9,406 research outputs found
Manifold Optimization Over the Set of Doubly Stochastic Matrices: A Second-Order Geometry
Convex optimization is a well-established research area with applications in
almost all fields. Over the decades, multiple approaches have been proposed to
solve convex programs. The development of interior-point methods allowed
solving a more general set of convex programs known as semi-definite programs
and second-order cone programs. However, it has been established that these
methods are excessively slow for high dimensions, i.e., they suffer from the
curse of dimensionality. On the other hand, optimization algorithms on manifold
have shown great ability in finding solutions to nonconvex problems in
reasonable time. This paper is interested in solving a subset of convex
optimization using a different approach. The main idea behind Riemannian
optimization is to view the constrained optimization problem as an
unconstrained one over a restricted search space. The paper introduces three
manifolds to solve convex programs under particular box constraints. The
manifolds, called the doubly stochastic, symmetric and the definite multinomial
manifolds, generalize the simplex also known as the multinomial manifold. The
proposed manifolds and algorithms are well-adapted to solving convex programs
in which the variable of interest is a multidimensional probability
distribution function. Theoretical analysis and simulation results testify the
efficiency of the proposed method over state of the art methods. In particular,
they reveal that the proposed framework outperforms conventional generic and
specialized solvers, especially in high dimensions
Causal Inference by Stochastic Complexity
The algorithmic Markov condition states that the most likely causal direction
between two random variables X and Y can be identified as that direction with
the lowest Kolmogorov complexity. Due to the halting problem, however, this
notion is not computable.
We hence propose to do causal inference by stochastic complexity. That is, we
propose to approximate Kolmogorov complexity via the Minimum Description Length
(MDL) principle, using a score that is mini-max optimal with regard to the
model class under consideration. This means that even in an adversarial
setting, such as when the true distribution is not in this class, we still
obtain the optimal encoding for the data relative to the class.
We instantiate this framework, which we call CISC, for pairs of univariate
discrete variables, using the class of multinomial distributions. Experiments
show that CISC is highly accurate on synthetic, benchmark, as well as
real-world data, outperforming the state of the art by a margin, and scales
extremely well with regard to sample and domain sizes
Hybrid Deterministic-Stochastic Methods for Data Fitting
Many structured data-fitting applications require the solution of an
optimization problem involving a sum over a potentially large number of
measurements. Incremental gradient algorithms offer inexpensive iterations by
sampling a subset of the terms in the sum. These methods can make great
progress initially, but often slow as they approach a solution. In contrast,
full-gradient methods achieve steady convergence at the expense of evaluating
the full objective and gradient on each iteration. We explore hybrid methods
that exhibit the benefits of both approaches. Rate-of-convergence analysis
shows that by controlling the sample size in an incremental gradient algorithm,
it is possible to maintain the steady convergence rates of full-gradient
methods. We detail a practical quasi-Newton implementation based on this
approach. Numerical experiments illustrate its potential benefits.Comment: 26 pages. Revised proofs of Theorems 2.6 and 3.1, results unchange
A Scalable Asynchronous Distributed Algorithm for Topic Modeling
Learning meaningful topic models with massive document collections which
contain millions of documents and billions of tokens is challenging because of
two reasons: First, one needs to deal with a large number of topics (typically
in the order of thousands). Second, one needs a scalable and efficient way of
distributing the computation across multiple machines. In this paper we present
a novel algorithm F+Nomad LDA which simultaneously tackles both these problems.
In order to handle large number of topics we use an appropriately modified
Fenwick tree. This data structure allows us to sample from a multinomial
distribution over items in time. Moreover, when topic counts
change the data structure can be updated in time. In order to
distribute the computation across multiple processor we present a novel
asynchronous framework inspired by the Nomad algorithm of
\cite{YunYuHsietal13}. We show that F+Nomad LDA significantly outperform
state-of-the-art on massive problems which involve millions of documents,
billions of words, and thousands of topics
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