Houssam Zenati

Houssam Zenati, Eustache Diemert, Matthieu Martin et al.

Counterfactual Risk Minimization (CRM) is a framework for dealing with the logged bandit feedback problem, where the goal is to improve a logging policy using offline data. In this paper, we explore the case where it is possible to deploy learned policies multiple times and acquire new data. We extend the CRM principle and its theory to this scenario, which we call "Sequential Counterfactual Risk Minimization (SCRM)." We introduce a novel counterfactual estimator and identify conditions that can improve the performance of CRM in terms of excess risk and regret rates, by using an analysis similar to restart strategies in accelerated optimization methods. We also provide an empirical evaluation of our method in both discrete and continuous action settings, and demonstrate the benefits of multiple deployments of CRM.

Bariscan Bozkurt, Houssam Zenati, Dimitri Meunier et al.

We study the problem of causal function estimation in the Proxy Causal Learning (PCL) framework, where confounders are not observed but proxies for the confounders are available. Two main approaches have been proposed: outcome bridge-based and treatment bridge-based methods. In this work, we propose two kernel-based doubly robust estimators that combine the strengths of both approaches, and naturally handle continuous and high-dimensional variables. Our identification strategy builds on a recent density ratio-free method for treatment bridge-based PCL; furthermore, in contrast to previous approaches, it does not require indicator functions or kernel smoothing over the treatment variable. These properties make it especially well-suited for continuous or high-dimensional treatments. By using kernel mean embeddings, we propose the first density-ratio free doubly robust estimators for proxy causal learning, which have closed form solutions and strong uniform consistency guarantees. Our estimators outperform existing methods on PCL benchmarks, including a prior doubly robust method that requires both kernel smoothing and density ratio estimation.

Matthieu Martin, Panayotis Mertikopoulos, Thibaud Rahier et al.

In many online decision processes, the optimizing agent is called to choose between large numbers of alternatives with many inherent similarities; in turn, these similarities imply closely correlated losses that may confound standard discrete choice models and bandit algorithms. We study this question in the context of nested bandits, a class of adversarial multi-armed bandit problems where the learner seeks to minimize their regret in the presence of a large number of distinct alternatives with a hierarchy of embedded (non-combinatorial) similarities. In this setting, optimal algorithms based on the exponential weights blueprint (like Hedge, EXP3, and their variants) may incur significant regret because they tend to spend excessive amounts of time exploring irrelevant alternatives with similar, suboptimal costs. To account for this, we propose a nested exponential weights (NEW) algorithm that performs a layered exploration of the learner's set of alternatives based on a nested, step-by-step selection method. In so doing, we obtain a series of tight bounds for the learner's regret showing that online learning problems with a high degree of similarity between alternatives can be resolved efficiently, without a red bus / blue bus paradox occurring.

Julien Zhou, Pierre Gaillard, Thibaud Rahier et al.

We address the problem of stochastic combinatorial semi-bandits, where a player selects among P actions from the power set of a set containing d base items. Adaptivity to the problem's structure is essential in order to obtain optimal regret upper bounds. As estimating the coefficients of a covariance matrix can be manageable in practice, leveraging them should improve the regret. We design "optimistic" covariance-adaptive algorithms relying on online estimations of the covariance structure, called OLS-UCB-C and COS-V (only the variances for the latter). They both yields improved gap-free regret. Although COS-V can be slightly suboptimal, it improves on computational complexity by taking inspiration from ThompsonSampling approaches. It is the first sampling-based algorithm satisfying a T^1/2 gap-free regret (up to poly-logs). We also show that in some cases, our approach efficiently leverages the semi-bandit feedback and outperforms bandit feedback approaches, not only in exponential regimes where P >> d but also when P <= d, which is not covered by existing analyses.

Houssam Zenati, Bariscan Bozkurt, Arthur Gretton

Estimating the distribution of outcomes under counterfactual policies is critical for decision-making in domains such as recommendation, advertising, and healthcare. We propose and analyze a novel framework-Counterfactual Policy Mean Embedding (CPME)-that represents the entire counterfactual outcome distribution in a reproducing kernel Hilbert space (RKHS), enabling flexible and nonparametric distributional off-policy evaluation. We introduce both a plug-in estimator and a doubly robust estimator; the latter enjoys improved convergence rates by correcting for bias in both the outcome embedding and propensity models. Building on this, we develop a doubly robust kernel test statistic for hypothesis testing, which achieves asymptotic normality and thus enables computationally efficient testing and straightforward construction of confidence intervals. Our framework also supports sampling from the counterfactual distribution. Numerical simulations illustrate the practical benefits of CPME over existing methods.

Samuel Girard, Aurélien Bibaut, Houssam Zenati

Adaptive experiments produce dependent data that break i.i.d. assumptions that underlie classical concentration bounds and invalidate standard learning guarantees. In this paper, we develop a self-normalized maximal inequality for martingale empirical processes. Building on this, we first propose an adaptive sample-variance penalization procedure which balances empirical loss and sample variance, valid for general dependent data. Next, this allows us to derive a new variance-regularized pessimistic off-policy learning objective, for which we establish excess-risk guarantees. Subsequently, we show that, when combined with sequential updates and under standard complexity and margin conditions, the resulting estimator achieves fast convergence rates in both parametric and nonparametric regimes, improving over the usual $1/\sqrt{n}$ baseline. We complement our theoretical findings with numerical simulations that illustrate the practical gains of our approach.

Houssam Zenati, Alberto Bietti, Eustache Diemert et al.

In this paper, we tackle the computational efficiency of kernelized UCB algorithms in contextual bandits. While standard methods require a O(CT^3) complexity where T is the horizon and the constant C is related to optimizing the UCB rule, we propose an efficient contextual algorithm for large-scale problems. Specifically, our method relies on incremental Nystrom approximations of the joint kernel embedding of contexts and actions. This allows us to achieve a complexity of O(CTm^2) where m is the number of Nystrom points. To recover the same regret as the standard kernelized UCB algorithm, m needs to be of order of the effective dimension of the problem, which is at most O(\sqrt(T)) and nearly constant in some cases.

Houssam Zenati, Alberto Bietti, Matthieu Martin et al.

Counterfactual reasoning from logged data has become increasingly important for many applications such as web advertising or healthcare. In this paper, we address the problem of learning stochastic policies with continuous actions from the viewpoint of counterfactual risk minimization (CRM). While the CRM framework is appealing and well studied for discrete actions, the continuous action case raises new challenges about modelization, optimization, and~offline model selection with real data which turns out to be particularly challenging. Our paper contributes to these three aspects of the CRM estimation pipeline. First, we introduce a modelling strategy based on a joint kernel embedding of contexts and actions, which overcomes the shortcomings of previous discretization approaches. Second, we empirically show that the optimization aspect of counterfactual learning is important, and we demonstrate the benefits of proximal point algorithms and smooth estimators. Finally, we propose an evaluation protocol for offline policies in real-world logged systems, which is challenging since policies cannot be replayed on test data, and we release a new large-scale dataset along with multiple synthetic, yet realistic, evaluation setups.

Bruno Lecouat, Ken Chang, Chuan-Sheng Foo et al.

Supervised deep learning algorithms have enabled significant performance gains in medical image classification tasks. But these methods rely on large labeled datasets that require resource-intensive expert annotation. Semi-supervised generative adversarial network (GAN) approaches offer a means to learn from limited labeled data alongside larger unlabeled datasets, but have not been applied to discern fine-scale, sparse or localized features that define medical abnormalities. To overcome these limitations, we propose a patch-based semi-supervised learning approach and evaluate performance on classification of diabetic retinopathy from funduscopic images. Our semi-supervised approach achieves high AUC with just 10-20 labeled training images, and outperforms the supervised baselines by upto 15% when less than 30% of the training dataset is labeled. Further, our method implicitly enables interpretation of the SSL predictions. As this approach enables good accuracy, resolution and interpretability with lower annotation burden, it sets the pathway for scalable applications of deep learning in clinical imaging.

Houssam Zenati, Manon Romain, Chuan Sheng Foo et al.

Anomaly detection is a significant and hence well-studied problem. However, developing effective anomaly detection methods for complex and high-dimensional data remains a challenge. As Generative Adversarial Networks (GANs) are able to model the complex high-dimensional distributions of real-world data, they offer a promising approach to address this challenge. In this work, we propose an anomaly detection method, Adversarially Learned Anomaly Detection (ALAD) based on bi-directional GANs, that derives adversarially learned features for the anomaly detection task. ALAD then uses reconstruction errors based on these adversarially learned features to determine if a data sample is anomalous. ALAD builds on recent advances to ensure data-space and latent-space cycle-consistencies and stabilize GAN training, which results in significantly improved anomaly detection performance. ALAD achieves state-of-the-art performance on a range of image and tabular datasets while being several hundred-fold faster at test time than the only published GAN-based method.

Bruno Lecouat, Chuan-Sheng Foo, Houssam Zenati et al.

Generative Adversarial Networks are powerful generative models that are able to model the manifold of natural images. We leverage this property to perform manifold regularization by approximating a variant of the Laplacian norm using a Monte Carlo approximation that is easily computed with the GAN. When incorporated into the semi-supervised feature-matching GAN we achieve state-of-the-art results for GAN-based semi-supervised learning on CIFAR-10 and SVHN benchmarks, with a method that is significantly easier to implement than competing methods. We also find that manifold regularization improves the quality of generated images, and is affected by the quality of the GAN used to approximate the regularizer.

Panayotis Mertikopoulos, Bruno Lecouat, Houssam Zenati et al.

Owing to their connection with generative adversarial networks (GANs), saddle-point problems have recently attracted considerable interest in machine learning and beyond. By necessity, most theoretical guarantees revolve around convex-concave (or even linear) problems; however, making theoretical inroads towards efficient GAN training depends crucially on moving beyond this classic framework. To make piecemeal progress along these lines, we analyze the behavior of mirror descent (MD) in a class of non-monotone problems whose solutions coincide with those of a naturally associated variational inequality - a property which we call coherence. We first show that ordinary, "vanilla" MD converges under a strict version of this condition, but not otherwise; in particular, it may fail to converge even in bilinear models with a unique solution. We then show that this deficiency is mitigated by optimism: by taking an "extra-gradient" step, optimistic mirror descent (OMD) converges in all coherent problems. Our analysis generalizes and extends the results of Daskalakis et al. (2018) for optimistic gradient descent (OGD) in bilinear problems, and makes concrete headway for establishing convergence beyond convex-concave games. We also provide stochastic analogues of these results, and we validate our analysis by numerical experiments in a wide array of GAN models (including Gaussian mixture models, as well as the CelebA and CIFAR-10 datasets).

Bruno Lecouat, Chuan-Sheng Foo, Houssam Zenati et al.

GANS are powerful generative models that are able to model the manifold of natural images. We leverage this property to perform manifold regularization by approximating the Laplacian norm using a Monte Carlo approximation that is easily computed with the GAN. When incorporated into the feature-matching GAN of Improved GAN, we achieve state-of-the-art results for GAN-based semi-supervised learning on the CIFAR-10 dataset, with a method that is significantly easier to implement than competing methods.

Houssam Zenati, Chuan Sheng Foo, Bruno Lecouat et al.

Generative adversarial networks (GANs) are able to model the complex highdimensional distributions of real-world data, which suggests they could be effective for anomaly detection. However, few works have explored the use of GANs for the anomaly detection task. We leverage recently developed GAN models for anomaly detection, and achieve state-of-the-art performance on image and network intrusion datasets, while being several hundred-fold faster at test time than the only published GAN-based method.