the time…). Here are the details:

Mardi 26 novembre 2013 à 14h00
Salle de Conseil, 4ème étage (LINCS) 23 AVENUE D’ITALIE 75013 PARIS

Titre de l’exposé : Feature Selection for Neuro-Dynamic Programming

Neuro-Dynamic Programming encompasses techniques from both reinforcement learning and approximate dynamic programming. Feature selection refers to the choice of basis that defines the function class that is required in the application of these techniques. This talk reviews two popular approaches to neuro-dynamic programming, TD-learning and Q-learning. The main goal of this work is to demonstrate how insight from idealized models can be used as a guide for feature selection for these algorithms. Several approaches are surveyed, including fluid and diffusion models, and the application of idealized models arising from mean-field game approximations. The theory is illustrated with several examples.