Modeling and Simulation Group Meeting

Improved Active Learning via Dependent Leverage Score Sampling

Speaker: Xiaoou (Charlotte) Cheng, Courant Institute

Location: Warren Weaver Hall 1302

Date: Thursday, April 4, 2024, 12:30 p.m.


We show how to obtain improved active learning methods in the agnostic (adversarial noise) setting by combining marginal leverage score sampling with non-independent sampling strategies that promote spatial coverage. In particular, we propose an easily implemented method based on the \emph{pivotal sampling algorithm}, which we test on problems motivated by learning-based methods for parametric PDEs and uncertainty quantification. In comparison to independent sampling, our method reduces the number of samples needed to reach a given target accuracy by up to 50.

We support our findings with two theoretical results. First, we show that any non-independent leverage score sampling method that obeys a weak \emph{one-sided ℓ∞ independence condition} (which includes pivotal sampling) can actively learn d dimensional linear functions with O(d log⁡ d) samples, matching independent sampling. This result extends recent work on matrix Chernoff bounds under ℓ∞ independence, and may be of interest for analyzing other sampling strategies beyond pivotal sampling. Second, we show that, for the important case of polynomial regression, our pivotal method obtains an improved bound of O(d) samples.