Predicting with Proxies: Transfer Learning in High Dimension

نویسندگان

چکیده

Predictive analytics is increasingly used to guide decision making in many applications. However, practice, we often have limited data on the true predictive task of interest and must instead rely more abundant a closely related proxy task. For example, e-commerce platforms use customer click (proxy) make product recommendations rather than relatively sparse purchase (true outcome interest); alternatively, hospitals medical risk scores trained different patient population their own cohort interest) assign interventions. Yet, not accounting for bias can lead suboptimal decisions. Using real sets, find that this be captured by function features. Thus, propose novel two-step estimator uses techniques from high-dimensional statistics efficiently combine large amount small data. We prove upper bounds error our proposed lower several heuristics scientists; particular, achieve same accuracy with exponentially less (in number features d). Finally, demonstrate effectiveness approach healthcare sets; both cases, significantly better as well managerial insights into nature This paper was accepted George Shanthikumar, big analytics.

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ژورنال

عنوان ژورنال: Management Science

سال: 2021

ISSN: ['0025-1909', '1526-5501']

DOI: https://doi.org/10.1287/mnsc.2020.3729