18,749 research outputs found
On the mean square error of randomized averaging algorithms
This paper regards randomized discrete-time consensus systems that preserve
the average "on average". As a main result, we provide an upper bound on the
mean square deviation of the consensus value from the initial average. Then, we
apply our result to systems where few or weakly correlated interactions take
place: these assumptions cover several algorithms proposed in the literature.
For such systems we show that, when the network size grows, the deviation tends
to zero, and the speed of this decay is not slower than the inverse of the
size. Our results are based on a new approach, which is unrelated to the
convergence properties of the system.Comment: 11 pages. to appear as a journal publicatio
Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
We study a random sampling technique to approximate integrals
by averaging the function
at some sampling points. We focus on cases where the integrand is smooth, which
is a problem which occurs in statistics. The convergence rate of the
approximation error depends on the smoothness of the function and the
sampling technique. For instance, Monte Carlo (MC) sampling yields a
convergence of the root mean square error (RMSE) of order (where
is the number of samples) for functions with finite variance. Randomized
QMC (RQMC), a combination of MC and quasi-Monte Carlo (QMC), achieves a RMSE of
order under the stronger assumption that the integrand
has bounded variation. A combination of RQMC with local antithetic sampling
achieves a convergence of the RMSE of order (where
is the dimension) for functions with mixed partial derivatives up to
order two. Additional smoothness of the integrand does not improve the rate of
convergence of these algorithms in general. On the other hand, it is known that
without additional smoothness of the integrand it is not possible to improve
the convergence rate. This paper introduces a new RQMC algorithm, for which we
prove that it achieves a convergence of the root mean square error (RMSE) of
order provided the integrand satisfies the strong
assumption that it has square integrable partial mixed derivatives up to order
in each variable. Known lower bounds on the RMSE show that this rate
of convergence cannot be improved in general for integrands with this
smoothness. We provide numerical examples for which the RMSE converges
approximately with order and , in accordance with the
theoretical upper bound.Comment: Published in at http://dx.doi.org/10.1214/11-AOS880 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Gossip Algorithms for Distributed Signal Processing
Gossip algorithms are attractive for in-network processing in sensor networks
because they do not require any specialized routing, there is no bottleneck or
single point of failure, and they are robust to unreliable wireless network
conditions. Recently, there has been a surge of activity in the computer
science, control, signal processing, and information theory communities,
developing faster and more robust gossip algorithms and deriving theoretical
performance guarantees. This article presents an overview of recent work in the
area. We describe convergence rate results, which are related to the number of
transmitted messages and thus the amount of energy consumed in the network for
gossiping. We discuss issues related to gossiping over wireless links,
including the effects of quantization and noise, and we illustrate the use of
gossip algorithms for canonical signal processing tasks including distributed
estimation, source localization, and compression.Comment: Submitted to Proceedings of the IEEE, 29 page
The asymptotical error of broadcast gossip averaging algorithms
In problems of estimation and control which involve a network, efficient
distributed computation of averages is a key issue. This paper presents
theoretical and simulation results about the accumulation of errors during the
computation of averages by means of iterative "broadcast gossip" algorithms.
Using martingale theory, we prove that the expectation of the accumulated error
can be bounded from above by a quantity which only depends on the mixing
parameter of the algorithm and on few properties of the network: its size, its
maximum degree and its spectral gap. Both analytical results and computer
simulations show that in several network topologies of applicative interest the
accumulated error goes to zero as the size of the network grows large.Comment: 10 pages, 3 figures. Based on a draft submitted to IFACWC201
Ergodic Randomized Algorithms and Dynamics over Networks
Algorithms and dynamics over networks often involve randomization, and
randomization may result in oscillating dynamics which fail to converge in a
deterministic sense. In this paper, we observe this undesired feature in three
applications, in which the dynamics is the randomized asynchronous counterpart
of a well-behaved synchronous one. These three applications are network
localization, PageRank computation, and opinion dynamics. Motivated by their
formal similarity, we show the following general fact, under the assumptions of
independence across time and linearities of the updates: if the expected
dynamics is stable and converges to the same limit of the original synchronous
dynamics, then the oscillations are ergodic and the desired limit can be
locally recovered via time-averaging.Comment: 11 pages; submitted for publication. revised version with fixed
technical flaw and updated reference
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