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What is Learnable in Valiant's Theory of the Learnable? Learning Perturbations to Extrapolate Your LLM Byzantine-Robust Distributed Sparse Learning Revisited The Sample Complexity of Multiple Change Point Identification under Bandit Feedback A proximal gradient algorithm for composite log-concave sampling Model-based Bootstrap of Controlled Markov Chains Approximation of Maximally Monotone Operators : A Graph Convergence Perspective Posterior Contraction Rates for Sparse Kolmogorov-Arnold Networks in Anisotropic Besov Spaces MIST: Reliable Streaming Decision Trees for Online Class-Incremental Learning via McDiarmid Bound A Spectral Framework for Closed-Form Relative Density Estimation Fast Rates for Offline Contextual Bandits with Forward-KL Regularization under Single-Policy Concentrability Higher-Order Equilibrium Tracking for EM-Compressible Online Estimation Scaling Limits of Long-Context Transformers A Note on Non-Negative $L_1$-Approximating Polynomials Susceptibilities and Patterning: A Primer on Linear Response in Bayesian Learning Linear Response Estimators for Singular Statistical Models Statistical inference with belief functions: A survey Robust stochastic first order methods in heavy-tailed noise via medoid mini-batch gradient sampling Every Feedforward Neural Network Definable in an o-Minimal Structure Has Finite Sample Complexity Adaptive auditing of AI systems with anytime-valid guarantees Locally Near Optimal Piecewise Linear Regression in High Dimensions via Difference of Max-Affine Functions Risk-Controlled Post-Processing of Decision Policies Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning A Unified Pair-GRPO Family: From Implicit to Explicit Preference Constraints for Stable and General RL Alignment Time-Inhomogeneous Preconditioned Langevin Dynamics A Fine-Grained Understanding of Uniform Convergence for Halfspaces CITE: Anytime-Valid Statistical Inference in LLM Self-Consistency Ratio-based Loss Functions Optimal Confidence Band for Kernel Gradient Flow Estimator A renormalization-group inspired lattice-based framework for piecewise generalized linear models
Quantifying Distributional Input Uncertainty via Inflated...
Motong Chen, Henry Lam, Zhenyuan Liu · 2024-03-15 · via math.ST updates on arXiv.org

In stochastic simulation, input uncertainty refers to the propagation of the statistical noise in calibrating input models to impact output accuracy, in addition to the Monte Carlo simulation noise. The vast majority of the input uncertainty literature focuses on estimating target output quantities that are real-valued. However, outputs of simulation models are random and real-valued targets essentially serve only as summary statistics. To provide a more holistic assessment, we study the input uncertainty problem from a distributional view, namely we construct confidence bands for the entire output distribution function. Our approach utilizes a novel test statistic whose asymptotic consists of the supremum of the sum of a Brownian bridge and a suitable mean-zero Gaussian process, which generalizes the Kolmogorov-Smirnov statistic to account for input uncertainty. Regarding implementation, we also demonstrate how to use subsampling to efficiently estimate the covariance function of the Gaussian process, thereby leading to an implementable estimation of the quantile of the test statistic and a statistically valid confidence band. Numerical results demonstrate how our new confidence bands provide valid coverage for output distributions under input uncertainty that is not achievable by conventional approaches.