We consider the sequential decision-making problem where the mean outcome is a non-linear function of the chosen action. Compared with the linear model, two curious phenomena arise in non-linear models: first, in addition to the "learning phase" with a standard parametric rate for estimation or regret, there is an "burn-in period" with a fixed cost determined by the non-linear function; second, achieving the smallest burn-in cost requires new exploration algorithms. For a special family of non-linear functions named ridge functions in the literature, we derive upper and lower bounds on the optimal burn-in cost, and in addition, on the entire learning trajectory during the burn-in period via differential equations. In particular, a two-stage algorithm that first finds a good initial action and then treats the problem as locally linear is statistically optimal. In contrast, several classical algorithms, such as UCB and algorithms relying on regression oracles, are provably suboptimal.
A central tool for understanding first-order optimization algorithms is the Kurdyka-Lojasiewicz inequality. Standard approaches to such methods rely crucially on this inequality to leverage sufficient decrease conditions involving gradients or subgradients. However, the KL property fundamentally concerns not subgradients but rather "slope", a purely metric notion. By highlighting this view, and avoiding any use of subgradients, we present a simple and concise complexity analysis for first-order optimization algorithms on metric spaces. This subgradient-free perspective also frames a short and focused proof of the KL property for nonsmooth semi-algebraic functions.
In this paper, we propose a novel multi-symbol unitary constellation structure for non-coherent single-input multiple-output (SIMO) communications over block Rayleigh fading channels. To facilitate the design and the detection of large unitary constellations at reduced complexity, the proposed constellations are constructed as the Cartesian product of independent amplitude and phase-shift-keying (PSK) vectors, and hence, can be iteratively detected. The amplitude vector can be detected by exhaustive search, whose complexity is still sufficiently low in short packet transmissions. For detection of the PSK vector, we adopt a maximum-A-posteriori (MAP) criterion to improve the reliability of the sorted decision-feedback differential detection (sort-DFDD), which results in near-optimal error performance in the case of the same modulation order of the transmit PSK symbols at different time slots. This detector is called MAP-based-reliability-sort-DFDD (MAP-R-sort-DFDD) and has polynomial complexity. For the case of different modulation orders at different time slots, we observe that undetected symbols with lower modulation orders have a significant impact on the detection of PSK symbols with higher modulation orders. We exploit this observation and propose an improved detector called improved-MAP-R-sort-DFDD, which approaches the optimal error performance with polynomial time complexity. Simulation results show the merits of our proposed multi-symbol unitary constellation when compared to competing low-complexity unitary constellations.
Accurately estimating the probability of failure for safety-critical systems is important for certification. Estimation is often challenging due to high-dimensional input spaces, dangerous test scenarios, and computationally expensive simulators; thus, efficient estimation techniques are important to study. This work reframes the problem of black-box safety validation as a Bayesian optimization problem and introduces an algorithm, Bayesian safety validation, that iteratively fits a probabilistic surrogate model to efficiently predict failures. The algorithm is designed to search for failures, compute the most-likely failure, and estimate the failure probability over an operating domain using importance sampling. We introduce a set of three acquisition functions that focus on reducing uncertainty by covering the design space, optimizing the analytically derived failure boundaries, and sampling the predicted failure regions. Mainly concerned with systems that only output a binary indication of failure, we show that our method also works well in cases where more output information is available. Results show that Bayesian safety validation achieves a better estimate of the probability of failure using orders of magnitude fewer samples and performs well across various safety validation metrics. We demonstrate the algorithm on three test problems with access to ground truth and on a real-world safety-critical subsystem common in autonomous flight: a neural network-based runway detection system. This work is open sourced and currently being used to supplement the FAA certification process of the machine learning components for an autonomous cargo aircraft.
Score-based generative modeling (SGM) is a highly successful approach for learning a probability distribution from data and generating further samples. We prove the first polynomial convergence guarantees for the core mechanic behind SGM: drawing samples from a probability density $p$ given a score estimate (an estimate of $\nabla \ln p$) that is accurate in $L^2(p)$. Compared to previous works, we do not incur error that grows exponentially in time or that suffers from a curse of dimensionality. Our guarantee works for any smooth distribution and depends polynomially on its log-Sobolev constant. Using our guarantee, we give a theoretical analysis of score-based generative modeling, which transforms white-noise input into samples from a learned data distribution given score estimates at different noise scales. Our analysis gives theoretical grounding to the observation that an annealed procedure is required in practice to generate good samples, as our proof depends essentially on using annealing to obtain a warm start at each step. Moreover, we show that a predictor-corrector algorithm gives better convergence than using either portion alone.
This work puts forth low-complexity Riemannian subspace descent algorithms for the minimization of functions over the symmetric positive definite (SPD) manifold. Different from the existing Riemannian gradient descent variants, the proposed approach utilizes carefully chosen subspaces that allow the update to be written as a product of the Cholesky factor of the iterate and a sparse matrix. The resulting updates avoid the costly matrix operations like matrix exponentiation and dense matrix multiplication, which are generally required in almost all other Riemannian optimization algorithms on SPD manifold. We further identify a broad class of functions, arising in diverse applications, such as kernel matrix learning, covariance estimation of Gaussian distributions, maximum likelihood parameter estimation of elliptically contoured distributions, and parameter estimation in Gaussian mixture model problems, over which the Riemannian gradients can be calculated efficiently. The proposed uni-directional and multi-directional Riemannian subspace descent variants incur per-iteration complexities of $\mathcal{O}(n)$ and $\mathcal{O}(n^2)$ respectively, as compared to the $\mathcal{O}(n^3)$ or higher complexity incurred by all existing Riemannian gradient descent variants. The superior runtime and low per-iteration complexity of the proposed algorithms is also demonstrated via numerical tests on large-scale covariance estimation problems.
A framework consists of an undirected graph $G$ and a matroid $M$ whose elements correspond to the vertices of $G$. Recently, Fomin et al. [SODA 2023] and Eiben et al. [ArXiV 2023] developed parameterized algorithms for computing paths of rank $k$ in frameworks. More precisely, for vertices $s$ and $t$ of $G$, and an integer $k$, they gave FPT algorithms parameterized by $k$ deciding whether there is an $(s,t)$-path in $G$ whose vertex set contains a subset of elements of $M$ of rank $k$. These algorithms are based on Schwartz-Zippel lemma for polynomial identity testing and thus are randomized, and therefore the existence of a deterministic FPT algorithm for this problem remains open. We present the first deterministic FPT algorithm that solves the problem in frameworks whose underlying graph $G$ is planar. While the running time of our algorithm is worse than the running times of the recent randomized algorithms, our algorithm works on more general classes of matroids. In particular, this is the first FPT algorithm for the case when matroid $M$ is represented over rationals. Our main technical contribution is the nontrivial adaptation of the classic irrelevant vertex technique to frameworks to reduce the given instance to one of bounded treewidth. This allows us to employ the toolbox of representative sets to design a dynamic programming procedure solving the problem efficiently on instances of bounded treewidth.
The paper introduces a novel non-parametric Riemannian regression method using Isometric Riemannian Manifolds (IRMs). The proposed technique, Intrinsic Local Polynomial Regression on IRMs (ILPR-IRMs), enables global data mapping between Riemannian manifolds while preserving underlying geometries. The ILPR method is generalized to handle multivariate covariates on any Riemannian manifold and isometry. Specifically, for manifolds equipped with Euclidean Pullback Metrics (EPMs), a closed analytical formula is derived for the multivariate ILPR (ILPR-EPM). Asymptotic statistical properties of the ILPR-EPM for the multivariate local linear case are established, including a formula for the asymptotic bias, establishing estimator consistency. The paper showcases possible applications of the method by focusing on a group of Riemannian metrics on the Symmetric Positive Definite (SPD) manifold, which arises in machine learning and neuroscience. It is demonstrated that several metrics on the SPD manifold are EPMs, resulting in a closed analytical expression for the multivariate ILPR estimator on the SPD manifold. The paper evaluates the ILPR estimator's performance under two specific EPMs, Log-Cholesky and Log-Euclidean, on simulated data on the SPD manifold and compares it with extrinsic LPR using the Affine-Invariant when scaling the manifold and covariate dimension. The results show that the ILPR using the Log-Cholesky metric is computationally faster and provides a better trade-off between error and time than other metrics. Finally, the Log-Cholesky metric on the SPD manifold is employed to implement an efficient and intrinsic version of Rie-SNE for visualizing high-dimensional SPD data. The code for implementing ILPR-EPMs and other relevant calculations is available on the GitHub page.
Graph neural networks are often used to model interacting dynamical systems since they gracefully scale to systems with a varying and high number of agents. While there has been much progress made for deterministic interacting systems, modeling is much more challenging for stochastic systems in which one is interested in obtaining a predictive distribution over future trajectories. Existing methods are either computationally slow since they rely on Monte Carlo sampling or make simplifying assumptions such that the predictive distribution is unimodal. In this work, we present a deep state-space model which employs graph neural networks in order to model the underlying interacting dynamical system. The predictive distribution is multimodal and has the form of a Gaussian mixture model, where the moments of the Gaussian components can be computed via deterministic moment matching rules. Our moment matching scheme can be exploited for sample-free inference, leading to more efficient and stable training compared to Monte Carlo alternatives. Furthermore, we propose structured approximations to the covariance matrices of the Gaussian components in order to scale up to systems with many agents. We benchmark our novel framework on two challenging autonomous driving datasets. Both confirm the benefits of our method compared to state-of-the-art methods. We further demonstrate the usefulness of our individual contributions in a carefully designed ablation study and provide a detailed runtime analysis of our proposed covariance approximations. Finally, we empirically demonstrate the generalization ability of our method by evaluating its performance on unseen scenarios.
Since deep neural networks were developed, they have made huge contributions to everyday lives. Machine learning provides more rational advice than humans are capable of in almost every aspect of daily life. However, despite this achievement, the design and training of neural networks are still challenging and unpredictable procedures. To lower the technical thresholds for common users, automated hyper-parameter optimization (HPO) has become a popular topic in both academic and industrial areas. This paper provides a review of the most essential topics on HPO. The first section introduces the key hyper-parameters related to model training and structure, and discusses their importance and methods to define the value range. Then, the research focuses on major optimization algorithms and their applicability, covering their efficiency and accuracy especially for deep learning networks. This study next reviews major services and toolkits for HPO, comparing their support for state-of-the-art searching algorithms, feasibility with major deep learning frameworks, and extensibility for new modules designed by users. The paper concludes with problems that exist when HPO is applied to deep learning, a comparison between optimization algorithms, and prominent approaches for model evaluation with limited computational resources.
When and why can a neural network be successfully trained? This article provides an overview of optimization algorithms and theory for training neural networks. First, we discuss the issue of gradient explosion/vanishing and the more general issue of undesirable spectrum, and then discuss practical solutions including careful initialization and normalization methods. Second, we review generic optimization methods used in training neural networks, such as SGD, adaptive gradient methods and distributed methods, and theoretical results for these algorithms. Third, we review existing research on the global issues of neural network training, including results on bad local minima, mode connectivity, lottery ticket hypothesis and infinite-width analysis.