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Aggregation Under Bias: Rényi Divergence Aggregation and Its Implementation via Machine Learning Markets

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http://link.springer.com/chapter/10.1007%2F978-3-319-23528-8_35
Original languageEnglish
Title of host publicationMachine Learning and Knowledge Discovery in Databases
Subtitle of host publicationEuropean Conference, ECML PKDD 2015, Porto, Portugal, September 7-11, 2015, Proceedings, Part I
EditorsAnnalisa Appice, Pereira Pedro Rodrigues, Vítor Santos Costa, Carlos Soares, João Gama, Alípio Jorge
PublisherSpringer International Publishing
Pages560-574
Number of pages15
ISBN (Electronic)978-3-319-23528-8
ISBN (Print)978-3-319-23527-1
DOIs
Publication statusPublished - 2015

Publication series

NameLecture Notes in Computer Science
PublisherSpringer International Publishing
Volume9284
ISSN (Print)0302-9743

Abstract

Trading in information markets, such as machine learning markets, has been shown to be an effective approach for aggregating the beliefs of different agents. In a machine learning context, aggregation commonly uses forms of linear opinion pools, or logarithmic (log) opinion pools. It is interesting to relate information market aggregation to the machine learning setting.In this paper we introduce a spectrum of compositional methods, Renyi divergence aggregators, that interpolate between log opinion pools and linear opinion pools. We show that these compositional methods are maximum entropy distributions for aggregating information from agents subject to individual biases, with the Renyi divergence parameter dependent on the bias. In the limit of no bias this reduces to the optimal limit of log opinion pools. We demonstrate this relationship practically on both simulated and real datasets.We then return to information markets and show that Renyi divergence aggregators are directly implemented by machine learning markets with isoelastic utilities, and so can result from autonomous self interested decision making by individuals contributing different predictors. The risk averseness of the isoelastic utility directly relates to the Renyi divergence parameter, and hence encodes how much an agent believes (s)he may be subject to an individual bias that could affect the trading outcome: if an agent believes (s)he might be acting on significantly biased information, a more risk averse isoelastic utility is warranted.

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