Wednesday, September 16, 2020 - 4:00pm to 4:30pm
Event Calendar Category
LIDS & Stats Tea
Zoom meeting id
945 7834 5126
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Tianyi will discuss the work about how to achieve the optimal detection rate for detecting anomalies in a low-rank matrix. The concrete application we are studying is a crucial inventory management problem ('phantom inventory') that by some measures costs retailers approximately 4% in annual sales. We observe that this problem can be modeled as a problem of identifying anomalies in a (low-rank) Poisson matrix. State of the art approaches to anomaly detection in low-rank matrices apparently fall short. Specifically, from a theoretical perspective, recovery guarantees for these approaches require that non-anomalous entries be observed with vanishingly small noise (which is not the case in our problem, and indeed in many applications). So motivated, we propose a conceptually simple entry-wise approach to anomaly detection in low-rank Poisson matrices. Our approach accommodates a general class of probabilistic anomaly models. We extend recent work on entry-wise error guarantees for matrix completion, establishing such guarantees for sub-exponential matrices, where in addition to missing entries, a fraction of entries is corrupted by (an also unknown) anomaly model. We show that for any given budget on the false positive rate (FPR), our approach achieves a true positive rate (TPR) that approaches the TPR of an optimal algorithm at a min-max optimal rate. Using data from a massive consumer goods retailer, we show that our approach provides significant improvements over incumbent approaches to anomaly detection. This is a joint work with Prof. Vivek Farias and Prof. Andrew Li.
Tianyi Peng is a Ph.D. student from the Department of Aeronautics and Astronautics at MIT. He works with Prof. Vivek Farias. His current research directions are in the high dimensional statistics, machine learning, with a focus in the field of matrix estimation and applications on operation research. He received Bachelor’s degree in computer science from Yao Class at Tsinghua University in 2017. He received Master’s degree in Aeronautics & Astronautics from MIT in 2020, supervised by Prof. Moe Win, and was awarded ICNC 2020 best paper award for the joint work on quantum networks with Wenhan Dai and Prof. Win.