24,200 research outputs found
Efficient Semidefinite Branch-and-Cut for MAP-MRF Inference
We propose a Branch-and-Cut (B&C) method for solving general MAP-MRF
inference problems. The core of our method is a very efficient bounding
procedure, which combines scalable semidefinite programming (SDP) and a
cutting-plane method for seeking violated constraints. In order to further
speed up the computation, several strategies have been exploited, including
model reduction, warm start and removal of inactive constraints.
We analyze the performance of the proposed method under different settings,
and demonstrate that our method either outperforms or performs on par with
state-of-the-art approaches. Especially when the connectivities are dense or
when the relative magnitudes of the unary costs are low, we achieve the best
reported results. Experiments show that the proposed algorithm achieves better
approximation than the state-of-the-art methods within a variety of time
budgets on challenging non-submodular MAP-MRF inference problems.Comment: 21 page
Inference via low-dimensional couplings
We investigate the low-dimensional structure of deterministic transformations
between random variables, i.e., transport maps between probability measures. In
the context of statistics and machine learning, these transformations can be
used to couple a tractable "reference" measure (e.g., a standard Gaussian) with
a target measure of interest. Direct simulation from the desired measure can
then be achieved by pushing forward reference samples through the map. Yet
characterizing such a map---e.g., representing and evaluating it---grows
challenging in high dimensions. The central contribution of this paper is to
establish a link between the Markov properties of the target measure and the
existence of low-dimensional couplings, induced by transport maps that are
sparse and/or decomposable. Our analysis not only facilitates the construction
of transformations in high-dimensional settings, but also suggests new
inference methodologies for continuous non-Gaussian graphical models. For
instance, in the context of nonlinear state-space models, we describe new
variational algorithms for filtering, smoothing, and sequential parameter
inference. These algorithms can be understood as the natural
generalization---to the non-Gaussian case---of the square-root
Rauch-Tung-Striebel Gaussian smoother.Comment: 78 pages, 25 figure
Getting Feasible Variable Estimates From Infeasible Ones: MRF Local Polytope Study
This paper proposes a method for construction of approximate feasible primal
solutions from dual ones for large-scale optimization problems possessing
certain separability properties. Whereas infeasible primal estimates can
typically be produced from (sub-)gradients of the dual function, it is often
not easy to project them to the primal feasible set, since the projection
itself has a complexity comparable to the complexity of the initial problem. We
propose an alternative efficient method to obtain feasibility and show that its
properties influencing the convergence to the optimum are similar to the
properties of the Euclidean projection. We apply our method to the local
polytope relaxation of inference problems for Markov Random Fields and
demonstrate its superiority over existing methods.Comment: 20 page, 4 figure
Efficient algorithms for tensor scaling, quantum marginals and moment polytopes
We present a polynomial time algorithm to approximately scale tensors of any
format to arbitrary prescribed marginals (whenever possible). This unifies and
generalizes a sequence of past works on matrix, operator and tensor scaling.
Our algorithm provides an efficient weak membership oracle for the associated
moment polytopes, an important family of implicitly-defined convex polytopes
with exponentially many facets and a wide range of applications. These include
the entanglement polytopes from quantum information theory (in particular, we
obtain an efficient solution to the notorious one-body quantum marginal
problem) and the Kronecker polytopes from representation theory (which capture
the asymptotic support of Kronecker coefficients). Our algorithm can be applied
to succinct descriptions of the input tensor whenever the marginals can be
efficiently computed, as in the important case of matrix product states or
tensor-train decompositions, widely used in computational physics and numerical
mathematics.
We strengthen and generalize the alternating minimization approach of
previous papers by introducing the theory of highest weight vectors from
representation theory into the numerical optimization framework. We show that
highest weight vectors are natural potential functions for scaling algorithms
and prove new bounds on their evaluations to obtain polynomial-time
convergence. Our techniques are general and we believe that they will be
instrumental to obtain efficient algorithms for moment polytopes beyond the
ones consider here, and more broadly, for other optimization problems
possessing natural symmetries
Optimal Skorokhod embedding under finitely-many marginal constraints
The Skorokhod embedding problem aims to represent a given probability measure
on the real line as the distribution of Brownian motion stopped at a chosen
stopping time. In this paper, we consider an extension of the optimal Skorokhod
embedding problem to the case of finitely-many marginal constraints. Using the
classical convex duality approach together with the optimal stopping theory, we
obtain the duality results which are formulated by means of probability
measures on an enlarged space. We also relate these results to the problem of
martingale optimal transport under multiple marginal constraints
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