@article{wan_li_lu_song_2024, title={Mining the factor zoo: Estimation of latent factor models with sufficient proxies}, volume={239}, ISSN={["1872-6895"]}, DOI={10.1016/j.jeconom.2022.08.013}, abstractNote={Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the former approach may suffer from the bias while the latter cannot incorporate additional information. We propose to bridge these two approaches while allowing the number of factor proxies to diverge, and hence make the latent factor model estimation robust, flexible, and statistically more accurate. As a bonus, the number of factors is also allowed to grow. At the heart of our method is a penalized reduced rank regression to combine information. To further deal with heavy-tailed data, a computationally attractive penalized robust reduced rank regression method is proposed. We establish faster rates of convergence compared with the benchmark. Extensive simulations and real examples are used to illustrate the advantages.}, number={2}, journal={JOURNAL OF ECONOMETRICS}, author={Wan, Runzhe and Li, Yingying and Lu, Wenbin and Song, Rui}, year={2024}, month={Feb} }
 @article{shi_wan_song_luo_zhu_song_2023, title={A MULTIAGENT REINFORCEMENT LEARNING FRAMEWORK FOR OFF-POLICY EVALUATION IN TWO-SIDED MARKETS}, volume={17}, ISSN={["1941-7330"]}, DOI={10.1214/22-AOAS1700}, abstractNote={The two-sided markets such as ride-sharing companies often involve a group of subjects who are making sequential decisions across time and/or location. With the rapid development of smart phones and internet of things, they have substantially transformed the transportation landscape of human beings. In this paper we consider large-scale fleet management in ride-sharing companies that involve multiple units in different areas receiving sequences of products (or treatments) over time. Major technical challenges, such as policy evaluation, arise in those studies because (i) spatial and temporal proximities induce interference between locations and times; and (ii) the large number of locations results in the curse of dimensionality. To address both challenges simultaneously, we introduce a multi-agent reinforcement learning (MARL) framework for carrying policy evaluation in these studies. We propose novel estimators for mean outcomes under different products that are consistent despite the high-dimensionality of state-action space. The proposed estimator works favorably in simulation experiments. We further illustrate our method using a real dataset obtained from a two-sided marketplace company to evaluate the effects of applying different subsidizing policies. A Python implementation of our proposed method is available at https://github.com/RunzheStat/CausalMARL.}, number={4}, journal={ANNALS OF APPLIED STATISTICS}, author={Shi, Chengchun and Wan, Runzhe and Song, Ge and Luo, Shikai and Zhu, Hongtu and Song, Rui}, year={2023}, month={Dec}, pages={2701–2722} }
 @article{wan_zhang_song_2021, title={Multi-Objective Model-based Reinforcement Learning for Infectious Disease Control}, DOI={10.1145/3447548.3467303}, abstractNote={Severe infectious diseases such as the novel coronavirus (COVID-19) pose a huge threat to public health. Stringent control measures, such as school closures and stay-at-home orders, while having significant effects, also bring huge economic losses. In the face of an emerging infectious disease, a crucial question for policymakers is how to make the trade-off and implement the appropriate interventions timely given the huge uncertainty. In this work, we propose a Multi-Objective Model-based Reinforcement Learning framework to facilitate data-driven decision-making and minimize the overall long-term cost. Specifically, at each decision point, a Bayesian epidemiological model is first learned as the environment model, and then the proposed model-based multi-objective planning algorithm is applied to find a set of Pareto-optimal policies. This framework, combined with the prediction bands for each policy, provides a real-time decision support tool for policymakers. The application is demonstrated with the spread of COVID-19 in China.}, journal={KDD '21: PROCEEDINGS OF THE 27TH ACM SIGKDD CONFERENCE ON KNOWLEDGE DISCOVERY & DATA MINING}, author={Wan, Runzhe and Zhang, Xinyu and Song, Rui}, year={2021}, pages={1634–1644} }