Unveiling Invariant and Transferable Latent Factors Across Heterogeneous Environments via ATLAS

This paper considers a multi-environment factor model in which high-dimensional covariates are collected from heterogeneous environments, with auxiliary labels available in a subset of these environments.

This paper considers a multi-environment factor model in which high-dimensional covariates are collected from heterogeneous environments, with auxiliary labels available in a subset of these environments. The joint distribution of the covariates may vary across environments,…