Let's Make Block Coordinate Descent Go Fast: Faster Greedy Rules, Message-Passing, Active-Set Complexity, and Superlinear Convergence

Block coordinate descent (BCD) methods are widely-used for large-scale numerical optimization because of their cheap iteration costs, low memory requirements, amenability to parallelization, and ability to exploit problem structure. Three main algorithmic choices influence the performance of BCD methods: the block partitioning strategy, the block selection rule, and the block update rule. In this paper we explore all three of these building blocks and propose variations for each that can lead to significantly faster BCD methods. We (i) propose new greedy block-selection strategies that guarantee more progress per iteration than the Gauss-Southwell rule; (ii) explore practical issues like how to implement the new rules when using "variable" blocks; (iii) explore the use of message-passing to compute matrix or Newton updates efficiently on huge blocks for problems with a sparse dependency between variables; and (iv) consider optimal active manifold identification, which leads to bounds on the "active set complexity" of BCD methods and leads to superlinear convergence for certain problems with sparse solutions (and in some cases finite termination at an optimal solution). We support all of our findings with numerical results for the classic machine learning problems of least squares, logistic regression, multi-class logistic regression, label propagation, and L1-regularization

Structured Sparsity: Discrete and Convex approaches

Compressive sensing (CS) exploits sparsity to recover sparse or compressible signals from dimensionality reducing, non-adaptive sensing mechanisms. Sparsity is also used to enhance interpretability in machine learning and statistics applications: While the ambient dimension is vast in modern data analysis problems, the relevant information therein typically resides in a much lower dimensional space. However, many solutions proposed nowadays do not leverage the true underlying structure. Recent results in CS extend the simple sparsity idea to more sophisticated {\em structured} sparsity models, which describe the interdependency between the nonzero components of a signal, allowing to increase the interpretability of the results and lead to better recovery performance. In order to better understand the impact of structured sparsity, in this chapter we analyze the connections between the discrete models and their convex relaxations, highlighting their relative advantages. We start with the general group sparse model and then elaborate on two important special cases: the dispersive and the hierarchical models. For each, we present the models in their discrete nature, discuss how to solve the ensuing discrete problems and then describe convex relaxations. We also consider more general structures as defined by set functions and present their convex proxies. Further, we discuss efficient optimization solutions for structured sparsity problems and illustrate structured sparsity in action via three applications.Comment: 30 pages, 18 figure

Gravitational wave surrogates through automated machine learning

We analyze a prospect for predicting gravitational waveforms from compact binaries based on automated machine learning (AutoML) from around a hundred different possible regression models, without having to resort to tedious and manual case-by-case analyses and fine-tuning. The particular study of this article is within the context of the gravitational waves emitted by the collision of two spinless black holes in initial quasi-circular orbit. We find, for example, that approaches such as Gaussian process regression with radial bases as kernels, an approach which is generalizable to multiple dimensions with low computational evaluation cost, do provide a sufficiently accurate solution. The results here presented suggest that AutoML might provide a framework for regression in the field of surrogates for gravitational waveforms. Our study is within the context of surrogates of numerical relativity simulations based on reduced basis and the empirical interpolation method, where we find that for the particular case analyzed AutoML can produce surrogates which are essentially indistinguishable from the NR simulations themselves.Fil: Barsotti, Damián. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; ArgentinaFil: Cerino, Franco. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Córdoba; ArgentinaFil: Tiglio, Manuel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Córdoba; Argentina. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; ArgentinaFil: Villanueva, Uziel Aarón. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Córdoba; Argentin