Bayesian bandit algorithms with approximate inference have been widely used in practice with superior performance. Yet, few studies regarding the fundamental understanding of their performances are available. In this paper, we propose a Bayesian bandit algorithm, which we call Generalized Bayesian Upper Confidence Bound (GBUCB), for bandit problems in the presence of approximate inference. Our theoretical analysis demonstrates that in Bernoulli multi-armed bandit, GBUCB can achieve $O(\sqrt{T}(\log T)^c)$ frequentist regret if the inference error measured by symmetrized Kullback-Leibler divergence is controllable. This analysis relies on a novel sensitivity analysis for quantile shifts with respect to inference errors. To our best knowledge, our work provides the first theoretical regret bound that is better than $o(T)$ in the setting of approximate inference. Our experimental evaluations on multiple approximate inference settings corroborate our theory, showing that our GBUCB is consistently superior to BUCB and Thompson sampling.
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Escaping from saddle points and finding local minimum is a central problem in nonconvex optimization. Perturbed gradient methods are perhaps the simplest approach for this problem. However, to find $(\epsilon, \sqrt{\epsilon})$-approximate local minima, the existing best stochastic gradient complexity for this type of algorithms is $\tilde O(\epsilon^{-3.5})$, which is not optimal. In this paper, we propose LENA (Last stEp shriNkAge), a faster perturbed stochastic gradient framework for finding local minima. We show that LENA with stochastic gradient estimators such as SARAH/SPIDER and STORM can find $(\epsilon, \epsilon_{H})$-approximate local minima within $\tilde O(\epsilon^{-3} + \epsilon_{H}^{-6})$ stochastic gradient evaluations (or $\tilde O(\epsilon^{-3})$ when $\epsilon_H = \sqrt{\epsilon}$). The core idea of our framework is a step-size shrinkage scheme to control the average movement of the iterates, which leads to faster convergence to the local minima.
Approximate-message passing (AMP) algorithms have become an important element of high-dimensional statistical inference, mostly due to their adaptability and concentration properties, the state evolution (SE) equations. This is demonstrated by the growing number of new iterations proposed for increasingly complex problems, ranging from multi-layer inference to low-rank matrix estimation with elaborate priors. In this paper, we address the following questions: is there a structure underlying all AMP iterations that unifies them in a common framework? Can we use such a structure to give a modular proof of state evolution equations, adaptable to new AMP iterations without reproducing each time the full argument ? We propose an answer to both questions, showing that AMP instances can be generically indexed by an oriented graph. This enables to give a unified interpretation of these iterations, independent from the problem they solve, and a way of composing them arbitrarily. We then show that all AMP iterations indexed by such a graph admit rigorous SE equations, extending the reach of previous proofs, and proving a number of recent heuristic derivations of those equations. Our proof naturally includes non-separable functions and we show how existing refinements, such as spatial coupling or matrix-valued variables, can be combined with our framework.
In this paper, we consider a resilient consensus problem for the multi-agent network where some of the agents are subject to Byzantine attacks and may transmit erroneous state values to their neighbors. In particular, we develop an event-triggered update rule to tackle this problem as well as reduce the communication for each agent. Our approach is based on the mean subsequence reduced (MSR) algorithm with agents being capable to communicate with multi-hop neighbors. Since delays are critical in such an environment, we provide necessary graph conditions for the proposed algorithm to perform well with delays in the communication. We highlight that through multi-hop communication, the network connectivity can be reduced especially in comparison with the common onehop communication case. Lastly, we show the effectiveness of the proposed algorithm by a numerical example.
In this paper we get error bounds for fully discrete approximations of infinite horizon problems via the dynamic programming approach. It is well known that considering a time discretization with a positive step size $h$ an error bound of size $h$ can be proved for the difference between the value function (viscosity solution of the Hamilton-Jacobi-Bellman equation corresponding to the infinite horizon) and the value function of the discrete time problem. However, including also a spatial discretization based on elements of size $k$ an error bound of size $O(k/h)$ can be found in the literature for the error between the value functions of the continuous problem and the fully discrete problem. In this paper we revise the error bound of the fully discrete method and prove, under similar assumptions to those of the time discrete case, that the error of the fully discrete case is in fact $O(h+k)$ which gives first order in time and space for the method. This error bound matches the numerical experiments of many papers in the literature in which the behaviour $1/h$ from the bound $O(k/h)$ have not been observed.
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.
This paper considers the problem of inference in cluster randomized experiments when cluster sizes are non-ignorable. Here, by a cluster randomized experiment, we mean one in which treatment is assigned at the level of the cluster; by non-ignorable cluster sizes we mean that "large" clusters and "small" clusters may be heterogeneous, and, in particular, the effects of the treatment may vary across clusters of differing sizes. In order to permit this sort of flexibility, we consider a sampling framework in which cluster sizes themselves are random. In this way, our analysis departs from earlier analyses of cluster randomized experiments in which cluster sizes are treated as non-random. We distinguish between two different parameters of interest: the equally-weighted cluster-level average treatment effect, and the size-weighted cluster-level average treatment effect. For each parameter, we provide methods for inference in an asymptotic framework where the number of clusters tends to infinity and treatment is assigned using simple random sampling. We additionally permit the experimenter to sample only a subset of the units within each cluster rather than the entire cluster and demonstrate the implications of such sampling for some commonly used estimators. A small simulation study shows the practical relevance of our theoretical results.
Computing a maximum independent set (MaxIS) is a fundamental NP-hard problem in graph theory, which has important applications in a wide spectrum of fields. Since graphs in many applications are changing frequently over time, the problem of maintaining a MaxIS over dynamic graphs has attracted increasing attention over the past few years. Due to the intractability of maintaining an exact MaxIS, this paper aims to develop efficient algorithms that can maintain an approximate MaxIS with an accuracy guarantee theoretically. In particular, we propose a framework that maintains a $(\frac{\Delta}{2} + 1)$-approximate MaxIS over dynamic graphs and prove that it achieves a constant approximation ratio in many real-world networks. To the best of our knowledge, this is the first non-trivial approximability result for the dynamic MaxIS problem. Following the framework, we implement an efficient linear-time dynamic algorithm and a more effective dynamic algorithm with near-linear expected time complexity. Our thorough experiments over real and synthetic graphs demonstrate the effectiveness and efficiency of the proposed algorithms, especially when the graph is highly dynamic.
We provide a decision theoretic analysis of bandit experiments. The setting corresponds to a dynamic programming problem, but solving this directly is typically infeasible. Working within the framework of diffusion asymptotics, we define suitable notions of asymptotic Bayes and minimax risk for bandit experiments. For normally distributed rewards, the minimal Bayes risk can be characterized as the solution to a nonlinear second-order partial differential equation (PDE). Using a limit of experiments approach, we show that this PDE characterization also holds asymptotically under both parametric and non-parametric distribution of the rewards. The approach further describes the state variables it is asymptotically sufficient to restrict attention to, and therefore suggests a practical strategy for dimension reduction. The upshot is that we can approximate the dynamic programming problem defining the bandit experiment with a PDE which can be efficiently solved using sparse matrix routines. We derive the optimal Bayes and minimax policies from the numerical solutions to these equations. The proposed policies substantially dominate existing methods such as Thompson sampling. The framework also allows for substantial generalizations to the bandit problem such as time discounting and pure exploration motives.
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.
Consider the problem of training robustly capable agents. One approach is to generate a diverse collection of agent polices. Training can then be viewed as a quality diversity (QD) optimization problem, where we search for a collection of performant policies that are diverse with respect to quantified behavior. Recent work shows that differentiable quality diversity (DQD) algorithms greatly accelerate QD optimization when exact gradients are available. However, agent policies typically assume that the environment is not differentiable. To apply DQD algorithms to training agent policies, we must approximate gradients for performance and behavior. We propose two variants of the current state-of-the-art DQD algorithm that compute gradients via approximation methods common in reinforcement learning (RL). We evaluate our approach on four simulated locomotion tasks. One variant achieves results comparable to the current state-of-the-art in combining QD and RL, while the other performs comparably in two locomotion tasks. These results provide insight into the limitations of current DQD algorithms in domains where gradients must be approximated. Source code is available at //github.com/icaros-usc/dqd-rl
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