Bayesian methods to solve imaging inverse problems usually combine an explicit data likelihood function with a prior distribution that explicitly models expected properties of the solution. Many kinds of priors have been explored in the literature, from simple ones expressing local properties to more involved ones exploiting image redundancy at a non-local scale. In a departure from explicit modelling, several recent works have proposed and studied the use of implicit priors defined by an image denoising algorithm. This approach, commonly known as Plug & Play (PnP) regularisation, can deliver remarkably accurate results, particularly when combined with state-of-the-art denoisers based on convolutional neural networks. However, the theoretical analysis of PnP Bayesian models and algorithms is difficult and works on the topic often rely on unrealistic assumptions on the properties of the image denoiser. This papers studies maximum-a-posteriori (MAP) estimation for Bayesian models with PnP priors. We first consider questions related to existence, stability and well-posedness, and then present a convergence proof for MAP computation by PnP stochastic gradient descent (PnP-SGD) under realistic assumptions on the denoiser used. We report a range of imaging experiments demonstrating PnP-SGD as well as comparisons with other PnP schemes.
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隨(sui)機梯度(du)下降，按照(zhao)數據生成分布抽(chou)取m個樣(yang)本(ben)，通(tong)過(guo)計算他們(men)梯度(du)的(de)平均(jun)值來更新梯度(du)。
Mixed-dimensional elliptic equations exhibiting a hierarchical structure are commonly used to model problems with high aspect ratio inclusions, such as flow in fractured porous media. We derive general abstract estimates based on the theory of functional a posteriori error estimates, for which guaranteed upper bounds for the primal and dual variables and two-sided bounds for the primal-dual pair are obtained. We improve on the abstract results obtained with the functional approach by proposing four different ways of estimating the residual errors based on the extent the approximate solution has conservation properties, i.e.: (1) no conservation, (2) subdomain conservation, (3) grid-level conservation, and (4) exact conservation. This treatment results in sharper and fully computable estimates when mass is conserved either at the grid level or exactly, with a comparable structure to those obtained from grid-based a posteriori techniques. We demonstrate the practical effectiveness of our theoretical results through numerical experiments using four different discretization methods for synthetic problems and applications based on benchmarks of flow in fractured porous media.
We employ kernel-based approaches that use samples from a probability distribution to approximate a Kolmogorov operator on a manifold. The self-tuning variable-bandwidth kernel method [Berry & Harlim, Appl. Comput. Harmon. Anal., 40(1):68--96, 2016] computes a large, sparse matrix that approximates the differential operator. Here, we use the eigendecomposition of the discretization to (i) invert the operator, solving a differential equation, and (ii) represent gradient vector fields on the manifold. These methods only require samples from the underlying distribution and, therefore, can be applied in high dimensions or on geometrically complex manifolds when spatial discretizations are not available. We also employ an efficient $k$-$d$ tree algorithm to compute the sparse kernel matrix, which is a computational bottleneck.
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.
Stochastic Gradient Descent (SGD) is a central tool in machine learning. We prove that SGD converges to zero loss, even with a fixed (non-vanishing) learning rate - in the special case of homogeneous linear classifiers with smooth monotone loss functions, optimized on linearly separable data. Previous works assumed either a vanishing learning rate, iterate averaging, or loss assumptions that do not hold for monotone loss functions used for classification, such as the logistic loss. We prove our result on a fixed dataset, both for sampling with or without replacement. Furthermore, for logistic loss (and similar exponentially-tailed losses), we prove that with SGD the weight vector converges in direction to the $L_2$ max margin vector as $O(1/\log(t))$ for almost all separable datasets, and the loss converges as $O(1/t)$ - similarly to gradient descent. Lastly, we examine the case of a fixed learning rate proportional to the minibatch size. We prove that in this case, the asymptotic convergence rate of SGD (with replacement) does not depend on the minibatch size in terms of epochs, if the support vectors span the data. These results may suggest an explanation to similar behaviors observed in deep networks, when trained with SGD.
This paper proposes a numerical method based on the Adomian decomposition approach for the time discretization, applied to Euler equations. A recursive property is demonstrated that allows to formulate the method in an appropriate and efficient way. To obtain a fully numerical scheme, the space discretization is achieved using the classical DG techniques. The efficiency of the obtained numerical scheme is demonstrated through numerical tests by comparison to exact solution and the popular Runge-Kutta DG method results.
Randomized Maximum Likelihood (RML) is an approximate posterior sampling methodology, widely used in Bayesian inverse problems with complex forward models, particularly in petroleum engineering applications. The procedure involves solving a multi-objective optimization problem, which can be challenging in high-dimensions and when there are constraints on computational costs. We propose a new methodology for tackling the RML optimization problem based on the high-dimensional Bayesian optimization literature. By sharing data between the different objective functions, we are able to implement RML at a greatly reduced computational cost. We demonstrate the benefits of our methodology in comparison with the solutions obtained by alternative optimization methods on a variety of synthetic and real-world problems, including medical and fluid dynamics applications. Furthermore, we show that the samples produced by our method cover well the high-posterior density regions in all of the experiments.
We study the acceleration of the Local Polynomial Interpolation-based Gradient Descent method (LPI-GD) recently proposed for the approximate solution of empirical risk minimization problems (ERM). We focus on loss functions that are strongly convex and smooth with condition number $\sigma$. We additionally assume the loss function is $\eta$-H\"older continuous with respect to the data. The oracle complexity of LPI-GD is $\tilde{O}\left(\sigma m^d \log(1/\varepsilon)\right)$ for a desired accuracy $\varepsilon$, where $d$ is the dimension of the parameter space, and $m$ is the cardinality of an approximation grid. The factor $m^d$ can be shown to scale as $O((1/\varepsilon)^{d/2\eta})$. LPI-GD has been shown to have better oracle complexity than gradient descent (GD) and stochastic gradient descent (SGD) for certain parameter regimes. We propose two accelerated methods for the ERM problem based on LPI-GD and show an oracle complexity of $\tilde{O}\left(\sqrt{\sigma} m^d \log(1/\varepsilon)\right)$. Moreover, we provide the first empirical study on local polynomial interpolation-based gradient methods and corroborate that LPI-GD has better performance than GD and SGD in some scenarios, and the proposed methods achieve acceleration.
Policy gradient (PG) estimation becomes a challenge when we are not allowed to sample with the target policy but only have access to a dataset generated by some unknown behavior policy. Conventional methods for off-policy PG estimation often suffer from either significant bias or exponentially large variance. In this paper, we propose the double Fitted PG estimation (FPG) algorithm. FPG can work with an arbitrary policy parameterization, assuming access to a Bellman-complete value function class. In the case of linear value function approximation, we provide a tight finite-sample upper bound on policy gradient estimation error, that is governed by the amount of distribution mismatch measured in feature space. We also establish the asymptotic normality of FPG estimation error with a precise covariance characterization, which is further shown to be statistically optimal with a matching Cramer-Rao lower bound. Empirically, we evaluate the performance of FPG on both policy gradient estimation and policy optimization, using either softmax tabular or ReLU policy networks. Under various metrics, our results show that FPG significantly outperforms existing off-policy PG estimation methods based on importance sampling and variance reduction techniques.
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.
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