1,468 research outputs found
Episodic Logit-Q Dynamics for Efficient Learning in Stochastic Teams
We present new learning dynamics combining (independent) log-linear learning
and value iteration for stochastic games within the auxiliary stage game
framework. The dynamics presented provably attain the efficient equilibrium
(also known as optimal equilibrium) in identical-interest stochastic games,
beyond the recent concentration of progress on provable convergence to some
(possibly inefficient) equilibrium. The dynamics are also independent in the
sense that agents take actions consistent with their local viewpoint to a
reasonable extent rather than seeking equilibrium. These aspects can be of
practical interest in the control applications of intelligent and autonomous
systems. The key challenges are the convergence to an inefficient equilibrium
and the non-stationarity of the environment from a single agent's viewpoint due
to the adaptation of others. The log-linear update plays an important role in
addressing the former. We address the latter through the play-in-episodes
scheme in which the agents update their Q-function estimates only at the end of
the episodes
Isometric sketching of any set via the Restricted Isometry Property
In this paper we show that for the purposes of dimensionality reduction
certain class of structured random matrices behave similarly to random Gaussian
matrices. This class includes several matrices for which matrix-vector multiply
can be computed in log-linear time, providing efficient dimensionality
reduction of general sets. In particular, we show that using such matrices any
set from high dimensions can be embedded into lower dimensions with near
optimal distortion. We obtain our results by connecting dimensionality
reduction of any set to dimensionality reduction of sparse vectors via a
chaining argument.Comment: 17 page
Optimal uncertainty quantification for legacy data observations of Lipschitz functions
We consider the problem of providing optimal uncertainty quantification (UQ)
--- and hence rigorous certification --- for partially-observed functions. We
present a UQ framework within which the observations may be small or large in
number, and need not carry information about the probability distribution of
the system in operation. The UQ objectives are posed as optimization problems,
the solutions of which are optimal bounds on the quantities of interest; we
consider two typical settings, namely parameter sensitivities (McDiarmid
diameters) and output deviation (or failure) probabilities. The solutions of
these optimization problems depend non-trivially (even non-monotonically and
discontinuously) upon the specified legacy data. Furthermore, the extreme
values are often determined by only a few members of the data set; in our
principal physically-motivated example, the bounds are determined by just 2 out
of 32 data points, and the remainder carry no information and could be
neglected without changing the final answer. We propose an analogue of the
simplex algorithm from linear programming that uses these observations to offer
efficient and rigorous UQ for high-dimensional systems with high-cardinality
legacy data. These findings suggest natural methods for selecting optimal
(maximally informative) next experiments.Comment: 38 page
Algorithmic patterns for -matrices on many-core processors
In this work, we consider the reformulation of hierarchical ()
matrix algorithms for many-core processors with a model implementation on
graphics processing units (GPUs). matrices approximate specific
dense matrices, e.g., from discretized integral equations or kernel ridge
regression, leading to log-linear time complexity in dense matrix-vector
products. The parallelization of matrix operations on many-core
processors is difficult due to the complex nature of the underlying algorithms.
While previous algorithmic advances for many-core hardware focused on
accelerating existing matrix CPU implementations by many-core
processors, we here aim at totally relying on that processor type. As main
contribution, we introduce the necessary parallel algorithmic patterns allowing
to map the full matrix construction and the fast matrix-vector
product to many-core hardware. Here, crucial ingredients are space filling
curves, parallel tree traversal and batching of linear algebra operations. The
resulting model GPU implementation hmglib is the, to the best of the authors
knowledge, first entirely GPU-based Open Source matrix library of
this kind. We conclude this work by an in-depth performance analysis and a
comparative performance study against a standard matrix library,
highlighting profound speedups of our many-core parallel approach
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