arXiv subjects

Aaron Sidford

Publications and source records attributed to Aaron Sidford.

At least 73 records · Page 4Linked to original sources

arXiv2021

Faster Maxflow via Improved Dynamic Spectral Vertex Sparsifiers

We make several advances broadly related to the maintenance of electrical flows in weighted graphs undergoing dynamic resistance updates, including: 1. More efficient dynamic spectral vertex sparsification, achieved by faster length estimation of random walks in weighted graphs using Morris counters [Morris 1978, Nelson-Yu 2020]. 2. A direct reduction from detecting edges with large energy in dynamic electric flows to dynamic spectral vertex sparsifiers. 3. A procedure for turning algorithms for estimating a sequence of vectors under updates from an oblivious adversary to one that tolerates adaptive adversaries via the Gaussian-mechanism from differential privacy. Combining these pieces with modifications to prior robust interior point frameworks gives an algorithm that on graphs with $m$ edges computes a mincost flow with edge costs and capacities in $[1, U]$ in time $\widetilde{O}(m^{3/2-1/58} \log^2 U)$. In prior and independent work, [Axiotis-Mądry-Vladu FOCS 2021] also obtained an improved algorithm for sparse mincost flows on capacitated graphs. Our algorithm implies a $\widetilde{O}(m^{3/2-1/58} \log U)$ time maxflow algorithm, improving over the $\widetilde{O}(m^{3/2-1/328}\log U)$ time maxflow algorithm of [Gao-Liu-Peng FOCS 2021].

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arXiv2021

Improved Iteration Complexities for Overconstrained $p$-Norm Regression

In this paper we obtain improved iteration complexities for solving $\ell_p$ regression. We provide methods which given any full-rank $\mathbf{A} \in \mathbb{R}^{n \times d}$ with $n \geq d$, $b \in \mathbb{R}^n$, and $p \geq 2$ solve $\min_{x \in \mathbb{R}^d} \left\|\mathbf{A} x - b\right\|_p$ to high precision in time dominated by that of solving $\widetilde{O}_p(d^{\frac{p-2}{3p-2}})$ linear systems in $\mathbf{A}^\top \mathbf{D} \mathbf{A}$ for positive diagonal matrices $\mathbf{D}$. This improves upon the previous best iteration complexity of $\widetilde{O}_p(n^{\frac{p-2}{3p-2}})$ (Adil, Kyng, Peng, Sachdeva 2019). As a corollary, we obtain an $\widetilde{O}(d^{1/3}ε^{-2/3})$ iteration complexity for approximate $\ell_\infty$ regression. Further, for $q \in (1, 2]$ and dual norm $q = p/(p-1)$ we provide an algorithm that solves $\ell_q$ regression in $\widetilde{O}(d^{\frac{p-2}{2p-2}})$ iterations. To obtain this result we analyze row reweightings (closely inspired by $\ell_p$-norm Lewis weights) which allow a closer connection between $\ell_2$ and $\ell_p$ regression. We provide adaptations of two different iterative optimization frameworks which leverage this connection and yield our results. The first framework is based on iterative refinement and multiplicative weights based width reduction and the second framework is based on highly smooth acceleration. Both approaches yield $\widetilde{O}_p(d^{\frac{p-2}{3p-2}})$ iteration methods but the second has a polynomial dependence on $p$ (as opposed to the exponential dependence of the first algorithm) and provides a new alternative to the previous state-of-the-art methods for $\ell_p$ regression for large $p$.

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arXiv2021

Big-Step-Little-Step: Efficient Gradient Methods for Objectives with Multiple Scales

We provide new gradient-based methods for efficiently solving a broad class of ill-conditioned optimization problems. We consider the problem of minimizing a function $f : \mathbb{R}^d \rightarrow \mathbb{R}$ which is implicitly decomposable as the sum of $m$ unknown non-interacting smooth, strongly convex functions and provide a method which solves this problem with a number of gradient evaluations that scales (up to logarithmic factors) as the product of the square-root of the condition numbers of the components. This complexity bound (which we prove is nearly optimal) can improve almost exponentially on that of accelerated gradient methods, which grow as the square root of the condition number of $f$. Additionally, we provide efficient methods for solving stochastic, quadratic variants of this multiscale optimization problem. Rather than learn the decomposition of $f$ (which would be prohibitively expensive), our methods apply a clean recursive "Big-Step-Little-Step" interleaving of standard methods. The resulting algorithms use $\tilde{\mathcal{O}}(d m)$ space, are numerically stable, and open the door to a more fine-grained understanding of the complexity of convex optimization beyond condition number.

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arXiv2021

Fast and Near-Optimal Diagonal Preconditioning

The convergence rates of iterative methods for solving a linear system $\mathbf{A} x = b$ typically depend on the condition number of the matrix $\mathbf{A}$. Preconditioning is a common way of speeding up these methods by reducing that condition number in a computationally inexpensive way. In this paper, we revisit the decades-old problem of how to best improve $\mathbf{A}$'s condition number by left or right diagonal rescaling. We make progress on this problem in several directions. First, we provide new bounds for the classic heuristic of scaling $\mathbf{A}$ by its diagonal values (a.k.a. Jacobi preconditioning). We prove that this approach reduces $\mathbf{A}$'s condition number to within a quadratic factor of the best possible scaling. Second, we give a solver for structured mixed packing and covering semidefinite programs (MPC SDPs) which computes a constant-factor optimal scaling for $\mathbf{A}$ in $\widetilde{O}(\text{nnz}(\mathbf{A}) \cdot \text{poly}(κ^\star))$ time; this matches the cost of solving the linear system after scaling up to a $\widetilde{O}(\text{poly}(κ^\star))$ factor. Third, we demonstrate that a sufficiently general width-independent MPC SDP solver would imply near-optimal runtimes for the scaling problems we consider, and natural variants concerned with measures of average conditioning. Finally, we highlight connections of our preconditioning techniques to semi-random noise models, as well as applications in reducing risk in several statistical regression models.

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arXiv2021

Computing Lewis Weights to High Precision

We present an algorithm for computing approximate $\ell_p$ Lewis weights to high precision. Given a full-rank $\mathbf{A} \in \mathbb{R}^{m \times n}$ with $m \geq n$ and a scalar $p>2$, our algorithm computes $ε$-approximate $\ell_p$ Lewis weights of $\mathbf{A}$ in $\widetilde{O}_p(\log(1/ε))$ iterations; the cost of each iteration is linear in the input size plus the cost of computing the leverage scores of $\mathbf{D}\mathbf{A}$ for diagonal $\mathbf{D} \in \mathbb{R}^{m \times m}$. Prior to our work, such a computational complexity was known only for $p \in (0, 4)$ [CohenPeng2015], and combined with this result, our work yields the first polylogarithmic-depth polynomial-work algorithm for the problem of computing $\ell_p$ Lewis weights to high precision for all constant $p > 0$. An important consequence of this result is also the first polylogarithmic-depth polynomial-work algorithm for computing a nearly optimal self-concordant barrier for a polytope.

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arXiv2021

Stochastic Bias-Reduced Gradient Methods

We develop a new primitive for stochastic optimization: a low-bias, low-cost estimator of the minimizer $x_\star$ of any Lipschitz strongly-convex function. In particular, we use a multilevel Monte-Carlo approach due to Blanchet and Glynn to turn any optimal stochastic gradient method into an estimator of $x_\star$ with bias $δ$, variance $O(\log(1/δ))$, and an expected sampling cost of $O(\log(1/δ))$ stochastic gradient evaluations. As an immediate consequence, we obtain cheap and nearly unbiased gradient estimators for the Moreau-Yoshida envelope of any Lipschitz convex function, allowing us to perform dimension-free randomized smoothing. We demonstrate the potential of our estimator through four applications. First, we develop a method for minimizing the maximum of $N$ functions, improving on recent results and matching a lower bound up to logarithmic factors. Second and third, we recover state-of-the-art rates for projection-efficient and gradient-efficient optimization using simple algorithms with a transparent analysis. Finally, we show that an improved version of our estimator would yield a nearly linear-time, optimal-utility, differentially-private non-smooth stochastic optimization method.

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arXiv2021

Bipartite Matching in Nearly-linear Time on Moderately Dense Graphs

We present an $\tilde O(m+n^{1.5})$-time randomized algorithm for maximum cardinality bipartite matching and related problems (e.g. transshipment, negative-weight shortest paths, and optimal transport) on $m$-edge, $n$-node graphs. For maximum cardinality bipartite matching on moderately dense graphs, i.e. $m = Ω(n^{1.5})$, our algorithm runs in time nearly linear in the input size and constitutes the first improvement over the classic $O(m\sqrt{n})$-time [Dinic 1970; Hopcroft-Karp 1971; Karzanov 1973] and $\tilde O(n^ω)$-time algorithms [Ibarra-Moran 1981; Mucha-Sankowski 2004] (where currently $ω\approx 2.373$). On sparser graphs, i.e. when $m = n^{9/8 + δ}$ for any constant $δ>0$, our result improves upon the recent advances of [Madry 2013] and [Liu-Sidford 2020b, 2020a] which achieve an $\tilde O(m^{4/3+o(1)})$ runtime. We obtain these results by combining and advancing recent lines of research in interior point methods (IPMs) and dynamic graph algorithms. First, we simplify and improve the IPM of [v.d.Brand-Lee-Sidford-Song 2020], providing a general primal-dual IPM framework and new sampling-based techniques for handling infeasibility induced by approximate linear system solvers. Second, we provide a simple sublinear-time algorithm for detecting and sampling high-energy edges in electric flows on expanders and show that when combined with recent advances in dynamic expander decompositions, this yields efficient data structures for maintaining the iterates of both [v.d.Brand et al.] and our new IPMs. Combining this general machinery yields a simpler $\tilde O(n \sqrt{m})$ time algorithm for matching based on the logarithmic barrier function, and our state-of-the-art $\tilde O(m+n^{1.5})$ time algorithm for matching based on the [Lee-Sidford 2014] barrier (as regularized in [v.d.Brand et al.]).

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arXiv2021

Solving Tall Dense Linear Programs in Nearly Linear Time

In this paper we provide an $\tilde{O}(nd+d^{3})$ time randomized algorithm for solving linear programs with $d$ variables and $n$ constraints with high probability. To obtain this result we provide a robust, primal-dual $\tilde{O}(\sqrt{d})$-iteration interior point method inspired by the methods of Lee and Sidford (2014, 2019) and show how to efficiently implement this method using new data-structures based on heavy-hitters, the Johnson-Lindenstrauss lemma, and inverse maintenance. Interestingly, we obtain this running time without using fast matrix multiplication and consequently, barring a major advance in linear system solving, our running time is near optimal for solving dense linear programs among algorithms that do not use fast matrix multiplication.

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arXiv2021

Minimum Cost Flows, MDPs, and $\ell_1$-Regression in Nearly Linear Time for Dense Instances

In this paper we provide new randomized algorithms with improved runtimes for solving linear programs with two-sided constraints. In the special case of the minimum cost flow problem on $n$-vertex $m$-edge graphs with integer polynomially-bounded costs and capacities we obtain a randomized method which solves the problem in $\tilde{O}(m+n^{1.5})$ time. This improves upon the previous best runtime of $\tilde{O}(m\sqrt{n})$ (Lee-Sidford 2014) and, in the special case of unit-capacity maximum flow, improves upon the previous best runtimes of $m^{4/3+o(1)}$ (Liu-Sidford 2020, Kathuria 2020) and $\tilde{O}(m\sqrt{n})$ (Lee-Sidford 2014) for sufficiently dense graphs. For $\ell_1$-regression in a matrix with $n$-columns and $m$-rows we obtain a randomized method which computes an $ε$-approximate solution in $\tilde{O}(mn+n^{2.5})$ time. This yields a randomized method which computes an $ε$-optimal policy of a discounted Markov Decision Process with $S$ states and $A$ actions per state in time $\tilde{O}(S^2A+S^{2.5})$. These methods improve upon the previous best runtimes of methods which depend polylogarithmically on problem parameters, which were $\tilde{O}(mn^{1.5})$ (Lee-Sidford 2015) and $\tilde{O}(S^{2.5}A)$ (Lee-Sidford 2014, Sidford-Wang-Wu-Ye 2018). To obtain this result we introduce two new algorithmic tools of independent interest. First, we design a new general interior point method for solving linear programs with two sided constraints which combines techniques from (Lee-Song-Zhang 2019, Brand et al. 2020) to obtain a robust stochastic method with iteration count nearly the square root of the smaller dimension. Second, to implement this method we provide dynamic data structures for efficiently maintaining approximations to variants of Lewis-weights, a fundamental importance measure for matrices which generalize leverage scores and effective resistances.

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arXiv2021

Semi-Streaming Bipartite Matching in Fewer Passes and Optimal Space

We provide $\widetilde{O}(ε^{-1})$-pass semi-streaming algorithms for computing $(1-ε)$-approximate maximum cardinality matchings in bipartite graphs. Our most efficient methods are deterministic and use optimal, $O(n)$, space, improving upon the space complexity of the previous state-of-the-art $\widetilde{O}(ε^{-1})$-pass algorithm of Ahn and Guha. To obtain our results we provide semi-streaming adaptations of more general continuous optimization tools. Further, we leverage these techniques to obtain improvements for streaming variants of approximate linear programming, optimal transport, exact matching, transshipment, and shortest path problems.

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arXiv2021

Relative Lipschitzness in Extragradient Methods and a Direct Recipe for Acceleration

We show that standard extragradient methods (i.e. mirror prox and dual extrapolation) recover optimal accelerated rates for first-order minimization of smooth convex functions. To obtain this result we provide a fine-grained characterization of the convergence rates of extragradient methods for solving monotone variational inequalities in terms of a natural condition we call relative Lipschitzness. We further generalize this framework to handle local and randomized notions of relative Lipschitzness and thereby recover rates for box-constrained $\ell_\infty$ regression based on area convexity and complexity bounds achieved by accelerated (randomized) coordinate descent for smooth convex function minimization.

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arXiv2021

Towards Tight Bounds on the Sample Complexity of Average-reward MDPs

We prove new upper and lower bounds for sample complexity of finding an $ε$-optimal policy of an infinite-horizon average-reward Markov decision process (MDP) given access to a generative model. When the mixing time of the probability transition matrix of all policies is at most $t_\mathrm{mix}$, we provide an algorithm that solves the problem using $\widetilde{O}(t_\mathrm{mix} ε^{-3})$ (oblivious) samples per state-action pair. Further, we provide a lower bound showing that a linear dependence on $t_\mathrm{mix}$ is necessary in the worst case for any algorithm which computes oblivious samples. We obtain our results by establishing connections between infinite-horizon average-reward MDPs and discounted MDPs of possible further utility.

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arXiv2021

Thinking Inside the Ball: Near-Optimal Minimization of the Maximal Loss

We characterize the complexity of minimizing $\max_{i\in[N]} f_i(x)$ for convex, Lipschitz functions $f_1,\ldots, f_N$. For non-smooth functions, existing methods require $O(Nε^{-2})$ queries to a first-order oracle to compute an $ε$-suboptimal point and $\tilde{O}(Nε^{-1})$ queries if the $f_i$ are $O(1/ε)$-smooth. We develop methods with improved complexity bounds of $\tilde{O}(Nε^{-2/3} + ε^{-8/3})$ in the non-smooth case and $\tilde{O}(Nε^{-2/3} + \sqrt{N}ε^{-1})$ in the $O(1/ε)$-smooth case. Our methods consist of a recently proposed ball optimization oracle acceleration algorithm (which we refine) and a careful implementation of said oracle for the softmax function. We also prove an oracle complexity lower bound scaling as $Ω(Nε^{-2/3})$, showing that our dependence on $N$ is optimal up to polylogarithmic factors.

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arXiv2021

Complexity of Highly Parallel Non-Smooth Convex Optimization

A landmark result of non-smooth convex optimization is that gradient descent is an optimal algorithm whenever the number of computed gradients is smaller than the dimension $d$. In this paper we study the extension of this result to the parallel optimization setting. Namely we consider optimization algorithms interacting with a highly parallel gradient oracle, that is one that can answer $\mathrm{poly}(d)$ gradient queries in parallel. We show that in this case gradient descent is optimal only up to $\tilde{O}(\sqrt{d})$ rounds of interactions with the oracle. The lower bound improves upon a decades old construction by Nemirovski which proves optimality only up to $d^{1/3}$ rounds (as recently observed by Balkanski and Singer), and the suboptimality of gradient descent after $\sqrt{d}$ rounds was already observed by Duchi, Bartlett and Wainwright. In the latter regime we propose a new method with improved complexity, which we conjecture to be optimal. The analysis of this new method is based upon a generalized version of the recent results on optimal acceleration for highly smooth convex optimization.

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arXiv2020

Variance Reduced Value Iteration and Faster Algorithms for Solving Markov Decision Processes

In this paper we provide faster algorithms for approximately solving discounted Markov Decision Processes in multiple parameter regimes. Given a discounted Markov Decision Process (DMDP) with $|S|$ states, $|A|$ actions, discount factor $γ\in(0,1)$, and rewards in the range $[-M, M]$, we show how to compute an $ε$-optimal policy, with probability $1 - δ$ in time \[ \tilde{O}\left( \left(|S|^2 |A| + \frac{|S| |A|}{(1 - γ)^3} \right) \log\left( \frac{M}ε \right) \log\left( \frac{1}δ \right) \right) ~ . \] This contribution reflects the first nearly linear time, nearly linearly convergent algorithm for solving DMDPs for intermediate values of $γ$. We also show how to obtain improved sublinear time algorithms provided we can sample from the transition function in $O(1)$ time. Under this assumption we provide an algorithm which computes an $ε$-optimal policy with probability $1 - δ$ in time \[ \tilde{O} \left(\frac{|S| |A| M^2}{(1 - γ)^4 ε^2} \log \left(\frac{1}δ\right) \right) ~. \] Lastly, we extend both these algorithms to solve finite horizon MDPs. Our algorithms improve upon the previous best for approximately computing optimal policies for fixed-horizon MDPs in multiple parameter regimes. Interestingly, we obtain our results by a careful modification of approximate value iteration. We show how to combine classic approximate value iteration analysis with new techniques in variance reduction. Our fastest algorithms leverage further insights to ensure that our algorithms make monotonic progress towards the optimal value. This paper is one of few instances in using sampling to obtain a linearly convergent linear programming algorithm and we hope that the analysis may be useful more broadly.

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arXiv2020

Large-Scale Methods for Distributionally Robust Optimization

We propose and analyze algorithms for distributionally robust optimization of convex losses with conditional value at risk (CVaR) and $χ^2$ divergence uncertainty sets. We prove that our algorithms require a number of gradient evaluations independent of training set size and number of parameters, making them suitable for large-scale applications. For $χ^2$ uncertainty sets these are the first such guarantees in the literature, and for CVaR our guarantees scale linearly in the uncertainty level rather than quadratically as in previous work. We also provide lower bounds proving the worst-case optimality of our algorithms for CVaR and a penalized version of the $χ^2$ problem. Our primary technical contributions are novel bounds on the bias of batch robust risk estimation and the variance of a multilevel Monte Carlo gradient estimator due to [Blanchet & Glynn, 2015]. Experiments on MNIST and ImageNet confirm the theoretical scaling of our algorithms, which are 9--36 times more efficient than full-batch methods.

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arXiv2020

Fully-Dynamic Graph Sparsifiers Against an Adaptive Adversary

Designing dynamic graph algorithms against an adaptive adversary is a major goal in the field of dynamic graph algorithms. While a few such algorithms are known for spanning trees, matchings, and single-source shortest paths, very little was known for an important primitive like graph sparsifiers. The challenge is how to approximately preserve so much information about the graph (e.g., all-pairs distances and all cuts) without revealing the algorithms' underlying randomness to the adaptive adversary. In this paper we present the first non-trivial efficient adaptive algorithms for maintaining spanners and cut sparisifers. These algorithms in turn imply improvements over existing algorithms for other problems. Our first algorithm maintains a polylog$(n)$-spanner of size $\tilde O(n)$ in polylog$(n)$ amortized update time. The second algorithm maintains an $O(k)$-approximate cut sparsifier of size $\tilde O(n)$ in $\tilde O(n^{1/k})$ amortized update time, for any $k\ge1$, which is polylog$(n)$ time when $k=\log(n)$. The third algorithm maintains a polylog$(n)$-approximate spectral sparsifier in polylog$(n)$ amortized update time. The amortized update time of both algorithms can be made worst-case by paying some sub-polynomial factors. Prior to our result, there were near-optimal algorithms against oblivious adversaries (e.g. Baswana et al. [TALG'12] and Abraham et al. [FOCS'16]), but the only non-trivial adaptive dynamic algorithm requires $O(n)$ amortized update time to maintain $3$- and $5$-spanner of size $O(n^{1+1/2})$ and $O(n^{1+1/3})$, respectively [Ausiello et al. ESA'05]. Our results are based on two novel techniques. The first technique, is a generic black-box reduction that allows us to assume that the graph undergoes only edge deletions and, more importantly, remains an expander with almost-uniform degree. The second technique we call proactive resampling. [...]

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arXiv2020

Instance Based Approximations to Profile Maximum Likelihood

In this paper we provide a new efficient algorithm for approximately computing the profile maximum likelihood (PML) distribution, a prominent quantity in symmetric property estimation. We provide an algorithm which matches the previous best known efficient algorithms for computing approximate PML distributions and improves when the number of distinct observed frequencies in the given instance is small. We achieve this result by exploiting new sparsity structure in approximate PML distributions and providing a new matrix rounding algorithm, of independent interest. Leveraging this result, we obtain the first provable computationally efficient implementation of PseudoPML, a general framework for estimating a broad class of symmetric properties. Additionally, we obtain efficient PML-based estimators for distributions with small profile entropy, a natural instance-based complexity measure. Further, we provide a simpler and more practical PseudoPML implementation that matches the best-known theoretical guarantees of such an estimator and evaluate this method empirically.

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