L2P: An Algorithm for Estimating Heavy-tailed Outcomes
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Many real-world prediction tasks have outcome (a.k.a. target or response) variables that have characteristic heavy-tail distributions. Examples include copies of books sold, auction prices of art pieces, etc. By learning heavy-tailed distributions, "big and rare" instances (e.g., the best-sellers) will have accurate predictions. Most existing approaches are not dedicated to learning heavy-tailed distribution; thus, they heavily under-predict such instances. To tackle this problem, we introduce Learning to Place (L2P), which exploits the pairwise relationships between instances to learn from a proportionally higher number of rare instances. L2P consists of two stages. In Stage 1, L2P learns a pairwise preference classifier: is instance A > instance B?. In Stage 2, L2P learns to place a new instance into an ordinal ranking of known instances. Based on its placement, the new instance is then assigned a value for its outcome variable. Experiments on real data show that L2P outperforms competing approaches in terms of accuracy and capability to reproduce heavy-tailed outcome distribution. In addition, L2P can provide an interpretable model with explainable outcomes by placing each predicted instance in context with its comparable neighbors.
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