American Statistical Association
New York City
Metropolitan Area Chapter

Levin Lecture Series: Fall 2019 Colloquium Seminars
Department of Biostatistics
Mailman School of Public Health
Columbia University



STATISTICAL INFERENCE FOR ONLINE
DECISION-MAKING VIA STOCHASTIC GRADIENT DESCENT

by

Dr. Rui Strong
Associate Professor, Statistics Department
North Carolina State University

Host: Bin Cheng


Abstract

Online decision-making aims to learn the optimal decision rule by making personalized decisions and updating the decision rule recursively. It has become easier than before with the help of big data, but new challenges also come along. Since the decision rule should be updated once per step, an offline update which uses all the historical data is inefficient in computation and storage. To this end, we propose a completely online algorithm that can make decisions and update the decision rule online via stochastic gradient descent. It is not only efficient but also supports all kinds of parametric reward models. Focusing on the statistical inference of online decision making, we establish the asymptotic normality of the parameter estimator produced by our algorithm and the online inverse probability weighted value estimator we used to estimate the optimal value. Online plugin estimators for the variance of the parameter and value estimators are also provided and shown to be consistent, so that interval estimation and hypothesis test are possible using our method. The proposed algorithm and theoretical results are tested by simulations and a real data application to news article recommendation.


Date: Thursday, September 5, 2019
Time: 11:45 A.M. - 12:45 P.M.
Location: Mailman School of Public Health
Department of Biostatistics
722 West 168th Street
AR Building
8th Floor Auditorium
New York, New York

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