This paper tackles a multi-agent bandit setting where $M$ agents cooperate together to solve the same instance of a $K$-armed stochastic bandit problem. The agents are \textit{heterogeneous}: each agent has limited access to a local subset of arms and the agents are asynchronous with different gaps between decision-making rounds. The goal for each agent is to find its optimal local arm, and agents can cooperate by sharing their observations with others. While cooperation between agents improves the performance of learning, it comes with an additional complexity of communication between agents. For this heterogeneous multi-agent setting, we propose two learning algorithms, \ucbo and \AAE. We prove that both algorithms achieve order-optimal regret, which is $O\left(\sum_{i:\tilde{\Delta}_i>0} \log T/\tilde{\Delta}_i\right)$, where $\tilde{\Delta}_i$ is the minimum suboptimality gap between the reward mean of arm $i$ and any local optimal arm. In addition, a careful selection of the valuable information for cooperation, \AAE achieves a low communication complexity of $O(\log T)$. Last, numerical experiments verify the efficiency of both algorithms.
We study reinforcement learning for two-player zero-sum Markov games with simultaneous moves in the finite-horizon setting, where the transition kernel of the underlying Markov games can be parameterized by a linear function over the current state, both players' actions and the next state. In particular, we assume that we can control both players and aim to find the Nash Equilibrium by minimizing the duality gap. We propose an algorithm Nash-UCRL based on the principle "Optimism-in-Face-of-Uncertainty". Our algorithm only needs to find a Coarse Correlated Equilibrium (CCE), which is computationally efficient. Specifically, we show that Nash-UCRL can provably achieve an $\tilde{O}(dH\sqrt{T})$ regret, where $d$ is the linear function dimension, $H$ is the length of the game and $T$ is the total number of steps in the game. To assess the optimality of our algorithm, we also prove an $\tilde{\Omega}( dH\sqrt{T})$ lower bound on the regret. Our upper bound matches the lower bound up to logarithmic factors, which suggests the optimality of our algorithm.
Numerical solution of heterogeneous Helmholtz problems presents various computational challenges, with descriptive theory remaining out of reach for many popular approaches. Robustness and scalability are key for practical and reliable solvers in large-scale applications, especially for large wave number problems. In this work we explore the use of a GenEO-type coarse space to build a two-level additive Schwarz method applicable to highly indefinite Helmholtz problems. Through a range of numerical tests on a 2D model problem, discretised by finite elements on pollution-free meshes, we observe robust convergence, iteration counts that do not increase with the wave number, and good scalability of our approach. We further provide results showing a favourable comparison with the DtN coarse space. Our numerical study shows promise that our solver methodology can be effective for challenging heterogeneous applications.
Integrated sensing and communication (ISAC) creates a platform to exploit the synergy between two powerful functionalities that have been developing separately. However, the interference management and resource allocation between sensing and communication have not been fully studied. In this paper, we consider the design of perceptive mobile networks (PMNs) by adding sensing capability to current cellular networks. To avoid the full-duplex operation, we propose the PMN with distributed target monitoring terminals (TMTs) where passive TMTs are deployed over wireless networks to locate the sensing target (ST). We jointly optimize the transmit and receive beamformers towards the communication user terminals (UEs) and the ST by alternating-optimization (AO) and prove its convergence. To reduce computation complexity and obtain physical insights, we further investigate the use of linear transceivers, including zero forcing and beam synthesis (B-syn). Our analysis revealed interesting physical insights regarding interference management and resource allocation between sensing and communication: 1) instead of forming dedicated sensing signals, it is more efficient to redesign the communication signals for both communication and sensing purposes and "leak" communication energy for sensing; 2) the amount of energy leakage from one UE to the ST depends on their relative locations.
As a distributed learning paradigm, Federated Learning (FL) faces the communication bottleneck issue due to many rounds of model synchronization and aggregation. Heterogeneous data further deteriorates the situation by causing slow convergence. Although the impact of data heterogeneity on supervised FL has been widely studied, the related investigation for Federated Reinforcement Learning (FRL) is still in its infancy. In this paper, we first define the type and level of data heterogeneity for policy gradient based FRL systems. By inspecting the connection between the global and local objective functions, we prove that local training can benefit the global objective, if the local update is properly penalized by the total variation (TV) distance between the local and global policies. A necessary condition for the global policy to be learn-able from the local policy is also derived, which is directly related to the heterogeneity level. Based on the theoretical result, a Kullback-Leibler (KL) divergence based penalty is proposed, which, different from the conventional method that penalizes the model divergence in the parameter space, directly constrains the model outputs in the distribution space. By jointly penalizing the divergence of the local policy from the global policy with a global penalty and constraining each iteration of the local training with a local penalty, the proposed method achieves a better trade-off between training speed (step size) and convergence. Experiment results on two popular RL experiment platforms demonstrate the advantage of the proposed algorithm over existing methods in accelerating and stabilizing the training process with heterogeneous data.
This paper unifies the design and the analysis of risk-averse Thompson sampling algorithms for the multi-armed bandit problem for a class of risk functionals $\rho$ that are continuous and dominant. We prove generalised concentration bounds for these continuous and dominant risk functionals and show that a wide class of popular risk functionals belong to this class. Using our newly developed analytical toolkits, we analyse the algorithm $\rho$-MTS (for multinomial distributions) and prove that they admit asymptotically optimal regret bounds of risk-averse algorithms under CVaR, proportional hazard, and other ubiquitous risk measures. More generally, we prove the asymptotic optimality of $\rho$-MTS for Bernoulli distributions for a class of risk measures known as empirical distribution performance measures (EDPMs); this includes the well-known mean-variance. Numerical simulations show that the regret bounds incurred by our algorithms are reasonably tight vis-\`a-vis algorithm-independent lower bounds.
Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces. can be found in many fields of science. Here, we introduce a new recursive methodology for Bayesian inference that aims at estimating the static parameters and tracking the dynamic variables of these kind of systems. Although the proposed approach works in rather general multi-scale systems, for clarity we analyze the case of a heterogeneous multi-scale model with 3 time-scales (static parameters, slow dynamic state variables and fast dynamic state variables). The proposed scheme, based on nested filtering methodology of P\'erez-Vieites et al. (2018), combines three intertwined layers of filtering techniques that approximate recursively the joint posterior probability distribution of the parameters and both sets of dynamic state variables given a sequence of partial and noisy observations. We explore the use of sequential Monte Carlo schemes in the first and second layers while we use an unscented Kalman filter to obtain a Gaussian approximation of the posterior probability distribution of the fast variables in the third layer. Some numerical results are presented for a stochastic two-scale Lorenz 96 model with unknown parameters.
Federated Learning has promised a new approach to resolve the challenges in machine learning by bringing computation to the data. The popularity of the approach has led to rapid progress in the algorithmic aspects and the emergence of systems capable of simulating Federated Learning. State of art systems in Federated Learning support a single node aggregator that is insufficient to train a large corpus of devices or train larger-sized models. As the model size or the number of devices increase the single node aggregator incurs memory and computation burden while performing fusion tasks. It also faces communication bottlenecks when a large number of model updates are sent to a single node. We classify the workload for the aggregator into categories and propose a new aggregation service for handling each load. Our aggregation service is based on a holistic approach that chooses the best solution depending on the model update size and the number of clients. Our system provides a fault-tolerant, robust and efficient aggregation solution utilizing existing parallel and distributed frameworks. Through evaluation, we show the shortcomings of the state of art approaches and how a single solution is not suitable for all aggregation requirements. We also provide a comparison of current frameworks with our system through extensive experiments.
With the increasing penetration of distributed energy resources, distributed optimization algorithms have attracted significant attention for power systems applications due to their potential for superior scalability, privacy, and robustness to a single point-of-failure. The Alternating Direction Method of Multipliers (ADMM) is a popular distributed optimization algorithm; however, its convergence performance is highly dependent on the selection of penalty parameters, which are usually chosen heuristically. In this work, we use reinforcement learning (RL) to develop an adaptive penalty parameter selection policy for the AC optimal power flow (ACOPF) problem solved via ADMM with the goal of minimizing the number of iterations until convergence. We train our RL policy using deep Q-learning, and show that this policy can result in significantly accelerated convergence (up to a 59% reduction in the number of iterations compared to existing, curvature-informed penalty parameter selection methods). Furthermore, we show that our RL policy demonstrates promise for generalizability, performing well under unseen loading schemes as well as under unseen losses of lines and generators (up to a 50% reduction in iterations). This work thus provides a proof-of-concept for using RL for parameter selection in ADMM for power systems applications.
Federated Learning (FL) is a decentralized machine-learning paradigm, in which a global server iteratively averages the model parameters of local users without accessing their data. User heterogeneity has imposed significant challenges to FL, which can incur drifted global models that are slow to converge. Knowledge Distillation has recently emerged to tackle this issue, by refining the server model using aggregated knowledge from heterogeneous users, other than directly averaging their model parameters. This approach, however, depends on a proxy dataset, making it impractical unless such a prerequisite is satisfied. Moreover, the ensemble knowledge is not fully utilized to guide local model learning, which may in turn affect the quality of the aggregated model. Inspired by the prior art, we propose a data-free knowledge distillation} approach to address heterogeneous FL, where the server learns a lightweight generator to ensemble user information in a data-free manner, which is then broadcasted to users, regulating local training using the learned knowledge as an inductive bias. Empirical studies powered by theoretical implications show that, our approach facilitates FL with better generalization performance using fewer communication rounds, compared with the state-of-the-art.
The aim of this work is to develop a fully-distributed algorithmic framework for training graph convolutional networks (GCNs). The proposed method is able to exploit the meaningful relational structure of the input data, which are collected by a set of agents that communicate over a sparse network topology. After formulating the centralized GCN training problem, we first show how to make inference in a distributed scenario where the underlying data graph is split among different agents. Then, we propose a distributed gradient descent procedure to solve the GCN training problem. The resulting model distributes computation along three lines: during inference, during back-propagation, and during optimization. Convergence to stationary solutions of the GCN training problem is also established under mild conditions. Finally, we propose an optimization criterion to design the communication topology between agents in order to match with the graph describing data relationships. A wide set of numerical results validate our proposal. To the best of our knowledge, this is the first work combining graph convolutional neural networks with distributed optimization.