Non-convex Optimization for Machine Learning

A vast majority of machine learning algorithms train their models and perform inference by solving optimization problems. In order to capture the learning and prediction problems accurately, structural constraints such as sparsity or low rank are frequently imposed or else the objective itself is designed to be a non-convex function. This is especially true of algorithms that operate in high-dimensional spaces or that train non-linear models such as tensor models and deep networks. The freedom to express the learning problem as a non-convex optimization problem gives immense modeling power to the algorithm designer, but often such problems are NP-hard to solve. A popular workaround to this has been to relax non-convex problems to convex ones and use traditional methods to solve the (convex) relaxed optimization problems. However this approach may be lossy and nevertheless presents significant challenges for large scale optimization. On the other hand, direct approaches to non-convex optimization have met with resounding success in several domains and remain the methods of choice for the practitioner, as they frequently outperform relaxation-based techniques - popular heuristics include projected gradient descent and alternating minimization. However, these are often poorly understood in terms of their convergence and other properties. This monograph presents a selection of recent advances that bridge a long-standing gap in our understanding of these heuristics. The monograph will lead the reader through several widely used non-convex optimization techniques, as well as applications thereof. The goal of this monograph is to both, introduce the rich literature in this area, as well as equip the reader with the tools and techniques needed to analyze these simple procedures for non-convex problems.Comment: The official publication is available from now publishers via http://dx.doi.org/10.1561/220000005

Advanced Probabilistic Couplings for Differential Privacy

Differential privacy is a promising formal approach to data privacy, which provides a quantitative bound on the privacy cost of an algorithm that operates on sensitive information. Several tools have been developed for the formal verification of differentially private algorithms, including program logics and type systems. However, these tools do not capture fundamental techniques that have emerged in recent years, and cannot be used for reasoning about cutting-edge differentially private algorithms. Existing techniques fail to handle three broad classes of algorithms: 1) algorithms where privacy depends accuracy guarantees, 2) algorithms that are analyzed with the advanced composition theorem, which shows slower growth in the privacy cost, 3) algorithms that interactively accept adaptive inputs. We address these limitations with a new formalism extending apRHL, a relational program logic that has been used for proving differential privacy of non-interactive algorithms, and incorporating aHL, a (non-relational) program logic for accuracy properties. We illustrate our approach through a single running example, which exemplifies the three classes of algorithms and explores new variants of the Sparse Vector technique, a well-studied algorithm from the privacy literature. We implement our logic in EasyCrypt, and formally verify privacy. We also introduce a novel coupling technique called \emph{optimal subset coupling} that may be of independent interest

Large Scale Clustering with Variational EM for Gaussian Mixture Models

How can we efficiently find large numbers of clusters in large data sets with high-dimensional data points? Our aim is to explore the current efficiency and large-scale limits in fitting a parametric model for clustering to data distributions. To do so, we combine recent lines of research which have previously focused on separate specific methods for complexity reduction. We first show theoretically how the clustering objective of variational EM (which reduces complexity for many clusters) can be combined with coreset objectives (which reduce complexity for many data points). Secondly, we realize a concrete highly efficient iterative procedure which combines and translates the theoretical complexity gains of truncated variational EM and coresets into a practical algorithm. For very large scales, the high efficiency of parameter updates then requires (A) highly efficient coreset construction and (B) highly efficient initialization procedures (seeding) in order to avoid computational bottlenecks. Fortunately very efficient coreset construction has become available in the form of light-weight coresets, and very efficient initialization has become available in the form of AFK-MC$^2$ seeding. The resulting algorithm features balanced computational costs across all constituting components. In applications to standard large-scale benchmarks for clustering, we investigate the algorithm's efficiency/quality trade-off. Compared to the best recent approaches, we observe speedups of up to one order of magnitude, and up to two orders of magnitude compared to the $k$-means++ baseline. To demonstrate that the observed efficiency enables previously considered unfeasible applications, we cluster the entire and unscaled 80 Mio. Tiny Images dataset into up to 32,000 clusters. To the knowledge of the authors, this represents the largest scale fit of a parametric data model for clustering reported so far

Sketching for Large-Scale Learning of Mixture Models

Learning parameters from voluminous data can be prohibitive in terms of memory and computational requirements. We propose a "compressive learning" framework where we estimate model parameters from a sketch of the training data. This sketch is a collection of generalized moments of the underlying probability distribution of the data. It can be computed in a single pass on the training set, and is easily computable on streams or distributed datasets. The proposed framework shares similarities with compressive sensing, which aims at drastically reducing the dimension of high-dimensional signals while preserving the ability to reconstruct them. To perform the estimation task, we derive an iterative algorithm analogous to sparse reconstruction algorithms in the context of linear inverse problems. We exemplify our framework with the compressive estimation of a Gaussian Mixture Model (GMM), providing heuristics on the choice of the sketching procedure and theoretical guarantees of reconstruction. We experimentally show on synthetic data that the proposed algorithm yields results comparable to the classical Expectation-Maximization (EM) technique while requiring significantly less memory and fewer computations when the number of database elements is large. We further demonstrate the potential of the approach on real large-scale data (over 10 8 training samples) for the task of model-based speaker verification. Finally, we draw some connections between the proposed framework and approximate Hilbert space embedding of probability distributions using random features. We show that the proposed sketching operator can be seen as an innovative method to design translation-invariant kernels adapted to the analysis of GMMs. We also use this theoretical framework to derive information preservation guarantees, in the spirit of infinite-dimensional compressive sensing

Model selection and local geometry

We consider problems in model selection caused by the geometry of models close to their points of intersection. In some cases---including common classes of causal or graphical models, as well as time series models---distinct models may nevertheless have identical tangent spaces. This has two immediate consequences: first, in order to obtain constant power to reject one model in favour of another we need local alternative hypotheses that decrease to the null at a slower rate than the usual parametric $n^{-1/2}$ (typically we will require $n^{-1/4}$ or slower); in other words, to distinguish between the models we need large effect sizes or very large sample sizes. Second, we show that under even weaker conditions on their tangent cones, models in these classes cannot be made simultaneously convex by a reparameterization. This shows that Bayesian network models, amongst others, cannot be learned directly with a convex method similar to the graphical lasso. However, we are able to use our results to suggest methods for model selection that learn the tangent space directly, rather than the model itself. In particular, we give a generic algorithm for learning Bayesian network models