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Neural Pseudo-Label Optimism for the Bank Loan Problem
Aldo Pacchiano · Shaun Singh · Edward Chou · Alex Berg · Jakob Foerster

Tue Dec 07 08:30 AM -- 10:00 AM (PST) @ None #None

We study a class of classification problems best exemplified by the \emph{bank loan} problem, where a lender decides whether or not to issue a loan. The lender only observes whether a customer will repay a loan if the loan is issued to begin with, and thus modeled decisions affect what data is available to the lender for future decisions. As a result, it is possible for the lender's algorithm to ``get stuck'' with a self-fulfilling model. This model never corrects its false negatives, since it never sees the true label for rejected data, thus accumulating infinite regret. In the case of linear models, this issue can be addressed by adding optimism directly into the model predictions. However, there are few methods that extend to the function approximation case using Deep Neural Networks. We present Pseudo-Label Optimism (PLOT), a conceptually and computationally simple method for this setting applicable to DNNs. \PLOT{} adds an optimistic label to the subset of decision points the current model is deciding on, trains the model on all data so far (including these points along with their optimistic labels), and finally uses the resulting \emph{optimistic} model for decision making. \PLOT{} achieves competitive performance on a set of three challenging benchmark problems, requiring minimal hyperparameter tuning. We also show that \PLOT{} satisfies a logarithmic regret guarantee, under a Lipschitz and logistic mean label model, and under a separability condition on the data.

Author Information

Aldo Pacchiano (Microsoft Research)
Shaun Singh (Facebook)
Edward Chou (Facebook)
Alex Berg (Facebook AI Research/UNC)
Jakob Foerster (University of Oxford)

Jakob Foerster received a CIFAR AI chair in 2019 and is starting as an Assistant Professor at the University of Toronto and the Vector Institute in the academic year 20/21. During his PhD at the University of Oxford, he helped bring deep multi-agent reinforcement learning to the forefront of AI research and interned at Google Brain, OpenAI, and DeepMind. He has since been working as a research scientist at Facebook AI Research in California, where he will continue advancing the field up to his move to Toronto. He was the lead organizer of the first Emergent Communication (EmeCom) workshop at NeurIPS in 2017, which he has helped organize ever since.

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