In this work, we consider the linear inverse problem $y=Ax+\epsilon$, where $A\colon X\to Y$ is a known linear operator between the separable Hilbert spaces $X$ and $Y$, $x$ is a random variable in $X$ and $\epsilon$ is a zero-mean random process in $Y$. This setting covers several inverse problems in imaging including denoising, deblurring, and X-ray tomography. Within the classical framework of regularization, we focus on the case where the regularization functional is not given a priori but learned from data. Our first result is a characterization of the optimal generalized Tikhonov regularizer, with respect to the mean squared error. We find that it is completely independent of the forward operator $A$ and depends only on the mean and covariance of $x$. Then, we consider the problem of learning the regularizer from a finite training set in two different frameworks: one supervised, based on samples of both $x$ and $y$, and one unsupervised, based only on samples of $x$. In both cases, we prove generalization bounds, under some weak assumptions on the distribution of $x$ and $\epsilon$, including the case of sub-Gaussian variables. Our bounds hold in infinite-dimensional spaces, thereby showing that finer and finer discretizations do not make this learning problem harder. The results are validated through numerical simulations.
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The Bayesian solution to a statistical inverse problem can be summarised by a mode of the posterior distribution, i.e. a MAP estimator. The MAP estimator essentially coincides with the (regularised) variational solution to the inverse problem, seen as minimisation of the Onsager-Machlup functional of the posterior measure. An open problem in the stability analysis of inverse problems is to establish a relationship between the convergence properties of solutions obtained by the variational approach and by the Bayesian approach. To address this problem, we propose a general convergence theory for modes that is based on the $\Gamma$-convergence of Onsager-Machlup functionals, and apply this theory to Bayesian inverse problems with Gaussian and edge-preserving Besov priors. Part II of this paper considers more general prior distributions.
We introduce a simple, rigorous, and unified framework for solving nonlinear partial differential equations (PDEs), and for solving inverse problems (IPs) involving the identification of parameters in PDEs, using the framework of Gaussian processes. The proposed approach: (1) provides a natural generalization of collocation kernel methods to nonlinear PDEs and IPs; (2) has guaranteed convergence for a very general class of PDEs, and comes equipped with a path to compute error bounds for specific PDE approximations; (3) inherits the state-of-the-art computational complexity of linear solvers for dense kernel matrices. The main idea of our method is to approximate the solution of a given PDE as the maximum a posteriori (MAP) estimator of a Gaussian process conditioned on solving the PDE at a finite number of collocation points. Although this optimization problem is infinite-dimensional, it can be reduced to a finite-dimensional one by introducing additional variables corresponding to the values of the derivatives of the solution at collocation points; this generalizes the representer theorem arising in Gaussian process regression. The reduced optimization problem has the form of a quadratic objective function subject to nonlinear constraints; it is solved with a variant of the Gauss--Newton method. The resulting algorithm (a) can be interpreted as solving successive linearizations of the nonlinear PDE, and (b) in practice is found to converge in a small number of iterations (2 to 10), for a wide range of PDEs. Most traditional approaches to IPs interleave parameter updates with numerical solution of the PDE; our algorithm solves for both parameter and PDE solution simultaneously. Experiments on nonlinear elliptic PDEs, Burgers' equation, a regularized Eikonal equation, and an IP for permeability identification in Darcy flow illustrate the efficacy and scope of our framework.
Cardinality estimation is a fundamental but long unresolved problem in query optimization. Recently, multiple papers from different research groups consistently report that learned models have the potential to replace existing cardinality estimators. In this paper, we ask a forward-thinking question: Are we ready to deploy these learned cardinality models in production? Our study consists of three main parts. Firstly, we focus on the static environment (i.e., no data updates) and compare five new learned methods with eight traditional methods on four real-world datasets under a unified workload setting. The results show that learned models are indeed more accurate than traditional methods, but they often suffer from high training and inference costs. Secondly, we explore whether these learned models are ready for dynamic environments (i.e., frequent data updates). We find that they cannot catch up with fast data up-dates and return large errors for different reasons. For less frequent updates, they can perform better but there is no clear winner among themselves. Thirdly, we take a deeper look into learned models and explore when they may go wrong. Our results show that the performance of learned methods can be greatly affected by the changes in correlation, skewness, or domain size. More importantly, their behaviors are much harder to interpret and often unpredictable. Based on these findings, we identify two promising research directions (control the cost of learned models and make learned models trustworthy) and suggest a number of research opportunities. We hope that our study can guide researchers and practitioners to work together to eventually push learned cardinality estimators into real database systems.
The Bayesian solution to a statistical inverse problem can be summarised by a mode of the posterior distribution, i.e. a MAP estimator. The MAP estimator essentially coincides with the (regularised) variational solution to the inverse problem, seen as minimisation of the Onsager--Machlup functional of the posterior measure. An open problem in the stability analysis of inverse problems is to establish a relationship between the convergence properties of solutions obtained by the variational approach and by the Bayesian approach. To address this problem, we propose a general convergence theory for modes that is based on the $\Gamma$-convergence of Onsager--Machlup functionals, and apply this theory to Bayesian inverse problems with Gaussian and edge-preserving Besov priors. Part II of this paper considers more general prior distributions.
Stochastic variance reduced gradient (SVRG) is a popular variance reduction technique for stochastic gradient descent (SGD). We provide a first analysis of the method for solving a class of linear inverse problems in the lens of the classical regularization theory. We prove that for a suitable constant step size schedule, the method can achieve an optimal convergence rate in terms of the noise level (under suitable regularity condition) and the variance of the SVRG iterate error is smaller than that by SGD. These theoretical findings are corroborated by a set of numerical experiments.
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to the number of underlying assets. High-dimensional optimal stopping problems are, however, notoriously difficult to solve due to the well-known curse of dimensionality. In this work, we propose an algorithm for solving such problems, which is based on deep learning and computes, in the context of early exercise option pricing, both approximations of an optimal exercise strategy and the price of the considered option. The proposed algorithm can also be applied to optimal stopping problems that arise in other areas where the underlying stochastic process can be efficiently simulated. We present numerical results for a large number of example problems, which include the pricing of many high-dimensional American and Bermudan options, such as Bermudan max-call options in up to 5000 dimensions. Most of the obtained results are compared to reference values computed by exploiting the specific problem design or, where available, to reference values from the literature. These numerical results suggest that the proposed algorithm is highly effective in the case of many underlyings, in terms of both accuracy and speed.
In this paper, an important discovery has been found for nonconforming immersed finite element (IFE) methods using integral-value degrees of freedom for solving elliptic interface problems. We show that those IFE methods can only achieve suboptimal convergence rates (i.e., $O(h^{1/2})$ in the $H^1$ norm and $O(h)$ in the $L^2$ norm) if the tangential derivative of the exact solution and the jump of the coefficient are not zero on the interface. A nontrivial counter example is also provided to support our theoretical analysis. To recover the optimal convergence rates, we develop a new nonconforming IFE method with additional terms locally on interface edges. The unisolvence of IFE basis functions is proved on arbitrary triangles. Furthermore, we derive the optimal approximation capabilities of both the Crouzeix-Raviart and the rotated-$Q_1$ IFE spaces for interface problems with variable coefficients via a unified approach different from multipoint Taylor expansions. Finally, optimal error estimates in both $H^1$- and $L^2$- norms are proved and confirmed with numerical experiments.
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects and hence the estimation error can be magnificent. As such, we propose another approach to construct the estimators such that the error can be greatly reduced. The proposed estimators are shown to be unbiased, consistent, and robust through a combination of theoretical analysis and numerical testing. Moreover, we compare the power of estimating the causal quantities between the classical estimators and the proposed estimators. The comparison is tested across a wide range of models, including linear regression models, tree-based models, and neural network-based models, under different simulated datasets that exhibit different levels of causality, different degrees of nonlinearity, and different distributional properties. Most importantly, we apply our approaches to a large observational dataset provided by a global technology firm that operates in both the e-commerce and the lending business. We find that the relative reduction of estimation error is strikingly substantial if the causal effects are accounted for correctly.
Hierarchical abstractions are a methodology for solving large-scale graph problems in various disciplines. Coarsening is one such approach: it generates a pyramid of graphs whereby the one in the next level is a structural summary of the prior one. With a long history in scientific computing, many coarsening strategies were developed based on mathematically driven heuristics. Recently, resurgent interests exist in deep learning to design hierarchical methods learnable through differentiable parameterization. These approaches are paired with downstream tasks for supervised learning. In practice, however, supervised signals (e.g., labels) are scarce and are often laborious to obtain. In this work, we propose an unsupervised approach, coined OTCoarsening, with the use of optimal transport. Both the coarsening matrix and the transport cost matrix are parameterized, so that an optimal coarsening strategy can be learned and tailored for a given set of graphs. We demonstrate that the proposed approach produces meaningful coarse graphs and yields competitive performance compared with supervised methods for graph classification and regression.
The use of orthogonal projections on high-dimensional input and target data in learning frameworks is studied. First, we investigate the relations between two standard objectives in dimension reduction, maximizing variance and preservation of pairwise relative distances. The derivation of their asymptotic correlation and numerical experiments tell that a projection usually cannot satisfy both objectives. In a standard classification problem we determine projections on the input data that balance them and compare subsequent results. Next, we extend our application of orthogonal projections to deep learning frameworks. We introduce new variational loss functions that enable integration of additional information via transformations and projections of the target data. In two supervised learning problems, clinical image segmentation and music information classification, the application of the proposed loss functions increase the accuracy.
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