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In this paper, we consider the distributed optimization problem where $n$ agents, each possessing a local cost function, collaboratively minimize the average of the local cost functions over a connected network. To solve the problem, we propose a distributed random reshuffling (D-RR) algorithm that combines the classical distributed gradient descent (DGD) method and Random Reshuffling (RR). We show that D-RR inherits the superiority of RR for both smooth strongly convex and smooth nonconvex objective functions. In particular, for smooth strongly convex objective functions, D-RR achieves $\mathcal{O}(1/T^2)$ rate of convergence (here, $T$ counts the total number of iterations) in terms of the squared distance between the iterate and the unique minimizer. When the objective function is assumed to be smooth nonconvex and has Lipschitz continuous component functions, we show that D-RR drives the squared norm of gradient to $0$ at a rate of $\mathcal{O}(1/T^{2/3})$. These convergence results match those of centralized RR (up to constant factors).

This paper studies generalization properties of random features (RF) regression in high dimensions optimized by stochastic gradient descent (SGD). In this regime, we derive precise non-asymptotic error bounds of RF regression under both constant and adaptive step-size SGD setting, and observe the double descent phenomenon both theoretically and empirically. Our analysis shows how to cope with multiple randomness sources of initialization, label noise, and data sampling (as well as stochastic gradients) with no closed-form solution, and also goes beyond the commonly-used Gaussian/spherical data assumption. Our theoretical results demonstrate that, with SGD training, RF regression still generalizes well for interpolation learning, and is able to characterize the double descent behavior by the unimodality of variance and monotonic decrease of bias. Besides, we also prove that the constant step-size SGD setting incurs no loss in convergence rate when compared to the exact minimal-norm interpolator, as a theoretical justification of using SGD in practice.

Sparse PCA is the optimization problem obtained from PCA by adding a sparsity constraint on the principal components. Sparse PCA is NP-hard and hard to approximate even in the single-component case. In this paper we settle the computational complexity of sparse PCA with respect to the rank of the covariance matrix. We show that, if the rank of the covariance matrix is a fixed value, then there is an algorithm that solves sparse PCA to global optimality, whose running time is polynomial in the number of features. We also prove a similar result for the version of sparse PCA which requires the principal components to have disjoint supports.

We study the transfer learning process between two linear regression problems. An important and timely special case is when the regressors are overparameterized and perfectly interpolate their training data. We examine a parameter transfer mechanism whereby a subset of the parameters of the target task solution are constrained to the values learned for a related source task. We analytically characterize the generalization error of the target task in terms of the salient factors in the transfer learning architecture, i.e., the number of examples available, the number of (free) parameters in each of the tasks, the number of parameters transferred from the source to target task, and the relation between the two tasks. Our non-asymptotic analysis shows that the generalization error of the target task follows a two-dimensional double descent trend (with respect to the number of free parameters in each of the tasks) that is controlled by the transfer learning factors. Our analysis points to specific cases where the transfer of parameters is beneficial as a substitute for extra overparameterization (i.e., additional free parameters in the target task). Specifically, we show that the usefulness of a transfer learning setting is fragile and depends on a delicate interplay among the set of transferred parameters, the relation between the tasks, and the true solution. We also demonstrate that overparameterized transfer learning is not necessarily more beneficial when the source task is closer or identical to the target task.

This paper presents local minimax regret lower bounds for adaptively controlling linear-quadratic-Gaussian (LQG) systems. We consider smoothly parametrized instances and provide an understanding of when logarithmic regret is impossible which is both instance specific and flexible enough to take problem structure into account. This understanding relies on two key notions: That of local-uninformativeness; when the optimal policy does not provide sufficient excitation for identification of the optimal policy, and yields a degenerate Fisher information matrix; and that of information-regret-boundedness, when the small eigenvalues of a policy-dependent information matrix are boundable in terms of the regret of that policy. Combined with a reduction to Bayesian estimation and application of Van Trees' inequality, these two conditions are sufficient for proving regret bounds on order of magnitude $\sqrt{T}$ in the time horizon, $T$. This method yields lower bounds that exhibit tight dimensional dependencies and scale naturally with control-theoretic problem constants. For instance, we are able to prove that systems operating near marginal stability are fundamentally hard to learn to control. We further show that large classes of systems satisfy these conditions, among them any state-feedback system with both $A$- and $B$-matrices unknown. Most importantly, we also establish that a nontrivial class of partially observable systems, essentially those that are over-actuated, satisfy these conditions, thus providing a $\sqrt{T}$ lower bound also valid for partially observable systems. Finally, we turn to two simple examples which demonstrate that our lower bound captures classical control-theoretic intuition: our lower bounds diverge for systems operating near marginal stability or with large filter gain -- these can be arbitrarily hard to (learn to) control.

We consider interpolation learning in high-dimensional linear regression with Gaussian data, and prove a generic uniform convergence guarantee on the generalization error of interpolators in an arbitrary hypothesis class in terms of the class's Gaussian width. Applying the generic bound to Euclidean norm balls recovers the consistency result of Bartlett et al. (2020) for minimum-norm interpolators, and confirms a prediction of Zhou et al. (2020) for near-minimal-norm interpolators in the special case of Gaussian data. We demonstrate the generality of the bound by applying it to the simplex, obtaining a novel consistency result for minimum l1-norm interpolators (basis pursuit). Our results show how norm-based generalization bounds can explain and be used to analyze benign overfitting, at least in some settings.

In this paper, we show that the diagonal of a high-dimensional sample covariance matrix stemming from $n$ independent observations of a $p$-dimensional time series with finite fourth moments can be approximated in spectral norm by the diagonal of the population covariance matrix. We assume that $n,p\to \infty$ with $p/n$ tending to a constant which might be positive or zero. As applications, we provide an approximation of the sample correlation matrix ${\mathbf R}$ and derive a variety of results for its eigenvalues. We identify the limiting spectral distribution of ${\mathbf R}$ and construct an estimator for the population correlation matrix and its eigenvalues. Finally, the almost sure limits of the extreme eigenvalues of ${\mathbf R}$ in a generalized spiked correlation model are analyzed.

Escaping saddle points is a central research topic in nonconvex optimization. In this paper, we propose a simple gradient-based algorithm such that for a smooth function $f\colon\mathbb{R}^n\to\mathbb{R}$, it outputs an $\epsilon$-approximate second-order stationary point in $\tilde{O}(\log n/\epsilon^{1.75})$ iterations. Compared to the previous state-of-the-art algorithms by Jin et al. with $\tilde{O}((\log n)^{4}/\epsilon^{2})$ or $\tilde{O}((\log n)^{6}/\epsilon^{1.75})$ iterations, our algorithm is polynomially better in terms of $\log n$ and matches their complexities in terms of $1/\epsilon$. For the stochastic setting, our algorithm outputs an $\epsilon$-approximate second-order stationary point in $\tilde{O}((\log n)^{2}/\epsilon^{4})$ iterations. Technically, our main contribution is an idea of implementing a robust Hessian power method using only gradients, which can find negative curvature near saddle points and achieve the polynomial speedup in $\log n$ compared to the perturbed gradient descent methods. Finally, we also perform numerical experiments that support our results.

We show that for the problem of testing if a matrix $A \in F^{n \times n}$ has rank at most $d$, or requires changing an $\epsilon$-fraction of entries to have rank at most $d$, there is a non-adaptive query algorithm making $\widetilde{O}(d^2/\epsilon)$ queries. Our algorithm works for any field $F$. This improves upon the previous $O(d^2/\epsilon^2)$ bound (SODA'03), and bypasses an $\Omega(d^2/\epsilon^2)$ lower bound of (KDD'14) which holds if the algorithm is required to read a submatrix. Our algorithm is the first such algorithm which does not read a submatrix, and instead reads a carefully selected non-adaptive pattern of entries in rows and columns of $A$. We complement our algorithm with a matching query complexity lower bound for non-adaptive testers over any field. We also give tight bounds of $\widetilde{\Theta}(d^2)$ queries in the sensing model for which query access comes in the form of $\langle X_i, A\rangle:=tr(X_i^\top A)$; perhaps surprisingly these bounds do not depend on $\epsilon$. We next develop a novel property testing framework for testing numerical properties of a real-valued matrix $A$ more generally, which includes the stable rank, Schatten-$p$ norms, and SVD entropy. Specifically, we propose a bounded entry model, where $A$ is required to have entries bounded by $1$ in absolute value. We give upper and lower bounds for a wide range of problems in this model, and discuss connections to the sensing model above.

In this work, we consider the distributed optimization of non-smooth convex functions using a network of computing units. We investigate this problem under two regularity assumptions: (1) the Lipschitz continuity of the global objective function, and (2) the Lipschitz continuity of local individual functions. Under the local regularity assumption, we provide the first optimal first-order decentralized algorithm called multi-step primal-dual (MSPD) and its corresponding optimal convergence rate. A notable aspect of this result is that, for non-smooth functions, while the dominant term of the error is in $O(1/\sqrt{t})$, the structure of the communication network only impacts a second-order term in $O(1/t)$, where $t$ is time. In other words, the error due to limits in communication resources decreases at a fast rate even in the case of non-strongly-convex objective functions. Under the global regularity assumption, we provide a simple yet efficient algorithm called distributed randomized smoothing (DRS) based on a local smoothing of the objective function, and show that DRS is within a $d^{1/4}$ multiplicative factor of the optimal convergence rate, where $d$ is the underlying dimension.