We consider the one-bit quantizer that minimizes the mean squared error for a source living in a real Hilbert space. The optimal quantizer is a projection followed by a thresholding operation, and we provide methods for identifying the optimal direction along which to project. As an application of our methods, we characterize the optimal one-bit quantizer for a continuous-time random process that exhibits low-dimensional structure. We numerically show that this optimal quantizer is found by a neural-network-based compressor trained via stochastic gradient descent.
Current network control plane verification tools cannot scale to large networks, because of the complexity of jointly reasoning about the behaviors of all nodes in the network. In this paper we present a modular approach to control plane verification, whereby end-to-end network properties are verified via a set of purely local checks on individual nodes and edges. The approach targets the verification of safety properties for BGP configurations and provides guarantees in the face of both arbitrary external route announcements from neighbors and arbitrary node/link failures. We have proven the approach correct and also implemented it in a tool called Lightyear. Experimental results show that Lightyear scales dramatically better than prior control plane verifiers. Further, we have used Lightyear to verify three properties of the wide area network of a major cloud provider, containing hundreds of routers and tens of thousands of edges. To our knowledge no prior tool has been demonstrated to provide such guarantees at that scale. Finally, in addition to the scaling benefits, our modular approach to verification makes it easy to localize the causes of configuration errors and to support incremental re-verification as configurations are updated
This paper investigates a new downlink nonorthogonal multiple access (NOMA) system, where a multiantenna unmanned aerial vehicle (UAV) is powered by wireless power transfer (WPT) and serves as the base station for multiple pairs of ground users (GUs) running NOMA in each pair. An energy efficiency (EE) maximization problem is formulated to jointly optimize the WPT time and the placement for the UAV, and the allocation of the UAV's transmit power between different NOMA user pairs and within each pair. To efficiently solve this nonconvex problem, we decompose the problem into three subproblems using block coordinate descent. For the subproblem of intra-pair power allocation within each NOMA user pair, we construct a supermodular game with confirmed convergence to a Nash equilibrium. Given the intra-pair power allocation, successive convex approximation is applied to convexify and solve the subproblem of WPT time allocation and inter-pair power allocation between the user pairs. Finally, we solve the subproblem of UAV placement by using the Lagrange multiplier method. Simulations show that our approach can substantially outperform its alternatives that do not use NOMA and WPT techniques or that do not optimize the UAV location.
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018)} to solve a number of partial differential equations (PDEs) that arise in the context of optimal stochastic control and mean field games. First, we consider PDEs where the function is constrained to be positive and integrate to unity, as is the case with Fokker-Planck equations. Our approach involves reparameterizing the solution as the exponential of a neural network appropriately normalized to ensure both requirements are satisfied. This then gives rise to nonlinear a partial integro-differential equation (PIDE) where the integral appearing in the equation is handled by a novel application of importance sampling. Secondly, we tackle a number of Hamilton-Jacobi-Bellman (HJB) equations that appear in stochastic optimal control problems. The key contribution is that these equations are approached in their unsimplified primal form which includes an optimization problem as part of the equation. We extend the DGM algorithm to solve for the value function and the optimal control \simultaneously by characterizing both as deep neural networks. Training the networks is performed by taking alternating stochastic gradient descent steps for the two functions, a technique inspired by the policy improvement algorithms (PIA).
We investigate optimal execution problems with instantaneous price impact and stochastic resilience. First, in the setting of linear price impact function we derive a closed-form recursion for the optimal strategy, generalizing previous results with deterministic transient price impact. Second, we develop a numerical algorithm for the case of nonlinear price impact. We utilize an actor-critic framework that constructs two neural-network surrogates for the value function and the feedback control. One advantage of such functional approximators is the ability to do parametric learning, i.e. to incorporate some of the model parameters as part of the input space. Precise calibration of price impact, resilience, etc., is known to be extremely challenging and hence it is critical to understand sensitivity of the strategy to these parameters. Our parametric neural network (NN) learner organically scales across 3-6 input dimensions and is shown to accurately approximate optimal strategy across a range of parameter configurations. We provide a fully reproducible Jupyter Notebook with our NN implementation, which is of independent pedagogical interest, demonstrating the ease of use of NN surrogates in (parametric) stochastic control problems.
The naive importance sampling (IS) estimator generally does not work well in examples involving simultaneous inference on several targets, as the importance weights can take arbitrarily large values, making the estimator highly unstable. In such situations, alternative multiple IS estimators involving samples from multiple proposal distributions are preferred. Just like the naive IS, the success of these multiple IS estimators crucially depends on the choice of the proposal distributions. The selection of these proposal distributions is the focus of this article. We propose three methods: (i) a geometric space filling approach, (ii) a minimax variance approach, and (iii) a maximum entropy approach. The first two methods are applicable to any IS estimator, whereas the third approach is described in the context of Doss's (2010) two-stage IS estimator. For the first method, we propose a suitable measure of 'closeness' based on the symmetric Kullback-Leibler divergence, while the second and third approaches use estimates of asymptotic variances of Doss's (2010) IS estimator and Geyer's (1994) reverse logistic regression estimator, respectively. Thus, when samples from the proposal distributions are obtained by running Markov chains, we provide consistent spectral variance estimators for these asymptotic variances. The proposed methods for selecting proposal densities are illustrated using various detailed examples.
We investigate the feature compression of high-dimensional ridge regression using the optimal subsampling technique. Specifically, based on the basic framework of random sampling algorithm on feature for ridge regression and the A-optimal design criterion, we first obtain a set of optimal subsampling probabilities. Considering that the obtained probabilities are uneconomical, we then propose the nearly optimal ones. With these probabilities, a two step iterative algorithm is established which has lower computational cost and higher accuracy. We provide theoretical analysis and numerical experiments to support the proposed methods. Numerical results demonstrate the decent performance of our methods.
We study the decentralized consensus and stochastic optimization problems with compressed communications over static directed graphs. We propose an iterative gradient-based algorithm that compresses messages according to a desired compression ratio. The proposed method provably reduces the communication overhead on the network at every communication round. Contrary to existing literature, we allow for arbitrary compression ratios in the communicated messages. We show a linear convergence rate for the proposed method on the consensus problem. Moreover, we provide explicit convergence rates for decentralized stochastic optimization problems on smooth functions that are either (i) strongly convex, (ii) convex, or (iii) non-convex. Finally, we provide numerical experiments to illustrate convergence under arbitrary compression ratios and the communication efficiency of our algorithm.
We consider networks of small, autonomous devices that communicate with each other wirelessly. Minimizing energy usage is an important consideration in designing algorithms for such networks, as battery life is a crucial and limited resource. Working in a model where both sending and listening for messages deplete energy, we consider the problem of finding a maximal matching of the nodes in a radio network of arbitrary and unknown topology. We present a distributed randomized algorithm that produces, with high probability, a maximal matching. The maximum energy cost per node is $O(\log^2 n)$, where $n$ is the size of the network. The total latency of our algorithm is $O(n \log n)$ time steps. We observe that there exist families of network topologies for which both of these bounds are simultaneously optimal up to polylog factors, so any significant improvement will require additional assumptions about the network topology. We also consider the related problem of assigning, for each node in the network, a neighbor to back up its data in case of node failure. Here, a key goal is to minimize the maximum load, defined as the number of nodes assigned to a single node. We present a decentralized low-energy algorithm that finds a neighbor assignment whose maximum load is at most a polylog($n$) factor bigger that the optimum.
Tensor PCA is a stylized statistical inference problem introduced by Montanari and Richard to study the computational difficulty of estimating an unknown parameter from higher-order moment tensors. Unlike its matrix counterpart, Tensor PCA exhibits a statistical-computational gap, i.e., a sample size regime where the problem is information-theoretically solvable but conjectured to be computationally hard. This paper derives computational lower bounds on the run-time of memory bounded algorithms for Tensor PCA using communication complexity. These lower bounds specify a trade-off among the number of passes through the data sample, the sample size, and the memory required by any algorithm that successfully solves Tensor PCA. While the lower bounds do not rule out polynomial-time algorithms, they do imply that many commonly-used algorithms, such as gradient descent and power method, must have a higher iteration count when the sample size is not large enough. Similar lower bounds are obtained for Non-Gaussian Component Analysis, a family of statistical estimation problems in which low-order moment tensors carry no information about the unknown parameter. Finally, stronger lower bounds are obtained for an asymmetric variant of Tensor PCA and related statistical estimation problems. These results explain why many estimators for these problems use a memory state that is significantly larger than the effective dimensionality of the parameter of interest.
Autoscaling is a critical component for efficient resource utilization with satisfactory quality of service (QoS) in cloud computing. This paper investigates proactive autoscaling for widely-used scaling-per-query applications where scaling is required for each query, such as container registry and function-as-a-service (FaaS). In these scenarios, the workload often exhibits high uncertainty with complex temporal patterns like periodicity, noises and outliers. Conservative strategies that scale out unnecessarily many instances lead to high resource costs whereas aggressive strategies may result in poor QoS. We present RobustScaler to achieve superior trade-off between cost and QoS. Specifically, we design a novel autoscaling framework based on non-homogeneous Poisson processes (NHPP) modeling and stochastically constrained optimization. Furthermore, we develop a specialized alternating direction method of multipliers (ADMM) to efficiently train the NHPP model, and rigorously prove the QoS guarantees delivered by our optimization-based proactive strategies. Extensive experiments show that RobustScaler outperforms common baseline autoscaling strategies in various real-world traces, with large margins for complex workload patterns.