Hyper-differential sensitivity analysis with respect to model discrepancy: Mathematics and computation

Model discrepancy, defined as the difference between model predictions and reality, is ubiquitous in computational models for physical systems. It is common to derive partial differential equations (PDEs) from first principles physics, but make simplifying assumptions to produce tractable expressions for the governing equations or closure models. These PDEs are then used for analysis and design to achieve desirable performance. For instance, the end goal may be to solve a PDE-constrained optimization (PDECO) problem. This article considers the sensitivity of PDECO problems with respect to model discrepancy. We introduce a general representation of the discrepancy and apply post-optimality sensitivity analysis to derive an expression for the sensitivity of the optimal solution with respect to the discrepancy. An efficient algorithm is presented which combines the PDE discretization, post-optimality sensitivity operator, adjoint-based derivatives, and a randomized generalized singular value decomposition to enable scalable computation. Kronecker product structure in the underlying linear algebra and corresponding infrastructure in PDECO is exploited to yield a general purpose algorithm which is computationally efficient and portable across a range of applications. Known physics and problem specific characteristics of discrepancy are imposed through user specified weighting matrices. We demonstrate our proposed framework on two nonlinear PDECO problems to highlight its computational efficiency and rich insight

Efficient Batch Query Answering Under Differential Privacy

Differential privacy is a rigorous privacy condition achieved by randomizing query answers. This paper develops efficient algorithms for answering multiple queries under differential privacy with low error. We pursue this goal by advancing a recent approach called the matrix mechanism, which generalizes standard differentially private mechanisms. This new mechanism works by first answering a different set of queries (a strategy) and then inferring the answers to the desired workload of queries. Although a few strategies are known to work well on specific workloads, finding the strategy which minimizes error on an arbitrary workload is intractable. We prove a new lower bound on the optimal error of this mechanism, and we propose an efficient algorithm that approaches this bound for a wide range of workloads.Comment: 6 figues, 22 page

Penalized Orthogonal Iteration for Sparse Estimation of Generalized Eigenvalue Problem

We propose a new algorithm for sparse estimation of eigenvectors in generalized eigenvalue problems (GEP). The GEP arises in a number of modern data-analytic situations and statistical methods, including principal component analysis (PCA), multiclass linear discriminant analysis (LDA), canonical correlation analysis (CCA), sufficient dimension reduction (SDR) and invariant co-ordinate selection. We propose to modify the standard generalized orthogonal iteration with a sparsity-inducing penalty for the eigenvectors. To achieve this goal, we generalize the equation-solving step of orthogonal iteration to a penalized convex optimization problem. The resulting algorithm, called penalized orthogonal iteration, provides accurate estimation of the true eigenspace, when it is sparse. Also proposed is a computationally more efficient alternative, which works well for PCA and LDA problems. Numerical studies reveal that the proposed algorithms are competitive, and that our tuning procedure works well. We demonstrate applications of the proposed algorithm to obtain sparse estimates for PCA, multiclass LDA, CCA and SDR. Supplementary materials are available online

MVG Mechanism: Differential Privacy under Matrix-Valued Query

Differential privacy mechanism design has traditionally been tailored for a scalar-valued query function. Although many mechanisms such as the Laplace and Gaussian mechanisms can be extended to a matrix-valued query function by adding i.i.d. noise to each element of the matrix, this method is often suboptimal as it forfeits an opportunity to exploit the structural characteristics typically associated with matrix analysis. To address this challenge, we propose a novel differential privacy mechanism called the Matrix-Variate Gaussian (MVG) mechanism, which adds a matrix-valued noise drawn from a matrix-variate Gaussian distribution, and we rigorously prove that the MVG mechanism preserves $(\epsilon,\delta)$-differential privacy. Furthermore, we introduce the concept of directional noise made possible by the design of the MVG mechanism. Directional noise allows the impact of the noise on the utility of the matrix-valued query function to be moderated. Finally, we experimentally demonstrate the performance of our mechanism using three matrix-valued queries on three privacy-sensitive datasets. We find that the MVG mechanism notably outperforms four previous state-of-the-art approaches, and provides comparable utility to the non-private baseline.Comment: Appeared in CCS'1

Perturbation, extraction and refinement of invariant pairs for matrix polynomials

Generalizing the notion of an eigenvector, invariant subspaces are frequently used in the context of linear eigenvalue problems, leading to conceptually elegant and numerically stable formulations in applications that require the computation of several eigenvalues and/or eigenvectors. Similar benefits can be expected for polynomial eigenvalue problems, for which the concept of an invariant subspace needs to be replaced by the concept of an invariant pair. Little has been known so far about numerical aspects of such invariant pairs. The aim of this paper is to fill this gap. The behavior of invariant pairs under perturbations of the matrix polynomial is studied and a first-order perturbation expansion is given. From a computational point of view, we investigate how to best extract invariant pairs from a linearization of the matrix polynomial. Moreover, we describe efficient refinement procedures directly based on the polynomial formulation. Numerical experiments with matrix polynomials from a number of applications demonstrate the effectiveness of our extraction and refinement procedures