Section: New Results

Statistical Learning and Bayesian Analysis

Non-parametric methods for Function Approximation

Pliable rejection sampling, [30]

Rejection sampling is a technique for sampling from difficult distributions. However, its use is limited due to a high rejection rate. Common adaptive rejection sampling methods either work only for very specific distributions or without performance guarantees. In this paper, we present pliable rejection sampling (PRS), a new approach to rejection sampling, where we learn the sampling proposal using a kernel estimator. Since our method builds on rejection sampling, the samples obtained are with high probability i.i.d. and distributed according to f. Moreover, PRS comes with a guarantee on the number of accepted samples.

Non-parametric methods for functional supervised learning

Operator-valued Kernels for Learning from Functional Response Data, [16]

In this paper we consider the problems of supervised classification and regression in the case where attributes and labels are functions: a data is represented by a set of functions, and the label is also a function. We focus on the use of reproducing kernel Hilbert space theory to learn from such functional data. Basic concepts and properties of kernel-based learning are extended to include the estimation of function-valued functions. In this setting, the representer theorem is restated, a set of rigorously defined infinite-dimensional operator-valued kernels that can be valuably applied when the data are functions is described, and a learning algorithm for nonlinear functional data analysis is introduced. The methodology is illustrated through speech and audio signal processing experiments.

Differential privacy

On the Differential Privacy of Bayesian Inference, [51]

We study how to communicate findings of Bayesian inference to third parties, while preserving the strong guarantee of differential privacy. Our main contributions are four different algorithms for private Bayesian inference on proba-bilistic graphical models. These include two mechanisms for adding noise to the Bayesian updates, either directly to the posterior parameters, or to their Fourier transform so as to preserve update consistency. We also utilise a recently introduced posterior sampling mechanism, for which we prove bounds for the specific but general case of discrete Bayesian networks; and we introduce a maximum-a-posteriori private mechanism. Our analysis includes utility and privacy bounds, with a novel focus on the influence of graph structure on privacy. Worked examples and experiments with Bayesian naïve Bayes and Bayesian linear regression illustrate the application of our mechanisms.

Algorithms for Differentially Private Multi-Armed Bandits, [50]

We present differentially private algorithms for the stochastic Multi-Armed Bandit (MAB) problem. This is a problem for applications such as adaptive clinical trials, experiment design, and user-targeted advertising where private information is connected to individual rewards. Our major contribution is to show that there exist (ϵ,δ) differentially private variants of Upper Confidence Bound algorithms which have optimal regret, O(ϵ-1+logT). This is a significant improvement over previous results, which only achieve poly-log regret O(ϵ-2log2T), because of our use of a novel interval-based mechanism. We also substantially improve the bounds of previous family of algorithms which use a continual release mechanism. Experiments clearly validate our theoretical bounds.