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Sparse modelling or model selection with categorical data is challenging even for a moderate number of variables, because one parameter is roughly needed to encode one category or level. The Group Lasso is a well known efficient algorithm for selection continuous or categorical variables, but all estimates related to a selected factor usually differ. Therefore, a fitted model may not be sparse, which makes the model interpretation difficult. To obtain a sparse solution of the Group Lasso we propose the following two-step procedure: first, we reduce data dimensionality using the Group Lasso; then to choose the final model we use an information criterion on a small family of models prepared by clustering levels of individual factors. We investigate selection correctness of the algorithm in a sparse high-dimensional scenario. We also test our method on synthetic as well as real datasets and show that it performs better than the state of the art algorithms with respect to the prediction accuracy or model dimension.

Recently introduced distributed zeroth-order optimization (ZOO) algorithms have shown their utility in distributed reinforcement learning (RL). Unfortunately, in the gradient estimation process, almost all of them require random samples with the same dimension as the global variable and/or require evaluation of the global cost function, which may induce high estimation variance for large-scale networks. In this paper, we propose a novel distributed zeroth-order algorithm by leveraging the network structure inherent in the optimization objective, which allows each agent to estimate its local gradient by local cost evaluation independently, without use of any consensus protocol. The proposed algorithm exhibits an asynchronous update scheme, and is designed for stochastic non-convex optimization with a possibly non-convex feasible domain based on the block coordinate descent method. The algorithm is later employed as a distributed model-free RL algorithm for distributed linear quadratic regulator design, where a learning graph is designed to describe the required interaction relationship among agents in distributed learning. We provide an empirical validation of the proposed algorithm to benchmark its performance on convergence rate and variance against a centralized ZOO algorithm.

Causal discovery (CD) from time-varying data is important in neuroscience, medicine, and machine learning. Techniques for CD include randomized experiments which are generally unbiased but expensive. It also includes algorithms like regression, matching, and Granger causality, which are only correct under strong assumptions made by human designers. However, as we found in other areas of machine learning, humans are usually not quite right and human expertise is usually outperformed by data-driven approaches. Here we test if we can improve causal discovery in a data-driven way. We take a perturbable system with a large number of causal components (transistors), the MOS 6502 processor, acquire the causal ground truth, and learn the causal discovery procedure represented as a neural network. We find that this procedure far outperforms human-designed causal discovery procedures, such as Mutual Information, LiNGAM, and Granger Causality both on MOS 6502 processor and the NetSim dataset which simulates functional magnetic resonance imaging (fMRI) results. We argue that the causality field should consider, where possible, a supervised approach, where CD procedures are learned from large datasets with known causal relations instead of being designed by a human specialist. Our findings promise a new approach toward improving CD in neural and medical data and for the broader machine learning community.

We discuss probabilistic neural network models for unsupervised learning where the distribution of the hidden layer is fixed. We argue that learning machines with this architecture enjoy a number of desirable properties. For example, the model can be chosen as a simple and interpretable one, it does not need to be over-parametrised and training is argued to be efficient in a thermodynamic sense. When hidden units are binary variables, these models have a natural interpretation in terms of features. We show that the featureless state corresponds to a state of maximal ignorance about the features and that learning the first feature depends on non-Gaussian statistical properties of the data. We suggest that the distribution of hidden variables should be chosen according to the principle of maximal relevance. We introduce the Hierarchical Feature Model as an example of a model that satisfies this principle, and that encodes an a priori organisation of the feature space. We present extensive numerical experiments in order i) to test that the internal representation of learning machines can indeed be independent of the data with which they are trained and ii) that only a finite number of features are needed to describe a datasets.

Image reconstruction of low-count positron emission tomography (PET) data is challenging. Kernel methods address the challenge by incorporating image prior information in the forward model of iterative PET image reconstruction. The kernelized expectation-maximization (KEM) algorithm has been developed and demonstrated to be effective and easy to implement. A common approach for a further improvement of the kernel method would be adding an explicit regularization, which however leads to a complex optimization problem. In this paper, we propose an implicit regularization for the kernel method by using a deep coefficient prior, which represents the kernel coefficient image in the PET forward model using a convolutional neural-network. To solve the maximum-likelihood neural network-based reconstruction problem, we apply the principle of optimization transfer to derive a neural KEM algorithm. Each iteration of the algorithm consists of two separate steps: a KEM step for image update from the projection data and a deep-learning step in the image domain for updating the kernel coefficient image using the neural network. This optimization algorithm is guaranteed to monotonically increase the data likelihood. The results from computer simulations and real patient data have demonstrated that the neural KEM can outperform existing KEM and deep image prior methods.

In domains where sample sizes are limited, efficient learning algorithms are critical. Learning using privileged information (LuPI) offers increased sample efficiency by allowing prediction models access to auxiliary information at training time which is unavailable when the models are used. In recent work, it was shown that for prediction in linear-Gaussian dynamical systems, a LuPI learner with access to intermediate time series data is never worse and often better in expectation than any unbiased classical learner. We provide new insights into this analysis and generalize it to nonlinear prediction tasks in latent dynamical systems, extending theoretical guarantees to the case where the map connecting latent variables and observations is known up to a linear transform. In addition, we propose algorithms based on random features and representation learning for the case when this map is unknown. A suite of empirical results confirm theoretical findings and show the potential of using privileged time-series information in nonlinear prediction.

We propose a new stochastic primal-dual optimization algorithm for planning in a large discounted Markov decision process with a generative model and linear function approximation. Assuming that the feature map approximately satisfies standard realizability and Bellman-closedness conditions and also that the feature vectors of all state-action pairs are representable as convex combinations of a small core set of state-action pairs, we show that our method outputs a near-optimal policy after a polynomial number of queries to the generative model. Our method is computationally efficient and comes with the major advantage that it outputs a single softmax policy that is compactly represented by a low-dimensional parameter vector, and does not need to execute computationally expensive local planning subroutines in runtime.

The acoustic inverse obstacle scattering problem consists of determining the shape of a domain from measurements of the scattered far field due to some set of incident fields (probes). For a penetrable object with known sound speed, this can be accomplished by treating the boundary alone as an unknown curve. Alternatively, one can treat the entire object as unknown and use a more general volumetric representation, without making use of the known sound speed. Both lead to strongly nonlinear and nonconvex optimization problems for which recursive linearization provides a useful framework for numerical analysis. After extending our shape optimization approach developed earlier for impenetrable bodies, we carry out a systematic study of both methods and compare their performance on a variety of examples. Our findings indicate that the volumetric approach is more robust, even though the number of degrees of freedom is significantly larger. We conclude with a discussion of this phenomenon and potential directions for further research.

In this paper, we address the dichotomy between heterogeneous models and simultaneous training in Federated Learning (FL) via a clustering framework. We define a new clustering model for FL based on the (optimal) local models of the users: two users belong to the same cluster if their local models are close; otherwise they belong to different clusters. A standard algorithm for clustered FL is proposed in \cite{ghosh_efficient_2021}, called \texttt{IFCA}, which requires \emph{suitable} initialization and the knowledge of hyper-parameters like the number of clusters (which is often quite difficult to obtain in practical applications) to converge. We propose an improved algorithm, \emph{Successive Refine Federated Clustering Algorithm} (\texttt{SR-FCA}), which removes such restrictive assumptions. \texttt{SR-FCA} treats each user as a singleton cluster as an initialization, and then successively refine the cluster estimation via exploiting similar users belonging to the same cluster. In any intermediate step, \texttt{SR-FCA} uses a robust federated learning algorithm within each cluster to exploit simultaneous training and to correct clustering errors. Furthermore, \texttt{SR-FCA} does not require any \emph{good} initialization (warm start), both in theory and practice. We show that with proper choice of learning rate, \texttt{SR-FCA} incurs arbitrarily small clustering error. Additionally, we validate the performance of our algorithm on standard FL datasets in non-convex problems like neural nets, and we show the benefits of \texttt{SR-FCA} over baselines.

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.