1,936 research outputs found
Information-theoretic lower bounds on the oracle complexity of stochastic convex optimization
Relative to the large literature on upper bounds on complexity of convex
optimization, lesser attention has been paid to the fundamental hardness of
these problems. Given the extensive use of convex optimization in machine
learning and statistics, gaining an understanding of these complexity-theoretic
issues is important. In this paper, we study the complexity of stochastic
convex optimization in an oracle model of computation. We improve upon known
results and obtain tight minimax complexity estimates for various function
classes
Information-based complexity, feedback and dynamics in convex programming
We study the intrinsic limitations of sequential convex optimization through
the lens of feedback information theory. In the oracle model of optimization,
an algorithm queries an {\em oracle} for noisy information about the unknown
objective function, and the goal is to (approximately) minimize every function
in a given class using as few queries as possible. We show that, in order for a
function to be optimized, the algorithm must be able to accumulate enough
information about the objective. This, in turn, puts limits on the speed of
optimization under specific assumptions on the oracle and the type of feedback.
Our techniques are akin to the ones used in statistical literature to obtain
minimax lower bounds on the risks of estimation procedures; the notable
difference is that, unlike in the case of i.i.d. data, a sequential
optimization algorithm can gather observations in a {\em controlled} manner, so
that the amount of information at each step is allowed to change in time. In
particular, we show that optimization algorithms often obey the law of
diminishing returns: the signal-to-noise ratio drops as the optimization
algorithm approaches the optimum. To underscore the generality of the tools, we
use our approach to derive fundamental lower bounds for a certain active
learning problem. Overall, the present work connects the intuitive notions of
information in optimization, experimental design, estimation, and active
learning to the quantitative notion of Shannon information.Comment: final version; to appear in IEEE Transactions on Information Theor
Lower Bounds on the Oracle Complexity of Nonsmooth Convex Optimization via Information Theory
We present an information-theoretic approach to lower bound the oracle
complexity of nonsmooth black box convex optimization, unifying previous lower
bounding techniques by identifying a combinatorial problem, namely string
guessing, as a single source of hardness. As a measure of complexity we use
distributional oracle complexity, which subsumes randomized oracle complexity
as well as worst-case oracle complexity. We obtain strong lower bounds on
distributional oracle complexity for the box , as well as for the
-ball for (for both low-scale and large-scale regimes),
matching worst-case upper bounds, and hence we close the gap between
distributional complexity, and in particular, randomized complexity, and
worst-case complexity. Furthermore, the bounds remain essentially the same for
high-probability and bounded-error oracle complexity, and even for combination
of the two, i.e., bounded-error high-probability oracle complexity. This
considerably extends the applicability of known bounds
Graph Oracle Models, Lower Bounds, and Gaps for Parallel Stochastic Optimization
We suggest a general oracle-based framework that captures different parallel
stochastic optimization settings described by a dependency graph, and derive
generic lower bounds in terms of this graph. We then use the framework and
derive lower bounds for several specific parallel optimization settings,
including delayed updates and parallel processing with intermittent
communication. We highlight gaps between lower and upper bounds on the oracle
complexity, and cases where the "natural" algorithms are not known to be
optimal
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