Learning to Optimize under Non-Stationarity

We introduce algorithms that achieve state-of-the-art \emph{dynamic regret} bounds for non-stationary linear stochastic bandit setting. It captures natural applications such as dynamic pricing and ads allocation in a changing environment. We show how the difficulty posed by the non-stationarity can be overcome by a novel marriage between stochastic and adversarial bandits learning algorithms. Defining $d,B_T,$ and $T$ as the problem dimension, the \emph{variation budget}, and the total time horizon, respectively, our main contributions are the tuned Sliding Window UCB (\texttt{SW-UCB}) algorithm with optimal $\widetilde{O}(d^{2/3}(B_T+1)^{1/3}T^{2/3})$ dynamic regret, and the tuning free bandit-over-bandit (\texttt{BOB}) framework built on top of the \texttt{SW-UCB} algorithm with best $\widetilde{O}(d^{2/3}(B_T+1)^{1/4}T^{3/4})$ dynamic regret

Dynamic reconfiguration of human brain networks during learning

Human learning is a complex phenomenon requiring flexibility to adapt existing brain function and precision in selecting new neurophysiological activities to drive desired behavior. These two attributes -- flexibility and selection -- must operate over multiple temporal scales as performance of a skill changes from being slow and challenging to being fast and automatic. Such selective adaptability is naturally provided by modular structure, which plays a critical role in evolution, development, and optimal network function. Using functional connectivity measurements of brain activity acquired from initial training through mastery of a simple motor skill, we explore the role of modularity in human learning by identifying dynamic changes of modular organization spanning multiple temporal scales. Our results indicate that flexibility, which we measure by the allegiance of nodes to modules, in one experimental session predicts the relative amount of learning in a future session. We also develop a general statistical framework for the identification of modular architectures in evolving systems, which is broadly applicable to disciplines where network adaptability is crucial to the understanding of system performance.Comment: Main Text: 19 pages, 4 figures Supplementary Materials: 34 pages, 4 figures, 3 table

Distributed Big-Data Optimization via Block Communications

We study distributed multi-agent large-scale optimization problems, wherein the cost function is composed of a smooth possibly nonconvex sum-utility plus a DC (Difference-of-Convex) regularizer. We consider the scenario where the dimension of the optimization variables is so large that optimizing and/or transmitting the entire set of variables could cause unaffordable computation and communication overhead. To address this issue, we propose the first distributed algorithm whereby agents optimize and communicate only a portion of their local variables. The scheme hinges on successive convex approximation (SCA) to handle the nonconvexity of the objective function, coupled with a novel block-signal tracking scheme, aiming at locally estimating the average of the agents' gradients. Asymptotic convergence to stationary solutions of the nonconvex problem is established. Numerical results on a sparse regression problem show the effectiveness of the proposed algorithm and the impact of the block size on its practical convergence speed and communication cost