This paper is focused on the optimization approach to the solution of inverse problems. We introduce a stochastic dynamical system in which the parameter-to-data map is embedded, with the goal of employing techniques from nonlinear Kalman filtering to estimate the parameter given the data. The extended Kalman filter (which we refer to as ExKI in the context of inverse problems) can be effective for some inverse problems approached this way, but is impractical when the forward map is not readily differentiable and is given as a black box, and also for high dimensional parameter spaces because of the need to propagate large covariance matrices. Application of ensemble Kalman filters, for example use of the ensemble Kalman inversion (EKI) algorithm, has emerged as a useful tool which overcomes both of these issues: it is derivative free and works with a low-rank covariance approximation formed from the ensemble. In this paper, we work with the ExKI, EKI, and a variant on EKI which we term unscented Kalman inversion (UKI). The paper contains two main contributions. Firstly, we identify a novel stochastic dynamical system in which the parameter-to-data map is embedded. We present theory in the linear case to show exponential convergence of the mean of the filtering distribution to the solution of a regularized least squares problem. This is in contrast to previous work in which the EKI has been employed where the dynamical system used leads to algebraic convergence to an unregularized problem. Secondly, we show that the application of the UKI to this novel stochastic dynamical system yields improved inversion results, in comparison with the application of EKI to the same novel stochastic dynamical system.
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We introduce and analyze various Regularized Combined Field Integral Equations (CFIER) formulations of time-harmonic Navier equations in media with piece-wise constant material properties. These formulations can be derived systematically starting from suitable coercive approximations of Dirichlet-to-Neumann operators (DtN), and we present a periodic pseudodifferential calculus framework within which the well posedness of CIER formulations can be established. We also use the DtN approximations to derive and analyze Optimized Schwarz (OS) methods for the solution of elastodynamics transmission problems. The pseudodifferential calculus we develop in this paper relies on careful singularity splittings of the kernels of Navier boundary integral operators which is also the basis of high-order Nystr\"om quadratures for their discretizations. Based on these high-order discretizations we investigate the rate of convergence of iterative solvers applied to CFIER and OS formulations of scattering and transmission problems. We present a variety of numerical results that illustrate that the CFIER methodology leads to important computational savings over the classical CFIE one, whenever iterative solvers are used for the solution of the ensuing discretized boundary integral equations. Finally, we show that the OS methods are competitive in the high-frequency high-contrast regime.
Deep neural networks have seen tremendous success over the last years. Since the training is performed on digital hardware, in this paper, we analyze what actually can be computed on current hardware platforms modeled as Turing machines, which would lead to inherent restrictions of deep learning. For this, we focus on the class of inverse problems, which, in particular, encompasses any task to reconstruct data from measurements. We prove that finite-dimensional inverse problems are not Banach-Mazur computable for small relaxation parameters. In fact, our result even holds for Borel-Turing computability., i.e., there does not exist an algorithm which performs the training of a neural network on digital hardware for any given accuracy. This establishes a conceptual barrier on the capabilities of neural networks for finite-dimensional inverse problems given that the computations are performed on digital hardware.
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.
We propose a novel framework for learning a low-dimensional representation of data based on nonlinear dynamical systems, which we call dynamical dimension reduction (DDR). In the DDR model, each point is evolved via a nonlinear flow towards a lower-dimensional subspace; the projection onto the subspace gives the low-dimensional embedding. Training the model involves identifying the nonlinear flow and the subspace. Following the equation discovery method, we represent the vector field that defines the flow using a linear combination of dictionary elements, where each element is a pre-specified linear/nonlinear candidate function. A regularization term for the average total kinetic energy is also introduced and motivated by optimal transport theory. We prove that the resulting optimization problem is well-posed and establish several properties of the DDR method. We also show how the DDR method can be trained using a gradient-based optimization method, where the gradients are computed using the adjoint method from optimal control theory. The DDR method is implemented and compared on synthetic and example datasets to other dimension reductions methods, including PCA, t-SNE, and Umap.
Recently, there has been a rising awareness that when machine learning (ML) algorithms are used to automate choices, they may treat/affect individuals unfairly, with legal, ethical, or economic consequences. Recommender systems are prominent examples of such ML systems that assist users in making high-stakes judgments. A common trend in the previous literature research on fairness in recommender systems is that the majority of works treat user and item fairness concerns separately, ignoring the fact that recommender systems operate in a two-sided marketplace. In this work, we present an optimization-based re-ranking approach that seamlessly integrates fairness constraints from both the consumer and producer-side in a joint objective framework. We demonstrate through large-scale experiments on 8 datasets that our proposed method is capable of improving both consumer and producer fairness without reducing overall recommendation quality, demonstrating the role algorithms may play in minimizing data biases.
We introduce a novel methodology for particle filtering in dynamical systems where the evolution of the signal of interest is described by a SDE and observations are collected instantaneously at prescribed time instants. The new approach includes the discretisation of the SDE and the design of efficient particle filters for the resulting discrete-time state-space model. The discretisation scheme converges with weak order 1 and it is devised to create a sequential dependence structure along the coordinates of the discrete-time state vector. We introduce a class of space-sequential particle filters that exploits this structure to improve performance when the system dimension is large. This is numerically illustrated by a set of computer simulations for a stochastic Lorenz 96 system with additive noise. The new space-sequential particle filters attain approximately constant estimation errors as the dimension of the Lorenz 96 system is increased, with a computational cost that increases polynomially, rather than exponentially, with the system dimension. Besides the new numerical scheme and particle filters, we provide in this paper a general framework for discrete-time filtering in continuous-time dynamical systems described by a SDE and instantaneous observations. Provided that the SDE is discretised using a weakly-convergent scheme, we prove that the marginal posterior laws of the resulting discrete-time state-space model converge to the posterior marginal posterior laws of the original continuous-time state-space model under a suitably defined metric. This result is general and not restricted to the numerical scheme or particle filters specifically studied in this manuscript.
Bearing fault identification and analysis is an important research area in the field of machinery fault diagnosis. Aiming at the common faults of rolling bearings, we propose a data-driven diagnostic algorithm based on the characteristics of bearing vibrations called multi-size kernel based adaptive convolutional neural network (MSKACNN). Using raw bearing vibration signals as the inputs, MSKACNN provides vibration feature learning and signal classification capabilities to identify and analyze bearing faults. Ball mixing is a ball bearing production quality problem that is difficult to identify using traditional frequency domain analysis methods since it requires high frequency resolutions of the measurement signals and results in a long analyzing time. The proposed MSKACNN is shown to improve the efficiency and accuracy of ball mixing diagnosis. To further demonstrate the effectiveness of MSKACNN in bearing fault identification, a bearing vibration data acquisition system was developed, and vibration signal acquisition was performed on rolling bearings under five different fault conditions including ball mixing. The resulting datasets were used to analyze the performance of our proposed model. To validate the adaptive ability of MSKACNN, fault test data from the Case Western Reserve University Bearing Data Center were also used. Test results show that MSKACNN can identify the different bearing conditions with high accuracy with high generalization ability. We presented an implementation of the MSKACNN as a lightweight module for a real-time bearing fault diagnosis system that is suitable for production.
While the theoretical analysis of evolutionary algorithms (EAs) has made significant progress for pseudo-Boolean optimization problems in the last 25 years, only sporadic theoretical results exist on how EAs solve permutation-based problems. To overcome the lack of permutation-based benchmark problems, we propose a general way to transfer the classic pseudo-Boolean benchmarks into benchmarks defined on sets of permutations. We then conduct a rigorous runtime analysis of the permutation-based $(1+1)$ EA proposed by Scharnow, Tinnefeld, and Wegener (2004) on the analogues of the \textsc{LeadingOnes} and \textsc{Jump} benchmarks. The latter shows that, different from bit-strings, it is not only the Hamming distance that determines how difficult it is to mutate a permutation $\sigma$ into another one $\tau$, but also the precise cycle structure of $\sigma \tau^{-1}$. For this reason, we also regard the more symmetric scramble mutation operator. We observe that it not only leads to simpler proofs, but also reduces the runtime on jump functions with odd jump size by a factor of $\Theta(n)$. Finally, we show that a heavy-tailed version of the scramble operator, as in the bit-string case, leads to a speed-up of order $m^{\Theta(m)}$ on jump functions with jump size~$m$.%
There are many important high dimensional function classes that have fast agnostic learning algorithms when strong assumptions on the distribution of examples can be made, such as Gaussianity or uniformity over the domain. But how can one be sufficiently confident that the data indeed satisfies the distributional assumption, so that one can trust in the output quality of the agnostic learning algorithm? We propose a model by which to systematically study the design of tester-learner pairs $(\mathcal{A},\mathcal{T})$, such that if the distribution on examples in the data passes the tester $\mathcal{T}$ then one can safely trust the output of the agnostic learner $\mathcal{A}$ on the data. To demonstrate the power of the model, we apply it to the classical problem of agnostically learning halfspaces under the standard Gaussian distribution and present a tester-learner pair with a combined run-time of $n^{\tilde{O}(1/\epsilon^4)}$. This qualitatively matches that of the best known ordinary agnostic learning algorithms for this task. In contrast, finite sample Gaussian distribution testers do not exist for the $L_1$ and EMD distance measures. A key step in the analysis is a novel characterization of concentration and anti-concentration properties of a distribution whose low-degree moments approximately match those of a Gaussian. We also use tools from polynomial approximation theory. In contrast, we show strong lower bounds on the combined run-times of tester-learner pairs for the problems of agnostically learning convex sets under the Gaussian distribution and for monotone Boolean functions under the uniform distribution over $\{0,1\}^n$. Through these lower bounds we exhibit natural problems where there is a dramatic gap between standard agnostic learning run-time and the run-time of the best tester-learner pair.
We present a novel static analysis technique to derive higher moments for program variables for a large class of probabilistic loops with potentially uncountable state spaces. Our approach is fully automatic, meaning it does not rely on externally provided invariants or templates. We employ algebraic techniques based on linear recurrences and introduce program transformations to simplify probabilistic programs while preserving their statistical properties. We develop power reduction techniques to further simplify the polynomial arithmetic of probabilistic programs and define the theory of moment-computable probabilistic loops for which higher moments can precisely be computed. Our work has applications towards recovering probability distributions of random variables and computing tail probabilities. The empirical evaluation of our results demonstrates the applicability of our work on many challenging examples.
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