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In this paper, we focus on the solution of online optimization problems that arise often in signal processing and machine learning, in which we have access to streaming sources of data. We discuss algorithms for online optimization based on the prediction-correction paradigm, both in the primal and dual space. In particular, we leverage the typical regularized least-squares structure appearing in many signal processing problems to propose a novel and tailored prediction strategy, which we call extrapolation-based. By using tools from operator theory, we then analyze the convergence of the proposed methods as applied both to primal and dual problems, deriving an explicit bound for the tracking error, that is, the distance from the time-varying optimal solution. We further discuss the empirical performance of the algorithm when applied to signal processing, machine learning, and robotics problems.

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A sequence of random variables is called exchangeable if its joint distribution is invariant under permutations. The original formulation of de Finetti's theorem says that any exchangeable sequence of $\{0,1\}$-valued random variables can be thought of as a mixture of independent and identically distributed sequences in a certain precise mathematical sense. Interpreting this statement from a convex analytic perspective, Hewitt and Savage obtained the same conclusion for more general state spaces under some topological conditions. The main contribution of this paper is in providing a new framework that explains the theorem purely as a consequence of the underlying distribution of the random variables, with no topological conditions (beyond Hausdorffness) on the state space being necessary if the distribution is Radon. We also show that it is consistent with the axioms of ZFC that de Finetti's theorem holds for all sequences of exchangeable random variables taking values in any complete metric space. The framework we use is based on nonstandard analysis. We have provided a self-contained introduction to nonstandard analysis as an appendix, thus rendering measure theoretic probability and point-set topology as the only prerequisites for this paper. Our introduction aims to develop some new ideologies that might be of interest to mathematicians, philosophers, and mathematics educators alike. Our technical tools come from nonstandard topological measure theory, in which a highlight is a new generalization of Prokhorov's theorem. Modulo such technical tools, our proof relies on properties of the empirical measures induced by hyperfinitely many identically distributed random variables -- a feature that allows us to establish de Finetti's theorem in the generality that we seek while still retaining the combinatorial intuition of proofs of simpler versions of de Finetti's theorem.

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.

This study presents a constructive methodology for designing accelerated convex optimisation algorithms in continuous-time domain. The two key enablers are the classical concept of passivity in control theory and the time-dependent change of variables that maps the output of the internal dynamic system to the optimisation variables. The Lyapunov function associated with the optimisation dynamics is obtained as a natural consequence of specifying the internal dynamics that drives the state evolution as a passive linear time-invariant system. The passivity-based methodology provides a general framework that has the flexibility to generate convex optimisation algorithms with the guarantee of different convergence rate bounds on the objective function value. The same principle applies to the design of online parameter update algorithms for adaptive control by re-defining the output of internal dynamics to allow for the feedback interconnection with tracking error dynamics.

High-dimensional data sets are often available in genome-enabled predictions. Such data sets include nonlinear relationships with complex dependence structures. For such situations, vine copula based (quantile) regression is an important tool. However, the current vine copula based regression approaches do not scale up to high and ultra-high dimensions. To perform high-dimensional sparse vine copula based regression, we propose two methods. First, we show their superiority regarding computational complexity over the existing methods. Second, we define relevant, irrelevant, and redundant explanatory variables for quantile regression. Then we show our method's power in selecting relevant variables and prediction accuracy in high-dimensional sparse data sets via simulation studies. Next, we apply the proposed methods to the high-dimensional real data, aiming at the genomic prediction of maize traits. Some data-processing and feature extraction steps for the real data are further discussed. Finally, we show the advantage of our methods over linear models and quantile regression forests in simulation studies and real data applications.

In epidemiological studies, the capture-recapture (CRC) method is a powerful tool that can be used to estimate the number of diseased cases or potentially disease prevalence based on data from overlapping surveillance systems. Estimators derived from log-linear models are widely applied by epidemiologists when analyzing CRC data. The popularity of the log-linear model framework is largely associated with its accessibility and the fact that interaction terms can allow for certain types of dependency among data streams. In this work, we shed new light on significant pitfalls associated with the log-linear model framework in the context of CRC using real data examples and simulation studies. First, we demonstrate that the log-linear model paradigm is highly exclusionary. That is, it can exclude, by design, many possible estimates that are potentially consistent with the observed data. Second, we clarify the ways in which regularly used model selection metrics (e.g., information criteria) are fundamentally deceiving in the effort to select a best model in this setting. By focusing attention on these important cautionary points and on the fundamental untestable dependency assumption made when fitting a log-linear model to CRC data, we hope to improve the quality of and transparency associated with subsequent surveillance-based CRC estimates of case counts.

An algorithm is said to be adaptive to a certain parameter (of the problem) if it does not need a priori knowledge of such a parameter but performs competitively to those that know it. This dissertation presents our work on adaptive algorithms in following scenarios: 1. In the stochastic optimization setting, we only receive stochastic gradients and the level of noise in evaluating them greatly affects the convergence rate. Tuning is typically required when without prior knowledge of the noise scale in order to achieve the optimal rate. Considering this, we designed and analyzed noise-adaptive algorithms that can automatically ensure (near)-optimal rates under different noise scales without knowing it. 2. In training deep neural networks, the scales of gradient magnitudes in each coordinate can scatter across a very wide range unless normalization techniques, like BatchNorm, are employed. In such situations, algorithms not addressing this problem of gradient scales can behave very poorly. To mitigate this, we formally established the advantage of scale-free algorithms that adapt to the gradient scales and presented its real benefits in empirical experiments. 3. Traditional analyses in non-convex optimization typically rely on the smoothness assumption. Yet, this condition does not capture the properties of some deep learning objective functions, including the ones involving Long Short-Term Memory networks and Transformers. Instead, they satisfy a much more relaxed condition, with potentially unbounded smoothness. Under this condition, we show that a generalized SignSGD algorithm can theoretically match the best-known convergence rates obtained by SGD with gradient clipping but does not need explicit clipping at all, and it can empirically match the performance of Adam and beat others. Moreover, it can also be made to automatically adapt to the unknown relaxed smoothness.

Diffusion models are a class of deep generative models that have shown impressive results on various tasks with dense theoretical founding. Although diffusion models have achieved impressive quality and diversity of sample synthesis than other state-of-the-art models, they still suffer from costly sampling procedure and sub-optimal likelihood estimation. Recent studies have shown great enthusiasm on improving the performance of diffusion model. In this article, we present a first comprehensive review of existing variants of the diffusion models. Specifically, we provide a first taxonomy of diffusion models and categorize them variants to three types, namely sampling-acceleration enhancement, likelihood-maximization enhancement and data-generalization enhancement. We also introduce in detail other five generative models (i.e., variational autoencoders, generative adversarial networks, normalizing flow, autoregressive models, and energy-based models), and clarify the connections between diffusion models and these generative models. Then we make a thorough investigation into the applications of diffusion models, including computer vision, natural language processing, waveform signal processing, multi-modal modeling, molecular graph generation, time series modeling, and adversarial purification. Furthermore, we propose new perspectives pertaining to the development of this generative model.

Recommender system is one of the most important information services on today's Internet. Recently, graph neural networks have become the new state-of-the-art approach of recommender systems. In this survey, we conduct a comprehensive review of the literature in graph neural network-based recommender systems. We first introduce the background and the history of the development of both recommender systems and graph neural networks. For recommender systems, in general, there are four aspects for categorizing existing works: stage, scenario, objective, and application. For graph neural networks, the existing methods consist of two categories, spectral models and spatial ones. We then discuss the motivation of applying graph neural networks into recommender systems, mainly consisting of the high-order connectivity, the structural property of data, and the enhanced supervision signal. We then systematically analyze the challenges in graph construction, embedding propagation/aggregation, model optimization, and computation efficiency. Afterward and primarily, we provide a comprehensive overview of a multitude of existing works of graph neural network-based recommender systems, following the taxonomy above. Finally, we raise discussions on the open problems and promising future directions of this area. We summarize the representative papers along with their codes repositories in //github.com/tsinghua-fib-lab/GNN-Recommender-Systems.

Recently pre-trained language representation models such as BERT have shown great success when fine-tuned on downstream tasks including information retrieval (IR). However, pre-training objectives tailored for ad-hoc retrieval have not been well explored. In this paper, we propose Pre-training with Representative wOrds Prediction (PROP) for ad-hoc retrieval. PROP is inspired by the classical statistical language model for IR, specifically the query likelihood model, which assumes that the query is generated as the piece of text representative of the "ideal" document. Based on this idea, we construct the representative words prediction (ROP) task for pre-training. Given an input document, we sample a pair of word sets according to the document language model, where the set with higher likelihood is deemed as more representative of the document. We then pre-train the Transformer model to predict the pairwise preference between the two word sets, jointly with the Masked Language Model (MLM) objective. By further fine-tuning on a variety of representative downstream ad-hoc retrieval tasks, PROP achieves significant improvements over baselines without pre-training or with other pre-training methods. We also show that PROP can achieve exciting performance under both the zero- and low-resource IR settings. The code and pre-trained models are available at //github.com/Albert-Ma/PROP.

Since deep neural networks were developed, they have made huge contributions to everyday lives. Machine learning provides more rational advice than humans are capable of in almost every aspect of daily life. However, despite this achievement, the design and training of neural networks are still challenging and unpredictable procedures. To lower the technical thresholds for common users, automated hyper-parameter optimization (HPO) has become a popular topic in both academic and industrial areas. This paper provides a review of the most essential topics on HPO. The first section introduces the key hyper-parameters related to model training and structure, and discusses their importance and methods to define the value range. Then, the research focuses on major optimization algorithms and their applicability, covering their efficiency and accuracy especially for deep learning networks. This study next reviews major services and toolkits for HPO, comparing their support for state-of-the-art searching algorithms, feasibility with major deep learning frameworks, and extensibility for new modules designed by users. The paper concludes with problems that exist when HPO is applied to deep learning, a comparison between optimization algorithms, and prominent approaches for model evaluation with limited computational resources.

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