Snake: a Stochastic Proximal Gradient Algorithm for Regularized Problems over Large Graphs

A regularized optimization problem over a large unstructured graph is studied, where the regularization term is tied to the graph geometry. Typical regularization examples include the total variation and the Laplacian regularizations over the graph. When applying the proximal gradient algorithm to solve this problem, there exist quite affordable methods to implement the proximity operator (backward step) in the special case where the graph is a simple path without loops. In this paper, an algorithm, referred to as "Snake", is proposed to solve such regularized problems over general graphs, by taking benefit of these fast methods. The algorithm consists in properly selecting random simple paths in the graph and performing the proximal gradient algorithm over these simple paths. This algorithm is an instance of a new general stochastic proximal gradient algorithm, whose convergence is proven. Applications to trend filtering and graph inpainting are provided among others. Numerical experiments are conducted over large graphs

Novel Inverse-Scattering Methods in Banach Spaces

The scientific community is presently strongly interested in the research of new microwave imaging methods, in order to develop reliable, safe, portable, and cost-effective tools for the non-invasive/non-destructive diagnostic in many fields (such as medicine, civil and industrial engineering, \u2026). In this framework, microwave imaging techniques addressing the full three-dimensional nature of the inspected bodies are still very challenging, since they need to cope with significant computational complexity. Moreover, non-linearity and ill-posedness issues, which usually affects the related inverse scattering problems, need to be faced, too. Another promising topic is the development of phaseless methods, in which only the amplitude of the electric field is assumed to be measurable. This leads to a significant complexity reduction and lower cost for the experimental apparatuses, but the missing information on the phase of the electric field samples exacerbates the ill-posedness problems. In the present Thesis, a novel inexact-Newton inversion algorithm is proposed, in which the iteratively linearized problems are solved in a regularized sense by using a truncated Landweber or a conjugate gradient method developed in the framework of the l^p Banach spaces. This is an improvement that allows to generalize the classic framework of the l^2 Hilbert spaces in which the inexact-Newton approaches are usually defined. The applicability of the proposed imaging method in both the 3D full-vector and 2D phaseless scenarios at microwave frequencies is assessed in this Thesis, and an extensive validation of the proposed imaging method against both synthetic and experimental data is presented, highlighting the advantages over the inexact-Newton scheme developed in the classic framework of the l^2 Hilbert spaces

Definable Zero-Sum Stochastic Games

International audienceDefinable zero-sum stochastic games involve a finite number of states and action sets, reward and transition functions that are definable in an o-minimal structure. Prominent examples of such games are finite, semi-algebraic or globally subanalytic stochastic games. We prove that the Shapley operator of any definable stochastic game with separable transition and reward functions is definable in the same structure. Definability in the same structure does not hold systematically: we provide a counterexample of a stochastic game with semi-algebraic data yielding a non semi-algebraic but globally subanalytic Shapley operator. %Showing the definability of the Shapley operator in full generality appears thus as a complex and challenging issue. } Our definability results on Shapley operators are used to prove that any separable definable game has a uniform value; in the case of polynomially bounded structures we also provide convergence rates. Using an approximation procedure, we actually establish that general zero-sum games with separable definable transition functions have a uniform value. These results highlight the key role played by the tame structure of transition functions. As particular cases of our main results, we obtain that stochastic games with polynomial transitions, definable games with finite actions on one side, definable games with perfect information or switching controls have a uniform value. Applications to nonlinear maps arising in risk sensitive control and Perron-Frobenius theory are also given

A Risk Management Perspective on Statistical Estimation and Generalized Variational Inference

Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters that maximizes the expected payoff minus the divergence of the distribution from a specified prior. In this way, GVI enables likelihood-free estimation with the ability to control the influence of the prior by tuning the so-called learning rate. Recently, GVI was shown to outperform traditional Bayesian inference when the model and prior distribution are misspecified. In this paper, we introduce and analyze a new GVI formulation based on utility theory and risk management. Our formulation is to maximize the expected payoff while enforcing constraints on the maximizing distribution. We recover the original GVI distribution by choosing the feasible set to include a constraint on the divergence of the distribution from the prior. In doing so, we automatically determine the learning rate as the Lagrange multiplier for the constraint. In this setting, we are able to transform the infinite-dimensional estimation problem into a two-dimensional convex program. This reformulation further provides an analytic expression for the optimal density of parameters. In addition, we prove asymptotic consistency results for empirical approximations of our optimal distributions. Throughout, we draw connections between our estimation procedure and risk management. In fact, we demonstrate that our estimation procedure is equivalent to evaluating a risk measure. We test our procedure on an estimation problem with a misspecified model and prior distribution, and conclude with some extensions of our approach

Distributed Convex Optimisation using the Alternating Direction Method of Multipliers (ADMM) in Lossy Scenarios

The Alternating Direction Method of Multipliers (ADMM) is an extensively studied algorithm suitable for solving convex distributed optimisation problems. This Thesis presents a formulation of the ADMM that is guaranteed to converge if the communications among agents are faulty and the agents perform updates asynchronously. With strongly convex costs, the proposed algorithm is shown to converge exponentially fast. The further extension to partition-based problems is presented

The formal theory of pricing and investment for electricity.

The Thesis develops the framework of competitive equilibrium in infinite-dimensional commodity and price spaces, and applies it to the problems of electricity pricing and investment in the generating system. Alternative choices of the spaces are discussed for two different approaches to the price singularities that occur with pointed output peaks. Thermal generation costs are studied first, by using the mathematical methods of convex calculus and majorisation theory, a.k.a. rearrangement theory. Next, the thermal technology, pumped storage and hydroelectric generation are studied by duality methods of linear and convex programming. These are applied to the problems of operation and valuation of plants, and of river flows. For storage and hydro plants, both problems are approached by shadow-pricing the energy stock, and when the given electricity price is a continuous function of time, the plants' capacities, and in the case of hydro also the river flows, are shown to have definite and separate marginal values. These are used to determine the optimum investment. A short-run approach to long-run equilibrium is then developed for pricing a differentiated good such as electricity. As one tool, the Wong-Viner Envelope Theorem is extended to the case of convex but nondifferentiable costs by using the short-run profit function and the profit-imputed values of the fixed inputs, and by using the subdifferential as a multi-valued, generalised derivative. The theorem applies readily to purely thermal electricity generation. But in general the short-run approach builds on solutions to the primal-dual pair of plant operation and valuation problems, and it is this framework that is applied to the case of electricity generated by thermal, hydro and pumped-storage plants. This gives, as part of the long-run equilibrium solution, a sound method of valuing the fixed assets-in this case, the river flows and the sites suitable for reservoirs

Convergence and stability analysis of stochastic optimization algorithms

This thesis is concerned with stochastic optimization methods. The pioneering work in the field is the article “A stochastic approximation algorithm” by Robbins and Monro [1], in which they proposed the stochastic gradient descent; a stochastic version of the classical gradient descent algorithm. Since then, many improvements and extensions of the theory have been published, as well as new versions of the original algorithm. Despite this, a problem that many stochastic algorithms still share, is the sensitivity to the choice of the step size/learning rate. One can view the stochastic gradient descent algorithm as a stochastic version of the explicit Euler scheme applied to the gradient flow equation. There are other schemes for solving differential equations numerically that allow for larger step sizes. In this thesis, we investigate the properties of some of these methods, and how they perform, when applied to stochastic optimization problems