12,007 research outputs found
Snake: a Stochastic Proximal Gradient Algorithm for Regularized Problems over Large Graphs
A regularized optimization problem over a large unstructured graph is
studied, where the regularization term is tied to the graph geometry. Typical
regularization examples include the total variation and the Laplacian
regularizations over the graph. When applying the proximal gradient algorithm
to solve this problem, there exist quite affordable methods to implement the
proximity operator (backward step) in the special case where the graph is a
simple path without loops. In this paper, an algorithm, referred to as "Snake",
is proposed to solve such regularized problems over general graphs, by taking
benefit of these fast methods. The algorithm consists in properly selecting
random simple paths in the graph and performing the proximal gradient algorithm
over these simple paths. This algorithm is an instance of a new general
stochastic proximal gradient algorithm, whose convergence is proven.
Applications to trend filtering and graph inpainting are provided among others.
Numerical experiments are conducted over large graphs
Escaping the Local Minima via Simulated Annealing: Optimization of Approximately Convex Functions
We consider the problem of optimizing an approximately convex function over a
bounded convex set in using only function evaluations. The
problem is reduced to sampling from an \emph{approximately} log-concave
distribution using the Hit-and-Run method, which is shown to have the same
complexity as sampling from log-concave distributions. In
addition to extend the analysis for log-concave distributions to approximate
log-concave distributions, the implementation of the 1-dimensional sampler of
the Hit-and-Run walk requires new methods and analysis. The algorithm then is
based on simulated annealing which does not relies on first order conditions
which makes it essentially immune to local minima.
We then apply the method to different motivating problems. In the context of
zeroth order stochastic convex optimization, the proposed method produces an
-minimizer after noisy function
evaluations by inducing a -approximately log concave
distribution. We also consider in detail the case when the "amount of
non-convexity" decays towards the optimum of the function. Other applications
of the method discussed in this work include private computation of empirical
risk minimizers, two-stage stochastic programming, and approximate dynamic
programming for online learning.Comment: 27 page
Dual Averaging for Distributed Optimization: Convergence Analysis and Network Scaling
The goal of decentralized optimization over a network is to optimize a global
objective formed by a sum of local (possibly nonsmooth) convex functions using
only local computation and communication. It arises in various application
domains, including distributed tracking and localization, multi-agent
co-ordination, estimation in sensor networks, and large-scale optimization in
machine learning. We develop and analyze distributed algorithms based on dual
averaging of subgradients, and we provide sharp bounds on their convergence
rates as a function of the network size and topology. Our method of analysis
allows for a clear separation between the convergence of the optimization
algorithm itself and the effects of communication constraints arising from the
network structure. In particular, we show that the number of iterations
required by our algorithm scales inversely in the spectral gap of the network.
The sharpness of this prediction is confirmed both by theoretical lower bounds
and simulations for various networks. Our approach includes both the cases of
deterministic optimization and communication, as well as problems with
stochastic optimization and/or communication.Comment: 40 pages, 4 figure
Stochastic Sensor Scheduling via Distributed Convex Optimization
In this paper, we propose a stochastic scheduling strategy for estimating the
states of N discrete-time linear time invariant (DTLTI) dynamic systems, where
only one system can be observed by the sensor at each time instant due to
practical resource constraints. The idea of our stochastic strategy is that a
system is randomly selected for observation at each time instant according to a
pre-assigned probability distribution. We aim to find the optimal pre-assigned
probability in order to minimize the maximal estimate error covariance among
dynamic systems. We first show that under mild conditions, the stochastic
scheduling problem gives an upper bound on the performance of the optimal
sensor selection problem, notoriously difficult to solve. We next relax the
stochastic scheduling problem into a tractable suboptimal quasi-convex form. We
then show that the new problem can be decomposed into coupled small convex
optimization problems, and it can be solved in a distributed fashion. Finally,
for scheduling implementation, we propose centralized and distributed
deterministic scheduling strategies based on the optimal stochastic solution
and provide simulation examples.Comment: Proof errors and typos are fixed. One section is removed from last
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