Performance of machine learning approaches depends strongly on the choice of misfit penalty, and correct choice of penalty parameters, such as the threshold of the Huber function. These parameters are typically chosen using expert knowledge, cross-validation, or black-box optimization, which are time consuming for large-scale applications. We present a principled, data-driven approach to simultaneously learn the model pa- rameters and the misfit penalty parameters. We discuss theoretical properties of these joint inference problems, and develop algorithms for their solution. We show synthetic examples of automatic parameter tuning for piecewise linear-quadratic (PLQ) penalties, and use the approach to develop a self-tuning robust PCA formulation for background separation.
@cite_1: Quantile regression has gained increasing popularity as it provides richer information than the regular mean regression, and variable selection plays an important role in the quantile regression model building process, as it improves the prediction accuracy by choosing an appropriate subset of regression predictors. Unlike the traditional quantile regression, we consider the quantile as an unknown parameter and estimate it jointly with other regression coefficients. In particular, we adopt the Bayesian adaptive Lasso for the maximum entropy quantile regression. A flat prior is chosen for the quantile parameter due to the lack of information on it. The proposed method not only addresses the problem about which quantile would be the most probable one among all the candidates, but also reflects the inner relationship of the data through the estimated quantile. We develop an efficient Gibbs sampler algorithm and show that the performance of our proposed method is superior than the Bayesian adaptive Lasso and Bayesian Lasso through simulation studies and a real data analysis.
@cite_2: Performance of machine learning algorithms depends critically on identifying a good set of hyperparameters. While current methods offer efficiencies by adaptively choosing new configurations to train, an alternative strategy is to adaptively allocate resources across the selected configurations. We formulate hyperparameter optimization as a pure-exploration non-stochastic infinitely many armed bandit problem where allocation of additional resources to an arm corresponds to training a configuration on larger subsets of the data. We introduce Hyperband for this framework and analyze its theoretical properties, providing several desirable guarantees. We compare Hyperband with state-of-the-art Bayesian optimization methods and a random search baseline on a comprehensive benchmark including 117 datasets. Our results on this benchmark demonstrate that while Bayesian optimization methods do not outperform random search trained for twice as long, Hyperband in favorable settings offers valuable speedups.
The most relevant works related to this paper focus on the relation between the quantile penalty and the asymmetric Laplace distribution(ALD) . @cite_2 jointly estimate the model and the shape parameters for quantile penalty, and @cite_1 infer the joint posterior distribution of these parameters.