Unrolled computation graphs arise in many scenarios, including training RNNs, tuning hyperparameters through unrolled optimization, and training learned optimizers. Current approaches to optimizing parameters in such computation graphs suffer from high variance gradients, bias, slow updates, or large memory usage. We introduce a method called Persistent Evolution Strategies (PES), which divides the computation graph into a series of truncated unrolls, and performs an evolution strategies-based update step after each unroll. PES eliminates bias from these truncations by accumulating correction terms over the entire sequence of unrolls. PES allows for rapid parameter updates, has low memory usage, is unbiased, and has reasonable variance characteristics. We experimentally demonstrate the advantages of PES compared to several other methods for gradient estimation on synthetic tasks, and show its applicability to training learned optimizers and tuning hyperparameters.
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Different from handcrafted features, deep neural networks can automatically learn task-specific features from data. Due to this data-driven nature, they have achieved remarkable success in various areas. However, manual design and selection of suitable network architectures are time-consuming and require substantial effort of human experts. To address this problem, researchers have proposed neural architecture search (NAS) algorithms which can automatically generate network architectures but suffer from heavy computational cost and instability if searching from scratch. In this paper, we propose a hybrid NAS framework for ultrasound (US) image classification and segmentation. The hybrid framework consists of a pre-trained backbone and several searched cells (i.e., network building blocks), which takes advantage of the strengths of both NAS and the expert knowledge from existing convolutional neural networks. Specifically, two effective and lightweight operations, a mixed depth-wise convolution operator and a squeeze-and-excitation block, are introduced into the candidate operations to enhance the variety and capacity of the searched cells. These two operations not only decrease model parameters but also boost network performance. Moreover, we propose a re-aggregation strategy for the searched cells, aiming to further improve the performance for different vision tasks. We tested our method on two large US image datasets, including a 9-class echinococcosis dataset containing 9566 images for classification and an ovary dataset containing 3204 images for segmentation. Ablation experiments and comparison with other handcrafted or automatically searched architectures demonstrate that our method can generate more powerful and lightweight models for the above US image classification and segmentation tasks.
Min-max optimization problems (i.e., min-max games) have been attracting a great deal of attention because of their applicability to a wide range of machine learning problems. Although significant progress has been made recently, the literature to date has focused on games with independent strategy sets; little is known about solving games with dependent strategy sets, which can be characterized as min-max Stackelberg games. We introduce two first-order methods that solve a large class of convex-concave min-max Stackelberg games, and show that our methods converge in polynomial time. Min-max Stackelberg games were first studied by Wald, under the posthumous name of Wald's maximin model, a variant of which is the main paradigm used in robust optimization, which means that our methods can likewise solve many convex robust optimization problems. We observe that the computation of competitive equilibria in Fisher markets also comprises a min-max Stackelberg game. Further, we demonstrate the efficacy and efficiency of our algorithms in practice by computing competitive equilibria in Fisher markets with varying utility structures. Our experiments suggest potential ways to extend our theoretical results, by demonstrating how different smoothness properties can affect the convergence rate of our algorithms.
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.
Momentum methods, including heavy-ball~(HB) and Nesterov's accelerated gradient~(NAG), are widely used in training neural networks for their fast convergence. However, there is a lack of theoretical guarantees for their convergence and acceleration since the optimization landscape of the neural network is non-convex. Nowadays, some works make progress towards understanding the convergence of momentum methods in an over-parameterized regime, where the number of the parameters exceeds that of the training instances. Nonetheless, current results mainly focus on the two-layer neural network, which are far from explaining the remarkable success of the momentum methods in training deep neural networks. Motivated by this, we investigate the convergence of NAG with constant learning rate and momentum parameter in training two architectures of deep linear networks: deep fully-connected linear neural networks and deep linear ResNets. Based on the over-parameterization regime, we first analyze the residual dynamics induced by the training trajectory of NAG for a deep fully-connected linear neural network under the random Gaussian initialization. Our results show that NAG can converge to the global minimum at a $(1 - \mathcal{O}(1/\sqrt{\kappa}))^t$ rate, where $t$ is the iteration number and $\kappa > 1$ is a constant depending on the condition number of the feature matrix. Compared to the $(1 - \mathcal{O}(1/{\kappa}))^t$ rate of GD, NAG achieves an acceleration over GD. To the best of our knowledge, this is the first theoretical guarantee for the convergence of NAG to the global minimum in training deep neural networks. Furthermore, we extend our analysis to deep linear ResNets and derive a similar convergence result.
We propose a stochastic conditional gradient method (CGM) for minimizing convex finite-sum objectives formed as a sum of smooth and non-smooth terms. Existing CGM variants for this template either suffer from slow convergence rates, or require carefully increasing the batch size over the course of the algorithm's execution, which leads to computing full gradients. In contrast, the proposed method, equipped with a stochastic average gradient (SAG) estimator, requires only one sample per iteration. Nevertheless, it guarantees fast convergence rates on par with more sophisticated variance reduction techniques. In applications we put special emphasis on problems with a large number of separable constraints. Such problems are prevalent among semidefinite programming (SDP) formulations arising in machine learning and theoretical computer science. We provide numerical experiments on matrix completion, unsupervised clustering, and sparsest-cut SDPs.
We propose in this paper a data driven state estimation scheme for generating nonlinear reduced models for parametric families of PDEs, directly providing data-to-state maps, represented in terms of Deep Neural Networks. A major constituent is a sensor-induced decomposition of a model-compliant Hilbert space warranting approximation in problem relevant metrics. It plays a similar role as in a Parametric Background Data Weak framework for state estimators based on Reduced Basis concepts. Extensive numerical tests shed light on several optimization strategies that are to improve robustness and performance of such estimators.
Low-rank matrix estimation under heavy-tailed noise is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs, especially since robust loss functions are usually non-smooth. More recently, computationally fast non-convex approaches via sub-gradient descent are proposed, which, unfortunately, fail to deliver a statistically consistent estimator even under sub-Gaussian noise. In this paper, we introduce a novel Riemannian sub-gradient (RsGrad) algorithm which is not only computationally efficient with linear convergence but also is statistically optimal, be the noise Gaussian or heavy-tailed. Convergence theory is established for a general framework and specific applications to absolute loss, Huber loss, and quantile loss are investigated. Compared with existing non-convex methods, ours reveals a surprising phenomenon of dual-phase convergence. In phase one, RsGrad behaves as in a typical non-smooth optimization that requires gradually decaying stepsizes. However, phase one only delivers a statistically sub-optimal estimator which is already observed in the existing literature. Interestingly, during phase two, RsGrad converges linearly as if minimizing a smooth and strongly convex objective function and thus a constant stepsize suffices. Underlying the phase-two convergence is the smoothing effect of random noise to the non-smooth robust losses in an area close but not too close to the truth. Lastly, RsGrad is applicable for low-rank tensor estimation under heavy-tailed noise where a statistically optimal rate is attainable with the same phenomenon of dual-phase convergence, and a novel shrinkage-based second-order moment method is guaranteed to deliver a warm initialization. Numerical simulations confirm our theoretical discovery and showcase the superiority of RsGrad over prior methods.
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.
Deep convolutional neural networks (CNNs) have recently achieved great success in many visual recognition tasks. However, existing deep neural network models are computationally expensive and memory intensive, hindering their deployment in devices with low memory resources or in applications with strict latency requirements. Therefore, a natural thought is to perform model compression and acceleration in deep networks without significantly decreasing the model performance. During the past few years, tremendous progress has been made in this area. In this paper, we survey the recent advanced techniques for compacting and accelerating CNNs model developed. These techniques are roughly categorized into four schemes: parameter pruning and sharing, low-rank factorization, transferred/compact convolutional filters, and knowledge distillation. Methods of parameter pruning and sharing will be described at the beginning, after that the other techniques will be introduced. For each scheme, we provide insightful analysis regarding the performance, related applications, advantages, and drawbacks etc. Then we will go through a few very recent additional successful methods, for example, dynamic capacity networks and stochastic depths networks. After that, we survey the evaluation matrix, the main datasets used for evaluating the model performance and recent benchmarking efforts. Finally, we conclude this paper, discuss remaining challenges and possible directions on this topic.
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