论文标题

硬形状受限的内核机器

Hard Shape-Constrained Kernel Machines

论文作者

Aubin-Frankowski, Pierre-Cyril, Szabo, Zoltan

论文摘要

形状限制(例如非负,单调性,凸度)在大量应用中起着核心作用,因为它们通常会提高样本量和帮助可解释性的性能。但是,以艰苦的方式执行这些形状要求是一个极具挑战性的问题。从经典上讲,该任务以柔软的方式(i)(i)(无需样本的保证),(ii)通过用具体情况对变量进行专门转换,或(iii)使用高限制的函数类,例如多项式或多项式闪光灯。在本文中,我们证明可以在函数衍生物上的硬仿射形状约束,可以在内核机器中编码,这代表了机器学习和统计数据中最灵活,最强大的工具之一。特别是,我们提出了二级锥体约束的重新印象,可以在凸求解器中很容易实现。我们证明了解决方案的性能保证,并证明了与经济学应用以及飞机轨迹的分析等相关分位数回归中的效率。

Shape constraints (such as non-negativity, monotonicity, convexity) play a central role in a large number of applications, as they usually improve performance for small sample size and help interpretability. However enforcing these shape requirements in a hard fashion is an extremely challenging problem. Classically, this task is tackled (i) in a soft way (without out-of-sample guarantees), (ii) by specialized transformation of the variables on a case-by-case basis, or (iii) by using highly restricted function classes, such as polynomials or polynomial splines. In this paper, we prove that hard affine shape constraints on function derivatives can be encoded in kernel machines which represent one of the most flexible and powerful tools in machine learning and statistics. Particularly, we present a tightened second-order cone constrained reformulation, that can be readily implemented in convex solvers. We prove performance guarantees on the solution, and demonstrate the efficiency of the approach in joint quantile regression with applications to economics and to the analysis of aircraft trajectories, among others.

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