Poster
Discriminative State Space Models
Vitaly Kuznetsov · Mehryar Mohri

Wed Dec 6th 06:30 -- 10:30 PM @ Pacific Ballroom #210 #None

In this paper, we introduce and analyze Discriminative State-Space Models for forecasting non-stationary time series. We provide data-dependent generalization guarantees for learning these models based on the recently introduced notion of discrepancy. We provide an in-depth analysis of the complexity of such models. Finally, we also study the generalization guarantees for several structural risk minimization approaches to this problem and provide an efficient implementation for one of them which is based on a convex objective.

Author Information

Vitaly Kuznetsov (Google Research)

Vitaly Kuznetsov is a research scientist at Google. Prior to joining Google Research, Vitaly received his Ph.D. in mathematics from the Courant Institute of Mathematical Sciences at New York University. Vitaly has contributed to a number of different areas in machine learning, in particular the development of the theory and algorithms for forecasting non-stationary time series. At Google, his work is focused on the design and implementation of large-scale machine learning tools and algorithms for time series modeling, forecasting and anomaly detection. His current research interests include all aspects of applied and theoretical time series analysis, in particular, in non-stationary environments.

Mehryar Mohri (Courant Institute and Google)

Mehryar Mohri is a Professor of Computer Science and Mathematics at the Courant Institute of Mathematical Sciences and a Research Consultant at Google. Prior to these positions, he spent about ten years at AT&T Bell Labs, later AT&T Labs-Research, where he served for several years as a Department Head and a Technology Leader. His research interests cover a number of different areas: primarily machine learning, algorithms and theory, automata theory, speech processing, natural language processing, and also computational biology. His research in learning theory and algorithms has been used in a variety of applications. His work on automata theory and algorithms has served as the foundation for several applications in language processing, with several of his algorithms used in virtually all spoken-dialog and speech recognitions systems used in the United States. He has co-authored several software libraries widely used in research and academic labs. He is also co-author of the machine learning textbook Foundations of Machine Learning used in graduate courses on machine learning in several universities and corporate research laboratories.

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