Greedy Algorithms for Cone Constrained Optimization with Convergence Guarantees

Greedy optimization methods such as Matching Pursuit (MP) and Frank-Wolfe (FW) algorithms regained popularity in recent years due to their simplicity, effectiveness and theoretical guarantees. MP and FW address optimization over the linear span and the convex hull of a set of atoms, respectively. In this paper, we consider the intermediate case of optimization over the convex cone, parametrized as the conic hull of a generic atom set, leading to the first principled definitions of non-negative MP algorithms for which we give explicit convergence rates and demonstrate excellent empirical performance. In particular, we derive sublinear ($\mathcal{O}(1/t)$) convergence on general smooth and convex objectives, and linear convergence ($\mathcal{O}(e^{-t})$) on strongly convex objectives, in both cases for general sets of atoms. Furthermore, we establish a clear correspondence of our algorithms to known algorithms from the MP and FW literature. Our novel algorithms and analyses target general atom sets and general objective functions, and hence are directly applicable to a large variety of learning settings.Comment: NIPS 201

An Approximate Shapley-Folkman Theorem

The Shapley-Folkman theorem shows that Minkowski averages of uniformly bounded sets tend to be convex when the number of terms in the sum becomes much larger than the ambient dimension. In optimization, Aubin and Ekeland [1976] show that this produces an a priori bound on the duality gap of separable nonconvex optimization problems involving finite sums. This bound is highly conservative and depends on unstable quantities, and we relax it in several directions to show that non convexity can have a much milder impact on finite sum minimization problems such as empirical risk minimization and multi-task classification. As a byproduct, we show a new version of Maurey's classical approximate Carath\'eodory lemma where we sample a significant fraction of the coefficients, without replacement, as well as a result on sampling constraints using an approximate Helly theorem, both of independent interest.Comment: Added constraint sampling result, simplified sampling results, reformat, et

Exploring Large Feature Spaces with Hierarchical Multiple Kernel Learning

For supervised and unsupervised learning, positive definite kernels allow to use large and potentially infinite dimensional feature spaces with a computational cost that only depends on the number of observations. This is usually done through the penalization of predictor functions by Euclidean or Hilbertian norms. In this paper, we explore penalizing by sparsity-inducing norms such as the l1-norm or the block l1-norm. We assume that the kernel decomposes into a large sum of individual basis kernels which can be embedded in a directed acyclic graph; we show that it is then possible to perform kernel selection through a hierarchical multiple kernel learning framework, in polynomial time in the number of selected kernels. This framework is naturally applied to non linear variable selection; our extensive simulations on synthetic datasets and datasets from the UCI repository show that efficiently exploring the large feature space through sparsity-inducing norms leads to state-of-the-art predictive performance

Accelerated volumetric reconstruction from uncalibrated camera views

While both work with images, computer graphics and computer vision are inverse problems. Computer graphics starts traditionally with input geometric models and produces image sequences. Computer vision starts with input image sequences and produces geometric models. In the last few years, there has been a convergence of research to bridge the gap between the two fields. This convergence has produced a new field called Image-based Rendering and Modeling (IBMR). IBMR represents the effort of using the geometric information recovered from real images to generate new images with the hope that the synthesized ones appear photorealistic, as well as reducing the time spent on model creation. In this dissertation, the capturing, geometric and photometric aspects of an IBMR system are studied. A versatile framework was developed that enables the reconstruction of scenes from images acquired with a handheld digital camera. The proposed system targets applications in areas such as Computer Gaming and Virtual Reality, from a lowcost perspective. In the spirit of IBMR, the human operator is allowed to provide the high-level information, while underlying algorithms are used to perform low-level computational work. Conforming to the latest architecture trends, we propose a streaming voxel carving method, allowing a fast GPU-based processing on commodity hardware