Asynchronous Stochastic Variational Inference

Stochastic variational inference (SVI) employs stochastic optimization to scale up Bayesian computation to massive data. Since SVI is at its core a stochastic gradient-based algorithm, horizontal parallelism can be harnessed to allow larger scale inference. We propose a lock-free parallel implementation for SVI which allows distributed computations over multiple slaves in an asynchronous style. We show that our implementation leads to linear speed-up while guaranteeing an asymptotic ergodic convergence rate O(1/√T) given that the number of slaves is bounded by √T (T is the total number of iterations). The implementation is done in a high-performance computing (HPC) environment using message passing interface (MPI) for python (MPI4py). The extensive empirical evaluation shows that our parallel SVI is lossless, performing comparably well to its counterpart serial SVI with linear speed-up

Privacy-Preserving Outsourcing of Large-Scale Nonlinear Programming to the Cloud

The increasing massive data generated by various sources has given birth to big data analytics. Solving large-scale nonlinear programming problems (NLPs) is one important big data analytics task that has applications in many domains such as transport and logistics. However, NLPs are usually too computationally expensive for resource-constrained users. Fortunately, cloud computing provides an alternative and economical service for resource-constrained users to outsource their computation tasks to the cloud. However, one major concern with outsourcing NLPs is the leakage of user's private information contained in NLP formulations and results. Although much work has been done on privacy-preserving outsourcing of computation tasks, little attention has been paid to NLPs. In this paper, we for the first time investigate secure outsourcing of general large-scale NLPs with nonlinear constraints. A secure and efficient transformation scheme at the user side is proposed to protect user's private information; at the cloud side, generalized reduced gradient method is applied to effectively solve the transformed large-scale NLPs. The proposed protocol is implemented on a cloud computing testbed. Experimental evaluations demonstrate that significant time can be saved for users and the proposed mechanism has the potential for practical use.Comment: Ang Li and Wei Du equally contributed to this work. This work was done when Wei Du was at the University of Arkansas. 2018 EAI International Conference on Security and Privacy in Communication Networks (SecureComm

Tracking Target Signal Strengths on a Grid using Sparsity

Multi-target tracking is mainly challenged by the nonlinearity present in the measurement equation, and the difficulty in fast and accurate data association. To overcome these challenges, the present paper introduces a grid-based model in which the state captures target signal strengths on a known spatial grid (TSSG). This model leads to \emph{linear} state and measurement equations, which bypass data association and can afford state estimation via sparsity-aware Kalman filtering (KF). Leveraging the grid-induced sparsity of the novel model, two types of sparsity-cognizant TSSG-KF trackers are developed: one effects sparsity through $\ell_1$-norm regularization, and the other invokes sparsity as an extra measurement. Iterative extended KF and Gauss-Newton algorithms are developed for reduced-complexity tracking, along with accurate error covariance updates for assessing performance of the resultant sparsity-aware state estimators. Based on TSSG state estimates, more informative target position and track estimates can be obtained in a follow-up step, ensuring that track association and position estimation errors do not propagate back into TSSG state estimates. The novel TSSG trackers do not require knowing the number of targets or their signal strengths, and exhibit considerably lower complexity than the benchmark hidden Markov model filter, especially for a large number of targets. Numerical simulations demonstrate that sparsity-cognizant trackers enjoy improved root mean-square error performance at reduced complexity when compared to their sparsity-agnostic counterparts.Comment: Submitted to IEEE Trans. on Signal Processin

Use of approximations of Hamilton-Jacobi-Bellman inequality for solving periodic optimization problems

We show that necessary and sufficient conditions of optimality in periodic optimization problems can be stated in terms of a solution of the corresponding HJB inequality, the latter being equivalent to a max-min type variational problem considered on the space of continuously differentiable functions. We approximate the latter with a maximin problem on a finite dimensional subspace of the space of continuously differentiable functions and show that a solution of this problem (existing under natural controllability conditions) can be used for construction of near optimal controls. We illustrate the construction with a numerical example.Comment: 29 pages, 2 figure

Separable and Low-Rank Continuous Games

In this paper, we study nonzero-sum separable games, which are continuous games whose payoffs take a sum-of-products form. Included in this subclass are all finite games and polynomial games. We investigate the structure of equilibria in separable games. We show that these games admit finitely supported Nash equilibria. Motivated by the bounds on the supports of mixed equilibria in two-player finite games in terms of the ranks of the payoff matrices, we define the notion of the rank of an n-player continuous game and use this to provide bounds on the cardinality of the support of equilibrium strategies. We present a general characterization theorem that states that a continuous game has finite rank if and only if it is separable. Using our rank results, we present an efficient algorithm for computing approximate equilibria of two-player separable games with fixed strategy spaces in time polynomial in the rank of the game

Maximizing the Conditional Expected Reward for Reaching the Goal

The paper addresses the problem of computing maximal conditional expected accumulated rewards until reaching a target state (briefly called maximal conditional expectations) in finite-state Markov decision processes where the condition is given as a reachability constraint. Conditional expectations of this type can, e.g., stand for the maximal expected termination time of probabilistic programs with non-determinism, under the condition that the program eventually terminates, or for the worst-case expected penalty to be paid, assuming that at least three deadlines are missed. The main results of the paper are (i) a polynomial-time algorithm to check the finiteness of maximal conditional expectations, (ii) PSPACE-completeness for the threshold problem in acyclic Markov decision processes where the task is to check whether the maximal conditional expectation exceeds a given threshold, (iii) a pseudo-polynomial-time algorithm for the threshold problem in the general (cyclic) case, and (iv) an exponential-time algorithm for computing the maximal conditional expectation and an optimal scheduler.Comment: 103 pages, extended version with appendices of a paper accepted at TACAS 201

Iterative Approximate Consensus in the presence of Byzantine Link Failures

This paper explores the problem of reaching approximate consensus in synchronous point-to-point networks, where each directed link of the underlying communication graph represents a communication channel between a pair of nodes. We adopt the transient Byzantine link failure model [15, 16], where an omniscient adversary controls a subset of the directed communication links, but the nodes are assumed to be fault-free. Recent work has addressed the problem of reaching approximate consen- sus in incomplete graphs with Byzantine nodes using a restricted class of iterative algorithms that maintain only a small amount of memory across iterations [22, 21, 23, 12]. However, to the best of our knowledge, we are the first to consider approximate consensus in the presence of Byzan- tine links. We extend our past work that provided exact characterization of graphs in which the iterative approximate consensus problem in the presence of Byzantine node failures is solvable [22, 21]. In particular, we prove a tight necessary and sufficient condition on the underlying com- munication graph for the existence of iterative approximate consensus algorithms under transient Byzantine link model. The condition answers (part of) the open problem stated in [16].Comment: arXiv admin note: text overlap with arXiv:1202.609

Sparsity and cosparsity for audio declipping: a flexible non-convex approach

This work investigates the empirical performance of the sparse synthesis versus sparse analysis regularization for the ill-posed inverse problem of audio declipping. We develop a versatile non-convex heuristics which can be readily used with both data models. Based on this algorithm, we report that, in most cases, the two models perform almost similarly in terms of signal enhancement. However, the analysis version is shown to be amenable for real time audio processing, when certain analysis operators are considered. Both versions outperform state-of-the-art methods in the field, especially for the severely saturated signals

The Significance of the CC-Numerical Range and the Local CC-Numerical Range in Quantum Control and Quantum Information

This paper shows how C-numerical-range related new strucures may arise from practical problems in quantum control--and vice versa, how an understanding of these structures helps to tackle hot topics in quantum information. We start out with an overview on the role of C-numerical ranges in current research problems in quantum theory: the quantum mechanical task of maximising the projection of a point on the unitary orbit of an initial state onto a target state C relates to the C-numerical radius of A via maximising the trace function |\tr \{C^\dagger UAU^\dagger\}|. In quantum control of n qubits one may be interested (i) in having U\in SU(2^n) for the entire dynamics, or (ii) in restricting the dynamics to {\em local} operations on each qubit, i.e. to the n-fold tensor product SU(2)\otimes SU(2)\otimes >...\otimes SU(2). Interestingly, the latter then leads to a novel entity, the {\em local} C-numerical range W_{\rm loc}(C,A), whose intricate geometry is neither star-shaped nor simply connected in contrast to the conventional C-numerical range. This is shown in the accompanying paper (math-ph/0702005). We present novel applications of the C-numerical range in quantum control assisted by gradient flows on the local unitary group: (1) they serve as powerful tools for deciding whether a quantum interaction can be inverted in time (in a sense generalising Hahn's famous spin echo); (2) they allow for optimising witnesses of quantum entanglement. We conclude by relating the relative C-numerical range to problems of constrained quantum optimisation, for which we also give Lagrange-type gradient flow algorithms.Comment: update relating to math-ph/070200

Numerical study of augmented lagrangian algorithms for constrained global optimization

To cite this article: Ana Maria A.C. Rocha & Edite M.G.P. Fernandes (2011): Numerical study of augmented Lagrangian algorithms for constrained global optimization, Optimization, 60:10-11, 1359-1378This article presents a numerical study of two augmented Lagrangian algorithms to solve continuous constrained global optimization problems. The algorithms approximately solve a sequence of bound constrained subproblems whose objective function penalizes equality and inequality constraints violation and depends on the Lagrange multiplier vectors and a penalty parameter. Each subproblem is solved by a population-based method that uses an electromagnetism-like (EM) mechanism to move points towards optimality. Three local search procedures are tested to enhance the EM algorithm. Benchmark problems are solved in a performance evaluation of the proposed augmented Lagrangian methodologies. A comparison with other techniques presented in the literature is also reported