7,588 research outputs found
Linear Convergence of Comparison-based Step-size Adaptive Randomized Search via Stability of Markov Chains
In this paper, we consider comparison-based adaptive stochastic algorithms
for solving numerical optimisation problems. We consider a specific subclass of
algorithms that we call comparison-based step-size adaptive randomized search
(CB-SARS), where the state variables at a given iteration are a vector of the
search space and a positive parameter, the step-size, typically controlling the
overall standard deviation of the underlying search distribution.We investigate
the linear convergence of CB-SARS on\emph{scaling-invariant} objective
functions. Scaling-invariantfunctions preserve the ordering of points with
respect to their functionvalue when the points are scaled with the same
positive parameter (thescaling is done w.r.t. a fixed reference point). This
class offunctions includes norms composed with strictly increasing functions
aswell as many non quasi-convex and non-continuousfunctions. On
scaling-invariant functions, we show the existence of ahomogeneous Markov
chain, as a consequence of natural invarianceproperties of CB-SARS (essentially
scale-invariance and invariance tostrictly increasing transformation of the
objective function). We thenderive sufficient conditions for \emph{global
linear convergence} ofCB-SARS, expressed in terms of different stability
conditions of thenormalised homogeneous Markov chain (irreducibility,
positivity, Harrisrecurrence, geometric ergodicity) and thus define a general
methodologyfor proving global linear convergence of CB-SARS algorithms
onscaling-invariant functions. As a by-product we provide aconnexion between
comparison-based adaptive stochasticalgorithms and Markov chain Monte Carlo
algorithms.Comment: SIAM Journal on Optimization, Society for Industrial and Applied
Mathematics, 201
Parallel Algorithm for Solving Kepler's Equation on Graphics Processing Units: Application to Analysis of Doppler Exoplanet Searches
[Abridged] We present the results of a highly parallel Kepler equation solver
using the Graphics Processing Unit (GPU) on a commercial nVidia GeForce 280GTX
and the "Compute Unified Device Architecture" programming environment. We apply
this to evaluate a goodness-of-fit statistic (e.g., chi^2) for Doppler
observations of stars potentially harboring multiple planetary companions
(assuming negligible planet-planet interactions). We tested multiple
implementations using single precision, double precision, pairs of single
precision, and mixed precision arithmetic. We find that the vast majority of
computations can be performed using single precision arithmetic, with selective
use of compensated summation for increased precision. However, standard single
precision is not adequate for calculating the mean anomaly from the time of
observation and orbital period when evaluating the goodness-of-fit for real
planetary systems and observational data sets. Using all double precision, our
GPU code outperforms a similar code using a modern CPU by a factor of over 60.
Using mixed-precision, our GPU code provides a speed-up factor of over 600,
when evaluating N_sys > 1024 models planetary systems each containing N_pl = 4
planets and assuming N_obs = 256 observations of each system. We conclude that
modern GPUs also offer a powerful tool for repeatedly evaluating Kepler's
equation and a goodness-of-fit statistic for orbital models when presented with
a large parameter space.Comment: 19 pages, to appear in New Astronom
Sequential Design for Ranking Response Surfaces
We propose and analyze sequential design methods for the problem of ranking
several response surfaces. Namely, given response surfaces over a
continuous input space , the aim is to efficiently find the index of
the minimal response across the entire . The response surfaces are not
known and have to be noisily sampled one-at-a-time. This setting is motivated
by stochastic control applications and requires joint experimental design both
in space and response-index dimensions. To generate sequential design
heuristics we investigate stepwise uncertainty reduction approaches, as well as
sampling based on posterior classification complexity. We also make connections
between our continuous-input formulation and the discrete framework of pure
regret in multi-armed bandits. To model the response surfaces we utilize
kriging surrogates. Several numerical examples using both synthetic data and an
epidemics control problem are provided to illustrate our approach and the
efficacy of respective adaptive designs.Comment: 26 pages, 7 figures (updated several sections and figures
Channel-Optimized Vector Quantizer Design for Compressed Sensing Measurements
We consider vector-quantized (VQ) transmission of compressed sensing (CS)
measurements over noisy channels. Adopting mean-square error (MSE) criterion to
measure the distortion between a sparse vector and its reconstruction, we
derive channel-optimized quantization principles for encoding CS measurement
vector and reconstructing sparse source vector. The resulting necessary optimal
conditions are used to develop an algorithm for training channel-optimized
vector quantization (COVQ) of CS measurements by taking the end-to-end
distortion measure into account.Comment: Published in ICASSP 201
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