A Study on the Calibration of In-context Learning

Modern auto-regressive language models are trained to minimize log loss on broad data by predicting the next token so they are expected to get calibrated answers in next-token prediction tasks. We study this for in-context learning (ICL), a widely used way to adapt frozen large language models (LLMs) via crafting prompts, and investigate the trade-offs between performance and calibration on a wide range of natural language understanding and reasoning tasks. We conduct extensive experiments to show that such trade-offs may get worse as we increase model size, incorporate more ICL examples, and fine-tune models using instruction, dialog, or reinforcement learning from human feedback (RLHF) on carefully curated datasets. Furthermore, we find that common recalibration techniques that are widely effective such as temperature scaling provide limited gains in calibration errors, suggesting that new methods may be required for settings where models are expected to be reliable.

AI safety by debate via regret minimization

We consider the setting of AI safety by debate as a repeated game. We consider the question of efficient regret minimization in this setting, when the players are either AIs or humans, equipped with access to computationally superior AIs. In such a setting, we characterize when internal and external regret can be minimized efficiently. We conclude with conditions in which a sequence of strategies converges to a correlated equilibrium.

Learning an Inventory Control Policy with General Inventory Arrival Dynamics

In this paper we address the problem of learning and backtesting inventory control policies in the presence of general arrival dynamics -- which we term as a quantity-over-time arrivals model (QOT). We also allow for order quantities to be modified as a post-processing step to meet vendor constraints such as order minimum and batch size constraints -- a common practice in real supply chains. To the best of our knowledge this is the first work to handle either arbitrary arrival dynamics or an arbitrary downstream post-processing of order quantities. Building upon recent work (Madeka et al., 2022) we similarly formulate the periodic review inventory control problem as an exogenous decision process, where most of the state is outside the control of the agent. Madeka et al. (2022) show how to construct a simulator that replays historic data to solve this class of problem. In our case, we incorporate a deep generative model for the arrivals process as part of the history replay. By formulating the problem as an exogenous decision process, we can apply results from Madeka et al. (2022) to obtain a reduction to supervised learning. Finally, we show via simulation studies that this approach yields statistically significant improvements in profitability over production baselines. Using data from an ongoing real-world A/B test, we show that Gen-QOT generalizes well to off-policy data.

Contextual Bandits for Evaluating and Improving Inventory Control Policies

Solutions to address the periodic review inventory control problem with nonstationary random demand, lost sales, and stochastic vendor lead times typically involve making strong assumptions on the dynamics for either approximation or simulation, and applying methods such as optimization, dynamic programming, or reinforcement learning. Therefore, it is important to analyze and evaluate any inventory control policy, in particular to see if there is room for improvement. We introduce the concept of an equilibrium policy, a desirable property of a policy that intuitively means that, in hindsight, changing only a small fraction of actions does not result in materially more reward. We provide a light-weight contextual bandit-based algorithm to evaluate and occasionally tweak policies, and show that this method achieves favorable guarantees, both theoretically and in empirical studies.

Scaling Laws for Imitation Learning in NetHack

Imitation Learning (IL) is one of the most widely used methods in machine learning. Yet, while powerful, many works find it is often not able to fully recover the underlying expert behavior. However, none of these works deeply investigate the role of scaling up the model and data size. Inspired by recent work in Natural Language Processing (NLP) where "scaling up" has resulted in increasingly more capable LLMs, we investigate whether carefully scaling up model and data size can bring similar improvements in the imitation learning setting. To demonstrate our findings, we focus on the game of NetHack, a challenging environment featuring procedural generation, stochasticity, long-term dependencies, and partial observability. We find IL loss and mean return scale smoothly with the compute budget and are strongly correlated, resulting in power laws for training compute-optimal IL agents with respect to model size and number of samples. We forecast and train several NetHack agents with IL and find they outperform prior state-of-the-art by at least 2x in all settings. Our work both demonstrates the scaling behavior of imitation learning in a challenging domain, as well as the viability of scaling up current approaches for increasingly capable agents in NetHack, a game that remains elusively hard for current AI systems.

Deep Inventory Management

We present a Deep Reinforcement Learning approach to solving a periodic review inventory control system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has historically been considered intractable, we show that several policy learning approaches are competitive with or outperform classical baseline approaches. In order to train these algorithms, we develop novel techniques to convert historical data into a simulator. We also present a model-based reinforcement learning procedure (Direct Backprop) to solve the dynamic periodic review inventory control problem by constructing a differentiable simulator. Under a variety of metrics Direct Backprop outperforms model-free RL and newsvendor baselines, in both simulations and real-world deployments.

Assessment of Treatment Effect Estimators for Heavy-Tailed Data

A central obstacle in the objective assessment of treatment effect (TE) estimators in randomized control trials (RCTs) is the lack of ground truth (or validation set) to test their performance. In this paper, we provide a novel cross-validation-like methodology to address this challenge. The key insight of our procedure is that the noisy (but unbiased) difference-of-means estimate can be used as a ground truth "label" on a portion of the RCT, to test the performance of an estimator trained on the other portion. We combine this insight with an aggregation scheme, which borrows statistical strength across a large collection of RCTs, to present an end-to-end methodology for judging an estimator's ability to recover the underlying treatment effect. We evaluate our methodology across 709 RCTs implemented in the Amazon supply chain. In the corpus of AB tests at Amazon, we highlight the unique difficulties associated with recovering the treatment effect due to the heavy-tailed nature of the response variables. In this heavy-tailed setting, our methodology suggests that procedures that aggressively downweight or truncate large values, while introducing bias, lower the variance enough to ensure that the treatment effect is more accurately estimated.

Variance Reduction in Training Forecasting Models with Subgroup Sampling

In real-world applications of large-scale time series, one often encounters the situation where the temporal patterns of time series, while drifting over time, differ from one another in the same dataset. In this paper, we provably show under such heterogeneity, training a forecasting model with commonly used stochastic optimizers (e.g. SGD) potentially suffers large gradient variance, and thus requires long time training. To alleviate this issue, we propose a sampling strategy named Subgroup Sampling, which mitigates the large variance via sampling over pre-grouped time series. We further introduce SCott, a variance reduced SGD-style optimizer that co-designs subgroup sampling with the control variate method. In theory, we provide the convergence guarantee of SCott on smooth non-convex objectives. Empirically, we evaluate SCott and other baseline optimizers on both synthetic and real-world time series forecasting problems, and show SCott converges faster with respect to both iterations and wall clock time. Additionally, we show two SCott variants that can speed up Adam and Adagrad without compromising generalization of forecasting models.

Top-$k$ eXtreme Contextual Bandits with Arm Hierarchy

Motivated by modern applications, such as online advertisement and recommender systems, we study the top-$k$ extreme contextual bandits problem, where the total number of arms can be enormous, and the learner is allowed to select $k$ arms and observe all or some of the rewards for the chosen arms. We first propose an algorithm for the non-extreme realizable setting, utilizing the Inverse Gap Weighting strategy for selecting multiple arms. We show that our algorithm has a regret guarantee of $O(k\sqrt{(A-k+1)T \log (|\mathcal{F}|T)})$, where $A$ is the total number of arms and $\mathcal{F}$ is the class containing the regression function, while only requiring $\tilde{O}(A)$ computation per time step. In the extreme setting, where the total number of arms can be in the millions, we propose a practically-motivated arm hierarchy model that induces a certain structure in mean rewards to ensure statistical and computational efficiency. The hierarchical structure allows for an exponential reduction in the number of relevant arms for each context, thus resulting in a regret guarantee of $O(k\sqrt{(\log A-k+1)T \log (|\mathcal{F}|T)})$. Finally, we implement our algorithm using a hierarchical linear function class and show superior performance with respect to well-known benchmarks on simulated bandit feedback experiments using extreme multi-label classification datasets. On a dataset with three million arms, our reduction scheme has an average inference time of only 7.9 milliseconds, which is a 100x improvement.

Dynamic Local Regret for Non-convex Online Forecasting

We consider online forecasting problems for non-convex machine learning models. Forecasting introduces several challenges such as (i) frequent updates are necessary to deal with concept drift issues since the dynamics of the environment change over time, and (ii) the state of the art models are non-convex models. We address these challenges with a novel regret framework. Standard regret measures commonly do not consider both dynamic environment and non-convex models. We introduce a local regret for non-convex models in a dynamic environment. We present an update rule incurring a cost, according to our proposed local regret, which is sublinear in time T. Our update uses time-smoothed gradients. Using a real-world dataset we show that our time-smoothed approach yields several benefits when compared with state-of-the-art competitors: results are more stable against new data; training is more robust to hyperparameter selection; and our approach is more computationally efficient than the alternatives.