Synthesizing Probabilistic Invariants via Doob's Decomposition

When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer properties at termination time. One of the main challenges, then, is to systematically find martingales. We propose a novel procedure to synthesize martingale expressions from an arbitrary initial expression. Contrary to state-of-the-art approaches, we do not rely on constraint solving. Instead, we use a symbolic construction based on Doob's decomposition. This procedure can produce very complex martingales, expressed in terms of conditional expectations. We show how to automatically generate and simplify these martingales, as well as how to apply the optional stopping theorem to infer properties at termination time. This last step typically involves some simplification steps, and is usually done manually in current approaches. We implement our techniques in a prototype tool and demonstrate our process on several classical examples. Some of them go beyond the capability of current semi-automatic approaches

Four lectures on probabilistic methods for data science

Methods of high-dimensional probability play a central role in applications for statistics, signal processing theoretical computer science and related fields. These lectures present a sample of particularly useful tools of high-dimensional probability, focusing on the classical and matrix Bernstein's inequality and the uniform matrix deviation inequality. We illustrate these tools with applications for dimension reduction, network analysis, covariance estimation, matrix completion and sparse signal recovery. The lectures are geared towards beginning graduate students who have taken a rigorous course in probability but may not have any experience in data science applications.Comment: Lectures given at 2016 PCMI Graduate Summer School in Mathematics of Data. Some typos, inaccuracies fixe

Run Time Approximation of Non-blocking Service Rates for Streaming Systems

Stream processing is a compute paradigm that promises safe and efficient parallelism. Modern big-data problems are often well suited for stream processing's throughput-oriented nature. Realization of efficient stream processing requires monitoring and optimization of multiple communications links. Most techniques to optimize these links use queueing network models or network flow models, which require some idea of the actual execution rate of each independent compute kernel within the system. What we want to know is how fast can each kernel process data independent of other communicating kernels. This is known as the "service rate" of the kernel within the queueing literature. Current approaches to divining service rates are static. Modern workloads, however, are often dynamic. Shared cloud systems also present applications with highly dynamic execution environments (multiple users, hardware migration, etc.). It is therefore desirable to continuously re-tune an application during run time (online) in response to changing conditions. Our approach enables online service rate monitoring under most conditions, obviating the need for reliance on steady state predictions for what are probably non-steady state phenomena. First, some of the difficulties associated with online service rate determination are examined. Second, the algorithm to approximate the online non-blocking service rate is described. Lastly, the algorithm is implemented within the open source RaftLib framework for validation using a simple microbenchmark as well as two full streaming applications.Comment: technical repor

Gordon's inequality and condition numbers in conic optimization

The probabilistic analysis of condition numbers has traditionally been approached from different angles; one is based on Smale's program in complexity theory and features integral geometry, while the other is motivated by geometric functional analysis and makes use of the theory of Gaussian processes. In this note we explore connections between the two approaches in the context of the biconic homogeneous feasiblity problem and the condition numbers motivated by conic optimization theory. Key tools in the analysis are Slepian's and Gordon's comparision inequalities for Gaussian processes, interpreted as monotonicity properties of moment functionals, and their interplay with ideas from conic integral geometry