Selective sampling algorithms for cost-sensitive multiclass prediction

author: Alekh Agarwal, Microsoft Research
published: Oct. 6, 2014,   recorded: December 2013,   views: 1792

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In this talk, we study the problem of active learning for cost-sensitive multiclass classification. We propose selective sampling algorithms, which process the data in a streaming fashion, querying only a subset of the labels. For these algorithms, we analyze the regret and label complexity when the labels are generated according to a generalized linear model. We establish that the gains of active learning over passive learning can range from none to exponentially large, based on a natural notion of margin. We also present a safety guarantee to guard against model mismatch. Numerical simulations show that our algorithms indeed obtain a low regret with a small number of queries.

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