71,872 research outputs found

    Parallel Successive Convex Approximation for Nonsmooth Nonconvex Optimization

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    Consider the problem of minimizing the sum of a smooth (possibly non-convex) and a convex (possibly nonsmooth) function involving a large number of variables. A popular approach to solve this problem is the block coordinate descent (BCD) method whereby at each iteration only one variable block is updated while the remaining variables are held fixed. With the recent advances in the developments of the multi-core parallel processing technology, it is desirable to parallelize the BCD method by allowing multiple blocks to be updated simultaneously at each iteration of the algorithm. In this work, we propose an inexact parallel BCD approach where at each iteration, a subset of the variables is updated in parallel by minimizing convex approximations of the original objective function. We investigate the convergence of this parallel BCD method for both randomized and cyclic variable selection rules. We analyze the asymptotic and non-asymptotic convergence behavior of the algorithm for both convex and non-convex objective functions. The numerical experiments suggest that for a special case of Lasso minimization problem, the cyclic block selection rule can outperform the randomized rule

    Minimizing Finite Sums with the Stochastic Average Gradient

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    We propose the stochastic average gradient (SAG) method for optimizing the sum of a finite number of smooth convex functions. Like stochastic gradient (SG) methods, the SAG method's iteration cost is independent of the number of terms in the sum. However, by incorporating a memory of previous gradient values the SAG method achieves a faster convergence rate than black-box SG methods. The convergence rate is improved from O(1/k^{1/2}) to O(1/k) in general, and when the sum is strongly-convex the convergence rate is improved from the sub-linear O(1/k) to a linear convergence rate of the form O(p^k) for p \textless{} 1. Further, in many cases the convergence rate of the new method is also faster than black-box deterministic gradient methods, in terms of the number of gradient evaluations. Numerical experiments indicate that the new algorithm often dramatically outperforms existing SG and deterministic gradient methods, and that the performance may be further improved through the use of non-uniform sampling strategies.Comment: Revision from January 2015 submission. Major changes: updated literature follow and discussion of subsequent work, additional Lemma showing the validity of one of the formulas, somewhat simplified presentation of Lyapunov bound, included code needed for checking proofs rather than the polynomials generated by the code, added error regions to the numerical experiment

    Lazier Than Lazy Greedy

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    Is it possible to maximize a monotone submodular function faster than the widely used lazy greedy algorithm (also known as accelerated greedy), both in theory and practice? In this paper, we develop the first linear-time algorithm for maximizing a general monotone submodular function subject to a cardinality constraint. We show that our randomized algorithm, STOCHASTIC-GREEDY, can achieve a (1−1/e−ε)(1-1/e-\varepsilon) approximation guarantee, in expectation, to the optimum solution in time linear in the size of the data and independent of the cardinality constraint. We empirically demonstrate the effectiveness of our algorithm on submodular functions arising in data summarization, including training large-scale kernel methods, exemplar-based clustering, and sensor placement. We observe that STOCHASTIC-GREEDY practically achieves the same utility value as lazy greedy but runs much faster. More surprisingly, we observe that in many practical scenarios STOCHASTIC-GREEDY does not evaluate the whole fraction of data points even once and still achieves indistinguishable results compared to lazy greedy.Comment: In Proc. Conference on Artificial Intelligence (AAAI), 201

    Encrypted statistical machine learning: new privacy preserving methods

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    We present two new statistical machine learning methods designed to learn on fully homomorphic encrypted (FHE) data. The introduction of FHE schemes following Gentry (2009) opens up the prospect of privacy preserving statistical machine learning analysis and modelling of encrypted data without compromising security constraints. We propose tailored algorithms for applying extremely random forests, involving a new cryptographic stochastic fraction estimator, and na\"{i}ve Bayes, involving a semi-parametric model for the class decision boundary, and show how they can be used to learn and predict from encrypted data. We demonstrate that these techniques perform competitively on a variety of classification data sets and provide detailed information about the computational practicalities of these and other FHE methods.Comment: 39 page
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