Suboptimal Solution Path Algorithm for Support Vector Machine

We consider a suboptimal solution path algorithm for the Support Vector Machine. The solution path algorithm is an effective tool for solving a sequence of a parametrized optimization problems in machine learning. The path of the solutions provided by this algorithm are very accurate and they satisfy the optimality conditions more strictly than other SVM optimization algorithms. In many machine learning application, however, this strict optimality is often unnecessary, and it adversely affects the computational efficiency. Our algorithm can generate the path of suboptimal solutions within an arbitrary user-specified tolerance level. It allows us to control the trade-off between the accuracy of the solution and the computational cost. Moreover, We also show that our suboptimal solutions can be interpreted as the solution of a \emph{perturbed optimization problem} from the original one. We provide some theoretical analyses of our algorithm based on this novel interpretation. The experimental results also demonstrate the effectiveness of our algorithm.Comment: A shorter version of this paper is submitted to ICML 201

An Algorithmic Framework for Computing Validation Performance Bounds by Using Suboptimal Models

Practical model building processes are often time-consuming because many different models must be trained and validated. In this paper, we introduce a novel algorithm that can be used for computing the lower and the upper bounds of model validation errors without actually training the model itself. A key idea behind our algorithm is using a side information available from a suboptimal model. If a reasonably good suboptimal model is available, our algorithm can compute lower and upper bounds of many useful quantities for making inferences on the unknown target model. We demonstrate the advantage of our algorithm in the context of model selection for regularized learning problems

Optimal computational and statistical rates of convergence for sparse nonconvex learning problems

We provide theoretical analysis of the statistical and computational properties of penalized $M$-estimators that can be formulated as the solution to a possibly nonconvex optimization problem. Many important estimators fall in this category, including least squares regression with nonconvex regularization, generalized linear models with nonconvex regularization and sparse elliptical random design regression. For these problems, it is intractable to calculate the global solution due to the nonconvex formulation. In this paper, we propose an approximate regularization path-following method for solving a variety of learning problems with nonconvex objective functions. Under a unified analytic framework, we simultaneously provide explicit statistical and computational rates of convergence for any local solution attained by the algorithm. Computationally, our algorithm attains a global geometric rate of convergence for calculating the full regularization path, which is optimal among all first-order algorithms. Unlike most existing methods that only attain geometric rates of convergence for one single regularization parameter, our algorithm calculates the full regularization path with the same iteration complexity. In particular, we provide a refined iteration complexity bound to sharply characterize the performance of each stage along the regularization path. Statistically, we provide sharp sample complexity analysis for all the approximate local solutions along the regularization path. In particular, our analysis improves upon existing results by providing a more refined sample complexity bound as well as an exact support recovery result for the final estimator. These results show that the final estimator attains an oracle statistical property due to the usage of nonconvex penalty.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1238 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Sensor Scheduling for Energy-Efficient Target Tracking in Sensor Networks

In this paper we study the problem of tracking an object moving randomly through a network of wireless sensors. Our objective is to devise strategies for scheduling the sensors to optimize the tradeoff between tracking performance and energy consumption. We cast the scheduling problem as a Partially Observable Markov Decision Process (POMDP), where the control actions correspond to the set of sensors to activate at each time step. Using a bottom-up approach, we consider different sensing, motion and cost models with increasing levels of difficulty. At the first level, the sensing regions of the different sensors do not overlap and the target is only observed within the sensing range of an active sensor. Then, we consider sensors with overlapping sensing range such that the tracking error, and hence the actions of the different sensors, are tightly coupled. Finally, we consider scenarios wherein the target locations and sensors' observations assume values on continuous spaces. Exact solutions are generally intractable even for the simplest models due to the dimensionality of the information and action spaces. Hence, we devise approximate solution techniques, and in some cases derive lower bounds on the optimal tradeoff curves. The generated scheduling policies, albeit suboptimal, often provide close-to-optimal energy-tracking tradeoffs