This paper presents an efficient reversible algorithm for linear regression, both with and without ridge regression. Our reversible algorithm matches the asymptotic time and space complexity of standard irreversible algorithms for this problem. Needed for this result is the expansion of the analysis of efficient reversible matrix multiplication to rectangular matrices and matrix inversion.
Iterative hard thresholding (IHT) has gained in popularity over the past decades in large-scale optimization. However, convergence properties of this method have only been explored recently in non-convex settings. In matrix completion, existing works often focus on the guarantee of global convergence of IHT via standard assumptions such as incoherence property and uniform sampling. While such analysis provides a global upper bound on the linear convergence rate, it does not describe the actual performance of IHT in practice. In this paper, we provide a novel insight into the local convergence of a specific variant of IHT for matrix completion. We uncover the exact linear rate of IHT in a closed-form expression and identify the region of convergence in which the algorithm is guaranteed to converge. Furthermore, we utilize random matrix theory to study the linear rate of convergence of IHTSVD for large-scale matrix completion. We find that asymptotically, the rate can be expressed in closed form in terms of the relative rank and the sampling rate. Finally, we present various numerical results to verify the aforementioned theoretical analysis.
The cost of both generalized least squares (GLS) and Gibbs sampling in a crossed random effects model can easily grow faster than $N^{3/2}$ for $N$ observations. Ghosh et al. (2020) develop a backfitting algorithm that reduces the cost to $O(N)$. Here we extend that method to a generalized linear mixed model for logistic regression. We use backfitting within an iteratively reweighted penalized least square algorithm. The specific approach is a version of penalized quasi-likelihood due to Schall (1991). A straightforward version of Schall's algorithm would also cost more than $N^{3/2}$ because it requires the trace of the inverse of a large matrix. We approximate that quantity at cost $O(N)$ and prove that this substitution makes an asymptotically negligible difference. Our backfitting algorithm also collapses the fixed effect with one random effect at a time in a way that is analogous to the collapsed Gibbs sampler of Papaspiliopoulos et al. (2020). We use a symmetric operator that facilitates efficient covariance computation. We illustrate our method on a real dataset from Stitch Fix. By properly accounting for crossed random effects we show that a naive logistic regression could underestimate sampling variances by several hundred fold.
Inspired by [4] we present a new algorithm for uniformly random generation of ordered trees in which all occuring outdegrees can be specified by a given sequence of numbers. The method can be used for random generation of binary or n-ary trees, or ones with various arities. We show that the algorithm is correct and has $O(n)$ time complexity for $n$ being the desired number of nodes in the resulting tree. In the discussion part we show how some selected formulas can be derived with the use of ideas developed in the proof of correctness of the algorithm.
In this paper we prove upper and lower bounds on the minimal spherical dispersion. In particular, we see that the inverse $N(\varepsilon,d)$ of the minimal spherical dispersion is, for fixed $\varepsilon>0$, up to logarithmic terms linear in the dimension $d$. We also derive upper and lower bounds on the expected dispersion for points chosen independently and uniformly at random from the Euclidean unit sphere.
The mutual information (MI) of Gaussian multi-input multi-output (MIMO) channels has been evaluated by utilizing random matrix theory (RMT) and shown to asymptotically follow Gaussian distribution, where the ergodic mutual information (EMI) converges to a deterministic quantity. However, with non-Gaussian channels, there is a bias between the EMI and its deterministic equivalent (DE), whose evaluation is not available in the literature. This bias of the EMI is related to the bias for the trace of the resolvent in large RMT. In this paper, we first derive the bias for the trace of the resolvent, which is further extended to compute the bias for the linear spectral statistics (LSS). Then, we apply the above results on non-Gaussian MIMO channels to determine the bias for the EMI. It is also proved that the bias for the EMI is $-0.5$ times of that for the variance of the MI. Finally, the derived bias is utilized to modify the central limit theory (CLT) and calculate the outage probability. Numerical results show that the modified CLT significantly outperforms previous methods in approximating the distribution of the MI and improves the accuracy for the outage probability evaluation.
Modern-day problems in statistics often face the challenge of exploring and analyzing complex non-Euclidean object data that do not conform to vector space structures or operations. Examples of such data objects include covariance matrices, graph Laplacians of networks, and univariate probability distribution functions. In the current contribution a new concurrent regression model is proposed to characterize the time-varying relation between an object in a general metric space (as a response) and a vector in $\reals^p$ (as a predictor), where concepts from Fr\'echet regression is employed. Concurrent regression has been a well-developed area of research for Euclidean predictors and responses, with many important applications for longitudinal studies and functional data. However, there is no such model available so far for general object data as responses. We develop generalized versions of both global least squares regression and locally weighted least squares smoothing in the context of concurrent regression for responses that are situated in general metric spaces and propose estimators that can accommodate sparse and/or irregular designs. Consistency results are demonstrated for sample estimates of appropriate population targets along with the corresponding rates of convergence. The proposed models are illustrated with human mortality data and resting state functional Magnetic Resonance Imaging data (fMRI) as responses.
Recent advances in Transformer models allow for unprecedented sequence lengths, due to linear space and time complexity. In the meantime, relative positional encoding (RPE) was proposed as beneficial for classical Transformers and consists in exploiting lags instead of absolute positions for inference. Still, RPE is not available for the recent linear-variants of the Transformer, because it requires the explicit computation of the attention matrix, which is precisely what is avoided by such methods. In this paper, we bridge this gap and present Stochastic Positional Encoding as a way to generate PE that can be used as a replacement to the classical additive (sinusoidal) PE and provably behaves like RPE. The main theoretical contribution is to make a connection between positional encoding and cross-covariance structures of correlated Gaussian processes. We illustrate the performance of our approach on the Long-Range Arena benchmark and on music generation.
Developing classification algorithms that are fair with respect to sensitive attributes of the data has become an important problem due to the growing deployment of classification algorithms in various social contexts. Several recent works have focused on fairness with respect to a specific metric, modeled the corresponding fair classification problem as a constrained optimization problem, and developed tailored algorithms to solve them. Despite this, there still remain important metrics for which we do not have fair classifiers and many of the aforementioned algorithms do not come with theoretical guarantees; perhaps because the resulting optimization problem is non-convex. The main contribution of this paper is a new meta-algorithm for classification that takes as input a large class of fairness constraints, with respect to multiple non-disjoint sensitive attributes, and which comes with provable guarantees. This is achieved by first developing a meta-algorithm for a large family of classification problems with convex constraints, and then showing that classification problems with general types of fairness constraints can be reduced to those in this family. We present empirical results that show that our algorithm can achieve near-perfect fairness with respect to various fairness metrics, and that the loss in accuracy due to the imposed fairness constraints is often small. Overall, this work unifies several prior works on fair classification, presents a practical algorithm with theoretical guarantees, and can handle fairness metrics that were previously not possible.
Many problems in areas as diverse as recommendation systems, social network analysis, semantic search, and distributed root cause analysis can be modeled as pattern search on labeled graphs (also called "heterogeneous information networks" or HINs). Given a large graph and a query pattern with node and edge label constraints, a fundamental challenge is to nd the top-k matches ac- cording to a ranking function over edge and node weights. For users, it is di cult to select value k . We therefore propose the novel notion of an any-k ranking algorithm: for a given time budget, re- turn as many of the top-ranked results as possible. Then, given additional time, produce the next lower-ranked results quickly as well. It can be stopped anytime, but may have to continues until all results are returned. This paper focuses on acyclic patterns over arbitrary labeled graphs. We are interested in practical algorithms that effectively exploit (1) properties of heterogeneous networks, in particular selective constraints on labels, and (2) that the users often explore only a fraction of the top-ranked results. Our solution, KARPET, carefully integrates aggressive pruning that leverages the acyclic nature of the query, and incremental guided search. It enables us to prove strong non-trivial time and space guarantees, which is generally considered very hard for this type of graph search problem. Through experimental studies we show that KARPET achieves running times in the order of milliseconds for tree patterns on large networks with millions of nodes and edges.
This paper presents a safety-aware learning framework that employs an adaptive model learning method together with barrier certificates for systems with possibly nonstationary agent dynamics. To extract the dynamic structure of the model, we use a sparse optimization technique, and the resulting model will be used in combination with control barrier certificates which constrain feedback controllers only when safety is about to be violated. Under some mild assumptions, solutions to the constrained feedback-controller optimization are guaranteed to be globally optimal, and the monotonic improvement of a feedback controller is thus ensured. In addition, we reformulate the (action-)value function approximation to make any kernel-based nonlinear function estimation method applicable. We then employ a state-of-the-art kernel adaptive filtering technique for the (action-)value function approximation. The resulting framework is verified experimentally on a brushbot, whose dynamics is unknown and highly complex.