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In stochastic zeroth-order optimization, a problem of practical relevance is understanding how to fully exploit the local geometry of the underlying objective function. We consider a fundamental setting in which the objective function is quadratic, and provide the first tight characterization of the optimal Hessian-dependent sample complexity. Our contribution is twofold. First, from an information-theoretic point of view, we prove tight lower bounds on Hessian-dependent complexities by introducing a concept called energy allocation, which captures the interaction between the searching algorithm and the geometry of objective functions. A matching upper bound is obtained by solving the optimal energy spectrum. Then, algorithmically, we show the existence of a Hessian-independent algorithm that universally achieves the asymptotic optimal sample complexities for all Hessian instances. The optimal sample complexities achieved by our algorithm remain valid for heavy-tailed noise distributions, which are enabled by a truncation method.

In this work, we propose a built-in Deep Learning Physics Optimization (DLPO) framework to set up a shape optimization study of the Duisburg Test Case (DTC) container vessel. We present two different applications: (1) sensitivity analysis to detect the most promising generic basis hull shapes, and (2) multi-objective optimization to quantify the trade-off between optimal hull forms. DLPO framework allows for the evaluation of design iterations automatically in an end-to-end manner. We achieved these results by coupling Extrality's Deep Learning Physics (DLP) model to a CAD engine and an optimizer. Our proposed DLP model is trained on full 3D volume data coming from RANS simulations, and it can provide accurate and high-quality 3D flow predictions in real-time, which makes it a good evaluator to perform optimization of new container vessel designs w.r.t the hydrodynamic efficiency. In particular, it is able to recover the forces acting on the vessel by integration on the hull surface with a mean relative error of 3.84\% \pm 2.179\% on the total resistance. Each iteration takes only 20 seconds, thus leading to a drastic saving of time and engineering efforts, while delivering valuable insight into the performance of the vessel, including RANS-like detailed flow information. We conclude that DLPO framework is a promising tool to accelerate the ship design process and lead to more efficient ships with better hydrodynamic performance.

The numerical solution of differential equations using machine learning-based approaches has gained significant popularity. Neural network-based discretization has emerged as a powerful tool for solving differential equations by parameterizing a set of functions. Various approaches, such as the deep Ritz method and physics-informed neural networks, have been developed for numerical solutions. Training algorithms, including gradient descent and greedy algorithms, have been proposed to solve the resulting optimization problems. In this paper, we focus on the variational formulation of the problem and propose a Gauss- Newton method for computing the numerical solution. We provide a comprehensive analysis of the superlinear convergence properties of this method, along with a discussion on semi-regular zeros of the vanishing gradient. Numerical examples are presented to demonstrate the efficiency of the proposed Gauss-Newton method.

Stochastic optimization has found wide applications in minimizing objective functions in machine learning, which motivates a lot of theoretical studies to understand its practical success. Most of existing studies focus on the convergence of optimization errors, while the generalization analysis of stochastic optimization is much lagging behind. This is especially the case for nonconvex and nonsmooth problems often encountered in practice. In this paper, we initialize a systematic stability and generalization analysis of stochastic optimization on nonconvex and nonsmooth problems. We introduce novel algorithmic stability measures and establish their quantitative connection on the gap between population gradients and empirical gradients, which is then further extended to study the gap between the Moreau envelope of the empirical risk and that of the population risk. To our knowledge, these quantitative connection between stability and generalization in terms of either gradients or Moreau envelopes have not been studied in the literature. We introduce a class of sampling-determined algorithms, for which we develop bounds for three stability measures. Finally, we apply these discussions to derive error bounds for stochastic gradient descent and its adaptive variant, where we show how to achieve an implicit regularization by tuning the step sizes and the number of iterations.

Stochastic Bilevel optimization usually involves minimizing an upper-level (UL) function that is dependent on the arg-min of a strongly-convex lower-level (LL) function. Several algorithms utilize Neumann series to approximate certain matrix inverses involved in estimating the implicit gradient of the UL function (hypergradient). The state-of-the-art StOchastic Bilevel Algorithm (SOBA) [16] instead uses stochastic gradient descent steps to solve the linear system associated with the explicit matrix inversion. This modification enables SOBA to match the lower bound of sample complexity for the single-level counterpart in non-convex settings. Unfortunately, the current analysis of SOBA relies on the assumption of higher-order smoothness for the UL and LL functions to achieve optimality. In this paper, we introduce a novel fully single-loop and Hessian-inversion-free algorithmic framework for stochastic bilevel optimization and present a tighter analysis under standard smoothness assumptions (first-order Lipschitzness of the UL function and second-order Lipschitzness of the LL function). Furthermore, we show that by a slight modification of our approach, our algorithm can handle a more general multi-objective robust bilevel optimization problem. For this case, we obtain the state-of-the-art oracle complexity results demonstrating the generality of both the proposed algorithmic and analytic frameworks. Numerical experiments demonstrate the performance gain of the proposed algorithms over existing ones.

This paper proposes two distributed random reshuffling methods, namely Gradient Tracking with Random Reshuffling (GT-RR) and Exact Diffusion with Random Reshuffling (ED-RR), to solve the distributed optimization problem over a connected network, where a set of agents aim to minimize the average of their local cost functions. Both algorithms invoke random reshuffling (RR) update for each agent, inherit favorable characteristics of RR for minimizing smooth nonconvex objective functions, and improve the performance of previous distributed random reshuffling methods both theoretically and empirically. Specifically, both GT-RR and ED-RR achieve the convergence rate of $O(1/[(1-\lambda)^{1/3}m^{1/3}T^{2/3}])$ in driving the (minimum) expected squared norm of the gradient to zero, where $T$ denotes the number of epochs, $m$ is the sample size for each agent, and $1-\lambda$ represents the spectral gap of the mixing matrix. When the objective functions further satisfy the Polyak-{\L}ojasiewicz (PL) condition, we show GT-RR and ED-RR both achieve $O(1/[(1-\lambda)mT^2])$ convergence rate in terms of the averaged expected differences between the agents' function values and the global minimum value. Notably, both results are comparable to the convergence rates of centralized RR methods (up to constant factors depending on the network topology) and outperform those of previous distributed random reshuffling algorithms. Moreover, we support the theoretical findings with a set of numerical experiments.

We study the problem of computing an optimal policy of an infinite-horizon discounted constrained Markov decision process (constrained MDP). Despite the popularity of Lagrangian-based policy search methods used in practice, the oscillation of policy iterates in these methods has not been fully understood, bringing out issues such as violation of constraints and sensitivity to hyper-parameters. To fill this gap, we employ the Lagrangian method to cast a constrained MDP into a constrained saddle-point problem in which max/min players correspond to primal/dual variables, respectively, and develop two single-time-scale policy-based primal-dual algorithms with non-asymptotic convergence of their policy iterates to an optimal constrained policy. Specifically, we first propose a regularized policy gradient primal-dual (RPG-PD) method that updates the policy using an entropy-regularized policy gradient, and the dual via a quadratic-regularized gradient ascent, simultaneously. We prove that the policy primal-dual iterates of RPG-PD converge to a regularized saddle point with a sublinear rate, while the policy iterates converge sublinearly to an optimal constrained policy. We further instantiate RPG-PD in large state or action spaces by including function approximation in policy parametrization, and establish similar sublinear last-iterate policy convergence. Second, we propose an optimistic policy gradient primal-dual (OPG-PD) method that employs the optimistic gradient method to update primal/dual variables, simultaneously. We prove that the policy primal-dual iterates of OPG-PD converge to a saddle point that contains an optimal constrained policy, with a linear rate. To the best of our knowledge, this work appears to be the first non-asymptotic policy last-iterate convergence result for single-time-scale algorithms in constrained MDPs.

Graph neural networks are widely used tools for graph prediction tasks. Motivated by their empirical performance, prior works have developed generalization bounds for graph neural networks, which scale with graph structures in terms of the maximum degree. In this paper, we present generalization bounds that instead scale with the largest singular value of the graph neural network's feature diffusion matrix. These bounds are numerically much smaller than prior bounds for real-world graphs. We also construct a lower bound of the generalization gap that matches our upper bound asymptotically. To achieve these results, we analyze a unified model that includes prior works' settings (i.e., convolutional and message-passing networks) and new settings (i.e., graph isomorphism networks). Our key idea is to measure the stability of graph neural networks against noise perturbations using Hessians. Empirically, we find that Hessian-based measurements correlate with the observed generalization gaps of graph neural networks accurately. Optimizing noise stability properties for fine-tuning pretrained graph neural networks also improves test performance on several graph-level classification tasks.

This PhD thesis contains several contributions to the field of statistical causal modeling. Statistical causal models are statistical models embedded with causal assumptions that allow for the inference and reasoning about the behavior of stochastic systems affected by external manipulation (interventions). This thesis contributes to the research areas concerning the estimation of causal effects, causal structure learning, and distributionally robust (out-of-distribution generalizing) prediction methods. We present novel and consistent linear and non-linear causal effects estimators in instrumental variable settings that employ data-dependent mean squared prediction error regularization. Our proposed estimators show, in certain settings, mean squared error improvements compared to both canonical and state-of-the-art estimators. We show that recent research on distributionally robust prediction methods has connections to well-studied estimators from econometrics. This connection leads us to prove that general K-class estimators possess distributional robustness properties. We, furthermore, propose a general framework for distributional robustness with respect to intervention-induced distributions. In this framework, we derive sufficient conditions for the identifiability of distributionally robust prediction methods and present impossibility results that show the necessity of several of these conditions. We present a new structure learning method applicable in additive noise models with directed trees as causal graphs. We prove consistency in a vanishing identifiability setup and provide a method for testing substructure hypotheses with asymptotic family-wise error control that remains valid post-selection. Finally, we present heuristic ideas for learning summary graphs of nonlinear time-series models.

Sampling methods (e.g., node-wise, layer-wise, or subgraph) has become an indispensable strategy to speed up training large-scale Graph Neural Networks (GNNs). However, existing sampling methods are mostly based on the graph structural information and ignore the dynamicity of optimization, which leads to high variance in estimating the stochastic gradients. The high variance issue can be very pronounced in extremely large graphs, where it results in slow convergence and poor generalization. In this paper, we theoretically analyze the variance of sampling methods and show that, due to the composite structure of empirical risk, the variance of any sampling method can be decomposed into \textit{embedding approximation variance} in the forward stage and \textit{stochastic gradient variance} in the backward stage that necessities mitigating both types of variance to obtain faster convergence rate. We propose a decoupled variance reduction strategy that employs (approximate) gradient information to adaptively sample nodes with minimal variance, and explicitly reduces the variance introduced by embedding approximation. We show theoretically and empirically that the proposed method, even with smaller mini-batch sizes, enjoys a faster convergence rate and entails a better generalization compared to the existing methods.