Super-Linear Convergence of Dual Augmented-Lagrangian Algorithm for Sparsity Regularized Estimation

We analyze the convergence behaviour of a recently proposed algorithm for regularized estimation called Dual Augmented Lagrangian (DAL). Our analysis is based on a new interpretation of DAL as a proximal minimization algorithm. We theoretically show under some conditions that DAL converges super-linearly in a non-asymptotic and global sense. Due to a special modelling of sparse estimation problems in the context of machine learning, the assumptions we make are milder and more natural than those made in conventional analysis of augmented Lagrangian algorithms. In addition, the new interpretation enables us to generalize DAL to wide varieties of sparse estimation problems. We experimentally confirm our analysis in a large scale $\ell_1$-regularized logistic regression problem and extensively compare the efficiency of DAL algorithm to previously proposed algorithms on both synthetic and benchmark datasets.Comment: 51 pages, 9 figure

DAC: The Double Actor-Critic Architecture for Learning Options

We reformulate the option framework as two parallel augmented MDPs. Under this novel formulation, all policy optimization algorithms can be used off the shelf to learn intra-option policies, option termination conditions, and a master policy over options. We apply an actor-critic algorithm on each augmented MDP, yielding the Double Actor-Critic (DAC) architecture. Furthermore, we show that, when state-value functions are used as critics, one critic can be expressed in terms of the other, and hence only one critic is necessary. We conduct an empirical study on challenging robot simulation tasks. In a transfer learning setting, DAC outperforms both its hierarchy-free counterpart and previous gradient-based option learning algorithms.Comment: NeurIPS 201

Sampling constrained probability distributions using Spherical Augmentation

Statistical models with constrained probability distributions are abundant in machine learning. Some examples include regression models with norm constraints (e.g., Lasso), probit, many copula models, and latent Dirichlet allocation (LDA). Bayesian inference involving probability distributions confined to constrained domains could be quite challenging for commonly used sampling algorithms. In this paper, we propose a novel augmentation technique that handles a wide range of constraints by mapping the constrained domain to a sphere in the augmented space. By moving freely on the surface of this sphere, sampling algorithms handle constraints implicitly and generate proposals that remain within boundaries when mapped back to the original space. Our proposed method, called {Spherical Augmentation}, provides a mathematically natural and computationally efficient framework for sampling from constrained probability distributions. We show the advantages of our method over state-of-the-art sampling algorithms, such as exact Hamiltonian Monte Carlo, using several examples including truncated Gaussian distributions, Bayesian Lasso, Bayesian bridge regression, reconstruction of quantized stationary Gaussian process, and LDA for topic modeling.Comment: 41 pages, 13 figure

Quantum adiabatic machine learning by zooming into a region of the energy surface

Recent work has shown that quantum annealing for machine learning, referred to as QAML, can perform comparably to state-of-the-art machine learning methods with a specific application to Higgs boson classification. We propose QAML-Z, an algorithm that iteratively zooms in on a region of the energy surface by mapping the problem to a continuous space and sequentially applying quantum annealing to an augmented set of weak classifiers. Results on a programmable quantum annealer show that QAML-Z matches classical deep neural network performance at small training set sizes and reduces the performance margin between QAML and classical deep neural networks by almost 50% at large training set sizes, as measured by area under the receiver operating characteristic curve. The significant improvement of quantum annealing algorithms for machine learning and the use of a discrete quantum algorithm on a continuous optimization problem both opens a class of problems that can be solved by quantum annealers and suggests the approach in performance of near-term quantum machine learning towards classical benchmarks