We propose a novel machine learning framework for solving optimization problems governed by large-scale partial differential equations (PDEs) with high-dimensional random parameters. Such optimization under uncertainty (OUU) problems may be computational prohibitive using classical methods, particularly when a large number of samples is needed to evaluate risk measures at every iteration of an optimization algorithm, where each sample requires the solution of an expensive-to-solve PDE. To address this challenge, we propose a new neural operator approximation of the PDE solution operator that has the combined merits of (1) accurate approximation of not only the map from the joint inputs of random parameters and optimization variables to the PDE state, but also its derivative with respect to the optimization variables, (2) efficient construction of the neural network using reduced basis architectures that are scalable to high-dimensional OUU problems, and (3) requiring only a limited number of training data to achieve high accuracy for both the PDE solution and the OUU solution. We refer to such neural operators as multi-input reduced basis derivative informed neural operators (MR-DINOs). We demonstrate the accuracy and efficiency our approach through several numerical experiments, i.e. the risk-averse control of a semilinear elliptic PDE and the steady state Navier--Stokes equations in two and three spatial dimensions, each involving random field inputs. Across the examples, MR-DINOs offer $10^{3}$--$10^{7} \times$ reductions in execution time, and are able to produce OUU solutions of comparable accuracies to those from standard PDE based solutions while being over $10 \times$ more cost-efficient after factoring in the cost of construction.
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Uncertainty sampling is a prevalent active learning algorithm that queries sequentially the annotations of data samples which the current prediction model is uncertain about. However, the usage of uncertainty sampling has been largely heuristic: (i) There is no consensus on the proper definition of "uncertainty" for a specific task under a specific loss; (ii) There is no theoretical guarantee that prescribes a standard protocol to implement the algorithm, for example, how to handle the sequentially arrived annotated data under the framework of optimization algorithms such as stochastic gradient descent. In this work, we systematically examine uncertainty sampling algorithms under both stream-based and pool-based active learning. We propose a notion of equivalent loss which depends on the used uncertainty measure and the original loss function and establish that an uncertainty sampling algorithm essentially optimizes against such an equivalent loss. The perspective verifies the properness of existing uncertainty measures from two aspects: surrogate property and loss convexity. Furthermore, we propose a new notion for designing uncertainty measures called \textit{loss as uncertainty}. The idea is to use the conditional expected loss given the features as the uncertainty measure. Such an uncertainty measure has nice analytical properties and generality to cover both classification and regression problems, which enable us to provide the first generalization bound for uncertainty sampling algorithms under both stream-based and pool-based settings, in the full generality of the underlying model and problem. Lastly, we establish connections between certain variants of the uncertainty sampling algorithms with risk-sensitive objectives and distributional robustness, which can partly explain the advantage of uncertainty sampling algorithms when the sample size is small.
Karger (STOC 1995) gave the first FPTAS for the network (un)reliability problem, setting in motion research over the next three decades that obtained increasingly faster running times, eventually leading to a $\tilde{O}(n^2)$-time algorithm (Karger, STOC 2020). This represented a natural culmination of this line of work because the algorithmic techniques used can enumerate $\Theta(n^2)$ (near)-minimum cuts. In this paper, we go beyond this quadratic barrier and obtain a faster FPTAS for the network unreliability problem. Our algorithm runs in $m^{1+o(1)} + \tilde{O}(n^{1.5})$ time. Our main contribution is a new estimator for network unreliability in very reliable graphs. These graphs are usually the bottleneck for network unreliability since the disconnection event is elusive. Our estimator is obtained by defining an appropriate importance sampling subroutine on a dual spanning tree packing of the graph. To complement this estimator for very reliable graphs, we use recursive contraction for moderately reliable graphs. We show that an interleaving of sparsification and contraction can be used to obtain a better parametrization of the recursive contraction algorithm that yields a faster running time matching the one obtained for the very reliable case.
This work proposes novel techniques for the efficient numerical simulation of parameterized, unsteady partial differential equations. Projection-based reduced order models (ROMs) such as the reduced basis method employ a (Petrov-)Galerkin projection onto a linear low-dimensional subspace. In unsteady applications, space-time reduced basis (ST-RB) methods have been developed to achieve a dimension reduction both in space and time, eliminating the computational burden of time marching schemes. However, nonaffine parameterizations dilute any computational speedup achievable by traditional ROMs. Computational efficiency can be recovered by linearizing the nonaffine operators via hyper-reduction, such as the empirical interpolation method in matrix form. In this work, we implement new hyper-reduction techniques explicitly tailored to deal with unsteady problems and embed them in a ST-RB framework. For each of the proposed methods, we develop a posteriori error bounds. We run numerical tests to compare the performance of the proposed ROMs against high-fidelity simulations, in which we combine the finite element method for space discretization on 3D geometries and the Backward Euler time integrator. In particular, we consider a heat equation and an unsteady Stokes equation. The numerical experiments demonstrate the accuracy and computational efficiency our methods retain with respect to the high-fidelity simulations.
Learning-based optimal control algorithms control unknown systems using past trajectory data and a learned model of the system dynamics. These controllers use either a linear approximation of the learned dynamics, trading performance for faster computation, or nonlinear optimization methods, which typically perform better but can limit real-time applicability. In this work, we present a novel nonlinear controller that exploits differential flatness to achieve similar performance to state-of-the-art learning-based controllers but with significantly less computational effort. Differential flatness is a property of dynamical systems whereby nonlinear systems can be exactly linearized through a nonlinear input mapping. Here, the nonlinear transformation is learned as a Gaussian process and is used in a safety filter that guarantees, with high probability, stability as well as input and flat state constraint satisfaction. This safety filter is then used to refine inputs from a flat model predictive controller to perform constrained nonlinear learning-based optimal control through two successive convex optimizations. We compare our method to state-of-the-art learning-based control strategies and achieve similar performance, but with significantly better computational efficiency, while also respecting flat state and input constraints, and guaranteeing stability.
We develop a robust Bayesian functional principal component analysis (FPCA) by incorporating skew elliptical classes of distributions. The proposed method effectively captures the primary source of variation among curves, even when abnormal observations contaminate the data. We model the observations using skew elliptical distributions by introducing skewness with transformation and conditioning into the multivariate elliptical symmetric distribution. To recast the covariance function, we employ an approximate spectral decomposition. We discuss the selection of prior specifications and provide detailed information on posterior inference, including the forms of the full conditional distributions, choices of hyperparameters, and model selection strategies. Furthermore, we extend our model to accommodate sparse functional data with only a few observations per curve, thereby creating a more general Bayesian framework for FPCA. To assess the performance of our proposed model, we conduct simulation studies comparing it to well-known frequentist methods and conventional Bayesian methods. The results demonstrate that our method outperforms existing approaches in the presence of outliers and performs competitively in outlier-free datasets. Furthermore, we illustrate the effectiveness of our method by applying it to environmental and biological data to identify outlying functional data. The implementation of our proposed method and applications are available at //github.com/SFU-Stat-ML/RBFPCA.
Cluster-randomized experiments are increasingly used to evaluate interventions in routine practice conditions, and researchers often adopt model-based methods with covariate adjustment in the statistical analyses. However, the validity of model-based covariate adjustment is unclear when the working models are misspecified, leading to ambiguity of estimands and risk of bias. In this article, we first adapt two conventional model-based methods, generalized estimating equations and linear mixed models, with weighted g-computation to achieve robust inference for cluster-average and individual-average treatment effects. To further overcome the limitations of model-based covariate adjustment methods, we propose an efficient estimator for each estimand that allows for flexible covariate adjustment and additionally addresses cluster size variation dependent on treatment assignment and other cluster characteristics. Such cluster size variations often occur post-randomization and, if ignored, can lead to bias of model-based estimators. For our proposed efficient covariate-adjusted estimator, we prove that when the nuisance functions are consistently estimated by machine learning algorithms, the estimator is consistent, asymptotically normal, and efficient. When the nuisance functions are estimated via parametric working models, the estimator is triply-robust. Simulation studies and analyses of three real-world cluster-randomized experiments demonstrate that the proposed methods are superior to existing alternatives.
We present an adaptive algorithm for the computation of quantities of interest involving the solution of a stochastic elliptic PDE where the diffusion coefficient is parametrized by means of a Karhunen-Lo\`eve expansion. The approximation of the equivalent parametric problem requires a restriction of the countably infinite-dimensional parameter space to a finite-dimensional parameter set, a spatial discretization and an approximation in the parametric variables. We consider a sparse grid approach between these approximation directions in order to reduce the computational effort and propose a dimension-adaptive combination technique. In addition, a sparse grid quadrature for the high-dimensional parametric approximation is employed and simultaneously balanced with the spatial and stochastic approximation. Our adaptive algorithm constructs a sparse grid approximation based on the benefit-cost ratio such that the regularity and thus the decay of the Karhunen-Lo\`eve coefficients is not required beforehand. The decay is detected and exploited as the algorithm adjusts to the anisotropy in the parametric variables. We include numerical examples for the Darcy problem with a lognormal permeability field, which illustrate a good performance of the algorithm: For sufficiently smooth random fields, we essentially recover the spatial order of convergence as asymptotic convergence rate with respect to the computational cost.
In this paper, we focus on the high-dimensional double sparse structure, where the parameter of interest simultaneously encourages group-wise sparsity and element-wise sparsity in each group. By combining the Gilbert-Varshamov bound and its variants, we develop a novel lower bound technique for the metric entropy of the parameter space, specifically tailored for the double sparse structure over $\ell_u(\ell_q)$-balls with $u,q \in [0,1]$. We prove lower bounds on the estimation error using an information-theoretic approach, leveraging our proposed lower bound technique and Fano's inequality. To complement the lower bounds, we establish matching upper bounds through a direct analysis of constrained least-squares estimators and utilize results from empirical processes. A significant finding of our study is the discovery of a phase transition phenomenon in the minimax rates for $u,q \in (0, 1]$. Furthermore, we extend the theoretical results to the double sparse regression model and determine its minimax rate for estimation error. To tackle double sparse linear regression, we develop the DSIHT (Double Sparse Iterative Hard Thresholding) algorithm, demonstrating its optimality in the minimax sense. Finally, we demonstrate the superiority of our method through numerical experiments.
Classic algorithms and machine learning systems like neural networks are both abundant in everyday life. While classic computer science algorithms are suitable for precise execution of exactly defined tasks such as finding the shortest path in a large graph, neural networks allow learning from data to predict the most likely answer in more complex tasks such as image classification, which cannot be reduced to an exact algorithm. To get the best of both worlds, this thesis explores combining both concepts leading to more robust, better performing, more interpretable, more computationally efficient, and more data efficient architectures. The thesis formalizes the idea of algorithmic supervision, which allows a neural network to learn from or in conjunction with an algorithm. When integrating an algorithm into a neural architecture, it is important that the algorithm is differentiable such that the architecture can be trained end-to-end and gradients can be propagated back through the algorithm in a meaningful way. To make algorithms differentiable, this thesis proposes a general method for continuously relaxing algorithms by perturbing variables and approximating the expectation value in closed form, i.e., without sampling. In addition, this thesis proposes differentiable algorithms, such as differentiable sorting networks, differentiable renderers, and differentiable logic gate networks. Finally, this thesis presents alternative training strategies for learning with algorithms.
We propose a Bayesian convolutional neural network built upon Bayes by Backprop and elaborate how this known method can serve as the fundamental construct of our novel, reliable variational inference method for convolutional neural networks. First, we show how Bayes by Backprop can be applied to convolutional layers where weights in filters have probability distributions instead of point-estimates; and second, how our proposed framework leads with various network architectures to performances comparable to convolutional neural networks with point-estimates weights. In the past, Bayes by Backprop has been successfully utilised in feedforward and recurrent neural networks, but not in convolutional ones. This work symbolises the extension of the group of Bayesian neural networks which encompasses all three aforementioned types of network architectures now.
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