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Although robust learning and local differential privacy are both widely studied fields of research, combining the two settings is just starting to be explored. We consider the problem of estimating a discrete distribution in total variation from $n$ contaminated data batches under a local differential privacy constraint. A fraction $1-\epsilon$ of the batches contain $k$ i.i.d. samples drawn from a discrete distribution $p$ over $d$ elements. To protect the users' privacy, each of the samples is privatized using an $\alpha$-locally differentially private mechanism. The remaining $\epsilon n $ batches are an adversarial contamination. The minimax rate of estimation under contamination alone, with no privacy, is known to be $\epsilon/\sqrt{k}+\sqrt{d/kn}$, up to a $\sqrt{\log(1/\epsilon)}$ factor. Under the privacy constraint alone, the minimax rate of estimation is $\sqrt{d^2/\alpha^2 kn}$. We show that combining the two constraints leads to a minimax estimation rate of $\epsilon\sqrt{d/\alpha^2 k}+\sqrt{d^2/\alpha^2 kn}$ up to a $\sqrt{\log(1/\epsilon)}$ factor, larger than the sum of the two separate rates. We provide a polynomial-time algorithm achieving this bound, as well as a matching information theoretic lower bound.

We introduce a family of pairwise stochastic gradient estimators for gradients of expectations, which are related to the log-derivative trick, but involve pairwise interactions between samples. The simplest example of our new estimator, dubbed the fundamental trick estimator, is shown to arise from either a) introducing and approximating an integral representation based on the fundamental theorem of calculus, or b) applying the reparameterisation trick to an implicit parameterisation under infinitesimal perturbation of the parameters. From the former perspective we generalise to a reproducing kernel Hilbert space representation, giving rise to a locality parameter in the pairwise interactions mentioned above, yielding our representer trick estimator. The resulting estimators are unbiased and shown to offer an independent component of useful information in comparison with the log-derivative estimator. We provide a further novel theoretical analysis which further characterises the variance reduction afforded by the new techniques. Promising analytical and numerical examples confirm the theory and intuitions behind the new estimators.

Numerical solution of heterogeneous Helmholtz problems presents various computational challenges, with descriptive theory remaining out of reach for many popular approaches. Robustness and scalability are key for practical and reliable solvers in large-scale applications, especially for large wave number problems. In this work we explore the use of a GenEO-type coarse space to build a two-level additive Schwarz method applicable to highly indefinite Helmholtz problems. Through a range of numerical tests on a 2D model problem, discretised by finite elements on pollution-free meshes, we observe robust convergence, iteration counts that do not increase with the wave number, and good scalability of our approach. We further provide results showing a favourable comparison with the DtN coarse space. Our numerical study shows promise that our solver methodology can be effective for challenging heterogeneous applications.

Covariance estimation for matrix-valued data has received an increasing interest in applications. Unlike previous works that rely heavily on matrix normal distribution assumption and the requirement of fixed matrix size, we propose a class of distribution-free regularized covariance estimation methods for high-dimensional matrix data under a separability condition and a bandable covariance structure. Under these conditions, the original covariance matrix is decomposed into a Kronecker product of two bandable small covariance matrices representing the variability over row and column directions. We formulate a unified framework for estimating bandable covariance, and introduce an efficient algorithm based on rank one unconstrained Kronecker product approximation. The convergence rates of the proposed estimators are established, and the derived minimax lower bound shows our proposed estimator is rate-optimal under certain divergence regimes of matrix size. We further introduce a class of robust covariance estimators and provide theoretical guarantees to deal with heavy-tailed data. We demonstrate the superior finite-sample performance of our methods using simulations and real applications from a gridded temperature anomalies dataset and a S&P 500 stock data analysis.

Many recent state-of-the-art (SOTA) optical flow models use finite-step recurrent update operations to emulate traditional algorithms by encouraging iterative refinements toward a stable flow estimation. However, these RNNs impose large computation and memory overheads, and are not directly trained to model such stable estimation. They can converge poorly and thereby suffer from performance degradation. To combat these drawbacks, we propose deep equilibrium (DEQ) flow estimators, an approach that directly solves for the flow as the infinite-level fixed point of an implicit layer (using any black-box solver), and differentiates through this fixed point analytically (thus requiring $O(1)$ training memory). This implicit-depth approach is not predicated on any specific model, and thus can be applied to a wide range of SOTA flow estimation model designs. The use of these DEQ flow estimators allows us to compute the flow faster using, e.g., fixed-point reuse and inexact gradients, consumes $4\sim6\times$ times less training memory than the recurrent counterpart, and achieves better results with the same computation budget. In addition, we propose a novel, sparse fixed-point correction scheme to stabilize our DEQ flow estimators, which addresses a longstanding challenge for DEQ models in general. We test our approach in various realistic settings and show that it improves SOTA methods on Sintel and KITTI datasets with substantially better computational and memory efficiency.

In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted least squares with an exponential regression model for log-spacings of top order statistics. The asymptotic properties of the proposed estimators are investigated analytically and found to be asymptotically unbiased, consistent and normally distributed. Also, the finite sample behaviour of the estimators are studied through a simulations theory. The proposed estimators were found to yield low bias and MSE. In addition, the proposed estimators are illustrated through the estimation of the tail index of the underlying distribution of claims from the insurance industry.

We provide a decision theoretic analysis of bandit experiments. The setting corresponds to a dynamic programming problem, but solving this directly is typically infeasible. Working within the framework of diffusion asymptotics, we define suitable notions of asymptotic Bayes and minimax risk for bandit experiments. For normally distributed rewards, the minimal Bayes risk can be characterized as the solution to a nonlinear second-order partial differential equation (PDE). Using a limit of experiments approach, we show that this PDE characterization also holds asymptotically under both parametric and non-parametric distribution of the rewards. The approach further describes the state variables it is asymptotically sufficient to restrict attention to, and therefore suggests a practical strategy for dimension reduction. The upshot is that we can approximate the dynamic programming problem defining the bandit experiment with a PDE which can be efficiently solved using sparse matrix routines. We derive the optimal Bayes and minimax policies from the numerical solutions to these equations. The proposed policies substantially dominate existing methods such as Thompson sampling. The framework also allows for substantial generalizations to the bandit problem such as time discounting and pure exploration motives.

The stochastic gradient Langevin Dynamics is one of the most fundamental algorithms to solve sampling problems and non-convex optimization appearing in several machine learning applications. Especially, its variance reduced versions have nowadays gained particular attention. In this paper, we study two variants of this kind, namely, the Stochastic Variance Reduced Gradient Langevin Dynamics and the Stochastic Recursive Gradient Langevin Dynamics. We prove their convergence to the objective distribution in terms of KL-divergence under the sole assumptions of smoothness and Log-Sobolev inequality which are weaker conditions than those used in prior works for these algorithms. With the batch size and the inner loop length set to $\sqrt{n}$, the gradient complexity to achieve an $\epsilon$-precision is $\tilde{O}((n+dn^{1/2}\epsilon^{-1})\gamma^2 L^2\alpha^{-2})$, which is an improvement from any previous analyses. We also show some essential applications of our result to non-convex optimization.

Low-rank matrix estimation under heavy-tailed noise is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs, especially since robust loss functions are usually non-smooth. More recently, computationally fast non-convex approaches via sub-gradient descent are proposed, which, unfortunately, fail to deliver a statistically consistent estimator even under sub-Gaussian noise. In this paper, we introduce a novel Riemannian sub-gradient (RsGrad) algorithm which is not only computationally efficient with linear convergence but also is statistically optimal, be the noise Gaussian or heavy-tailed. Convergence theory is established for a general framework and specific applications to absolute loss, Huber loss, and quantile loss are investigated. Compared with existing non-convex methods, ours reveals a surprising phenomenon of dual-phase convergence. In phase one, RsGrad behaves as in a typical non-smooth optimization that requires gradually decaying stepsizes. However, phase one only delivers a statistically sub-optimal estimator which is already observed in the existing literature. Interestingly, during phase two, RsGrad converges linearly as if minimizing a smooth and strongly convex objective function and thus a constant stepsize suffices. Underlying the phase-two convergence is the smoothing effect of random noise to the non-smooth robust losses in an area close but not too close to the truth. Lastly, RsGrad is applicable for low-rank tensor estimation under heavy-tailed noise where a statistically optimal rate is attainable with the same phenomenon of dual-phase convergence, and a novel shrinkage-based second-order moment method is guaranteed to deliver a warm initialization. Numerical simulations confirm our theoretical discovery and showcase the superiority of RsGrad over prior methods.

One of the most important problems in system identification and statistics is how to estimate the unknown parameters of a given model. Optimization methods and specialized procedures, such as Empirical Minimization (EM) can be used in case the likelihood function can be computed. For situations where one can only simulate from a parametric model, but the likelihood is difficult or impossible to evaluate, a technique known as the Two-Stage (TS) Approach can be applied to obtain reliable parametric estimates. Unfortunately, there is currently a lack of theoretical justification for TS. In this paper, we propose a statistical decision-theoretical derivation of TS, which leads to Bayesian and Minimax estimators. We also show how to apply the TS approach on models for independent and identically distributed samples, by computing quantiles of the data as a first step, and using a linear function as the second stage. The proposed method is illustrated via numerical simulations.