arXiv subjects

Alejandro Ribeiro

Publications and source records attributed to Alejandro Ribeiro.

At least 307 records · Page 17Linked to original sources

arXiv2016

Self-Triggered Time-Varying Convex Optimization

In this paper, we propose a self-triggered algorithm to solve a class of convex optimization problems with time-varying objective functions. It is known that the trajectory of the optimal solution can be asymptotically tracked by a continuous-time state update law. Unfortunately, implementing this requires continuous evaluation of the gradient and the inverse Hessian of the objective function which is not amenable to digital implementation. Alternatively, we draw inspiration from self-triggered control to propose a strategy that autonomously adapts the times at which it makes computations about the objective function, yielding a piece-wise affine state update law. The algorithm does so by predicting the temporal evolution of the gradient using known upper bounds on higher order derivatives of the objective function. Our proposed method guarantees convergence to arbitrarily small neighborhood of the optimal trajectory in finite time and without incurring Zeno behavior. We illustrate our framework with numerical simulations.

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arXiv2016

A Decentralized Second-Order Method for Dynamic Optimization

This paper considers decentralized dynamic optimization problems where nodes of a network try to minimize a sequence of time-varying objective functions in a real-time scheme. At each time slot, nodes have access to different summands of an instantaneous global objective function and they are allowed to exchange information only with their neighbors. This paper develops the application of the Exact Second-Order Method (ESOM) to solve the dynamic optimization problem in a decentralized manner. The proposed dynamic ESOM algorithm operates by primal descending and dual ascending on a quadratic approximation of an augmented Lagrangian of the instantaneous consensus optimization problem. The convergence analysis of dynamic ESOM indicates that a Lyapunov function of the sequence of primal and dual errors converges linearly to an error bound when the local functions are strongly convex and have Lipschitz continuous gradients. Numerical results demonstrate the claim that the sequence of iterates generated by the proposed method is able to track the sequence of optimal arguments.

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arXiv2016

A Decentralized Quasi-Newton Method for Dual Formulations of Consensus Optimization

This paper considers consensus optimization problems where each node of a network has access to a different summand of an aggregate cost function. Nodes try to minimize the aggregate cost function, while they exchange information only with their neighbors. We modify the dual decomposition method to incorporate a curvature correction inspired by the Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton method. The resulting dual D-BFGS method is a fully decentralized algorithm in which nodes approximate curvature information of themselves and their neighbors through the satisfaction of a secant condition. Dual D-BFGS is of interest in consensus optimization problems that are not well conditioned, making first order decentralized methods ineffective, and in which second order information is not readily available, making decentralized second order methods infeasible. Asynchronous implementation is discussed and convergence of D-BFGS is established formally for both synchronous and asynchronous implementations. Performance advantages relative to alternative decentralized algorithms are shown numerically.

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arXiv2016

Doubly Random Parallel Stochastic Methods for Large Scale Learning

We consider learning problems over training sets in which both, the number of training examples and the dimension of the feature vectors, are large. To solve these problems we propose the random parallel stochastic algorithm (RAPSA). We call the algorithm random parallel because it utilizes multiple processors to operate in a randomly chosen subset of blocks of the feature vector. We call the algorithm parallel stochastic because processors choose elements of the training set randomly and independently. Algorithms that are parallel in either of these dimensions exist, but RAPSA is the first attempt at a methodology that is parallel in both, the selection of blocks and the selection of elements of the training set. In RAPSA, processors utilize the randomly chosen functions to compute the stochastic gradient component associated with a randomly chosen block. The technical contribution of this paper is to show that this minimally coordinated algorithm converges to the optimal classifier when the training objective is convex. In particular, we show that: (i) When using decreasing stepsizes, RAPSA converges almost surely over the random choice of blocks and functions. (ii) When using constant stepsizes, convergence is to a neighborhood of optimality with a rate that is linear in expectation. RAPSA is numerically evaluated on the MNIST digit recognition problem.

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arXiv2016

Online Optimization in Dynamic Environments: Improved Regret Rates for Strongly Convex Problems

In this paper, we address tracking of a time-varying parameter with unknown dynamics. We formalize the problem as an instance of online optimization in a dynamic setting. Using online gradient descent, we propose a method that sequentially predicts the value of the parameter and in turn suffers a loss. The objective is to minimize the accumulation of losses over the time horizon, a notion that is termed dynamic regret. While existing methods focus on convex loss functions, we consider strongly convex functions so as to provide better guarantees of performance. We derive a regret bound that captures the path-length of the time-varying parameter, defined in terms of the distance between its consecutive values. In other words, the bound represents the natural connection of tracking quality to the rate of change of the parameter. We provide numerical experiments to complement our theoretical findings.

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arXiv2016

Distributed Fictitious Play for Optimal Behavior of Multi-Agent Systems with Incomplete Information

A multi-agent system operates in an uncertain environment about which agents have different and time varying beliefs that, as time progresses, converge to a common belief. A global utility function that depends on the realized state of the environment and actions of all the agents determines the system's optimal behavior. We define the asymptotically optimal action profile as an equilibrium of the potential game defined by considering the expected utility with respect to the asymptotic belief. At finite time, however, agents have not entirely congruous beliefs about the state of the environment and may select conflicting actions. This paper proposes a variation of the fictitious play algorithm which is proven to converge to equilibrium actions if the state beliefs converge to a common distribution at a rate that is at least linear. In conventional fictitious play, agents build beliefs on others' future behavior by computing histograms of past actions and best respond to their expected payoffs integrated with respect to these histograms. In the variations developed here histograms are built using knowledge of actions taken by nearby nodes and best responses are further integrated with respect to the local beliefs on the state of the environment. We exemplify the use of the algorithm in coordination and target covering games.

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arXiv2016

A Decentralized Second-Order Method with Exact Linear Convergence Rate for Consensus Optimization

This paper considers decentralized consensus optimization problems where different summands of a global objective function are available at nodes of a network that can communicate with neighbors only. The proximal method of multipliers is considered as a powerful tool that relies on proximal primal descent and dual ascent updates on a suitably defined augmented Lagrangian. The structure of the augmented Lagrangian makes this problem non-decomposable, which precludes distributed implementations. This problem is regularly addressed by the use of the alternating direction method of multipliers. The exact second order method (ESOM) is introduced here as an alternative that relies on: (i) The use of a separable quadratic approximation of the augmented Lagrangian. (ii) A truncated Taylor's series to estimate the solution of the first order condition imposed on the minimization of the quadratic approximation of the augmented Lagrangian. The sequences of primal and dual variables generated by ESOM are shown to converge linearly to their optimal arguments when the aggregate cost function is strongly convex and its gradients are Lipschitz continuous. Numerical results demonstrate advantages of ESOM relative to decentralized alternatives in solving least squares and logistic regression problems.

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arXiv2016

Brain network efficiency is influenced by pathological source of corticobasal syndrome

Multimodal neuroimaging studies of corticobasal syndrome using volumetric MRI and DTI successfully discriminate between Alzheimer's disease and frontotemporal lobar degeneration but this evidence has typically included clinically heterogeneous patient cohorts and has rarely assessed the network structure of these distinct sources of pathology. Using structural MRI data, we identify areas in fronto-temporo-parietal cortex with reduced gray matter density in corticobasal syndrome relative to age matched controls. A support vector machine procedure demonstrates that gray matter density poorly discriminates between frontotemporal lobar degeneration and Alzheimer's disease pathology subgroups with low sensitivity and specificity. In contrast, a statistic of local network efficiency demonstrates excellent discriminatory power, with high sensitivity and specificity. Our results indicate that the underlying pathological sources of corticobasal syndrome can be classified more accurately using graph theoretical statistics of white matter microstructure in association cortex than by regional gray matter density alone. These results highlight the importance of a multimodal neuroimaging approach to diagnostic analyses of corticobasal syndrome and suggest that distinct sources of pathology mediate the circuitry of brain regions affected by corticobasal syndrome.

q-bio.NC↗

arXiv2015

Decentralized Quadratically Approximated Alternating Direction Method of Multipliers

This paper considers an optimization problem that components of the objective function are available at different nodes of a network and nodes are allowed to only exchange information with their neighbors. The decentralized alternating method of multipliers (DADMM) is a well-established iterative method for solving this category of problems; however, implementation of DADMM requires solving an optimization subproblem at each iteration for each node. This procedure is often computationally costly for the nodes. We introduce a decentralized quadratic approximation of ADMM (DQM) that reduces computational complexity of DADMM by minimizing a quadratic approximation of the objective function. Notwithstanding that DQM successively minimizes approximations of the cost, it converges to the optimal arguments at a linear rate which is identical to the convergence rate of DADMM. Further, we show that as time passes the coefficient of linear convergence for DQM approaches the one for DADMM. Numerical results demonstrate the effectiveness of DQM.

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arXiv2015

Interior Point Method for Dynamic Constrained Optimization in Continuous Time

This paper considers a class of convex optimization problems where both, the objective function and the constraints, have a continuously varying dependence on time. Our goal is to develop an algorithm to track the optimal solution as it continuously changes over time inside or on the boundary of the dynamic feasible set. We develop an interior point method that asymptotically succeeds in tracking this optimal point in nonstationary settings. The method utilizes a time varying constraint slack and a prediction-correction structure that relies on time derivatives of functions and constraints and Newton steps in the spatial domain. Error free tracking is guaranteed under customary assumptions on the optimization problems and time differentiability of objective and constraints. The effectiveness of the method is illustrated in a problem that involves multiple agents tracking multiple targets.

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arXiv2015

Metrics in the Space of High Order Networks

This paper presents methods to compare high order networks, defined as weighted complete hypergraphs collecting relationship functions between elements of tuples. They can be considered as generalizations of conventional networks where only relationship functions between pairs are defined. Important properties between relationships of tuples of different lengths are established, particularly when relationships encode dissimilarities or proximities between nodes. Two families of distances are then introduced in the space of high order networks. The distances measure differences between networks. We prove that they are valid metrics in the spaces of high order dissimilarity and proximity networks modulo permutation isomorphisms. Practical implications are explored by comparing the coauthorship networks of two popular signal processing researchers. The metrics succeed in identifying their respective collaboration patterns.

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arXiv2015

DQM: Decentralized Quadratically Approximated Alternating Direction Method of Multipliers

This paper considers decentralized consensus optimization problems where nodes of a network have access to different summands of a global objective function. Nodes cooperate to minimize the global objective by exchanging information with neighbors only. A decentralized version of the alternating directions method of multipliers (DADMM) is a common method for solving this category of problems. DADMM exhibits linear convergence rate to the optimal objective but its implementation requires solving a convex optimization problem at each iteration. This can be computationally costly and may result in large overall convergence times. The decentralized quadratically approximated ADMM algorithm (DQM), which minimizes a quadratic approximation of the objective function that DADMM minimizes at each iteration, is proposed here. The consequent reduction in computational time is shown to have minimal effect on convergence properties. Convergence still proceeds at a linear rate with a guaranteed constant that is asymptotically equivalent to the DADMM linear convergence rate constant. Numerical results demonstrate advantages of DQM relative to DADMM and other alternatives in a logistic regression problem.

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arXiv2015

Reconstruction of Graph Signals through Percolation from Seeding Nodes

New schemes to recover signals defined in the nodes of a graph are proposed. Our focus is on reconstructing bandlimited graph signals, which are signals that admit a sparse representation in a frequency domain related to the structure of the graph. Most existing formulations focus on estimating an unknown graph signal by observing its value on a subset of nodes. By contrast, in this paper, we study the problem of reconstructing a known graph signal using as input a graph signal that is non-zero only for a small subset of nodes (seeding nodes). The sparse signal is then percolated (interpolated) across the graph using a graph filter. Graph filters are a generalization of classical time-invariant systems and represent linear transformations that can be implemented distributedly across the nodes of the graph. Three setups are investigated. In the first one, a single simultaneous injection takes place on several nodes in the graph. In the second one, successive value injections take place on a single node. The third one is a generalization where multiple nodes inject multiple signal values. For noiseless settings, conditions under which perfect reconstruction is feasible are given, and the corresponding schemes to recover the desired signal are specified. Scenarios leading to imperfect reconstruction, either due to insufficient or noisy signal value injections, are also analyzed. Moreover, connections with classical interpolation in the time domain are discussed. The last part of the paper presents numerical experiments that illustrate the results developed through synthetic graph signals and two real-world signal reconstruction problems: influencing opinions in a social network and inducing a desired brain state in humans.

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arXiv2015

DSA: Decentralized Double Stochastic Averaging Gradient Algorithm

This paper considers convex optimization problems where nodes of a network have access to summands of a global objective. Each of these local objectives is further assumed to be an average of a finite set of functions. The motivation for this setup is to solve large scale machine learning problems where elements of the training set are distributed to multiple computational elements. The decentralized double stochastic averaging gradient (DSA) algorithm is proposed as a solution alternative that relies on: (i) The use of local stochastic averaging gradients. (ii) Determination of descent steps as differences of consecutive stochastic averaging gradients. Strong convexity of local functions and Lipschitz continuity of local gradients is shown to guarantee linear convergence of the sequence generated by DSA in expectation. Local iterates are further shown to approach the optimal argument for almost all realizations. The expected linear convergence of DSA is in contrast to the sublinear rate characteristic of existing methods for decentralized stochastic optimization. Numerical experiments on a logistic regression problem illustrate reductions in convergence time and number of feature vectors processed until convergence relative to these other alternatives.

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arXiv2015

Sampling of graph signals with successive local aggregations

A new scheme to sample signals defined in the nodes of a graph is proposed. The underlying assumption is that such signals admit a sparse representation in a frequency domain related to the structure of the graph, which is captured by the so-called graph-shift operator. Most of the works that have looked at this problem have focused on using the value of the signal observed at a subset of nodes to recover the signal in the entire graph. Differently, the sampling scheme proposed here uses as input observations taken at a single node. The observations correspond to sequential applications of the graph-shift operator, which are linear combinations of the information gathered by the neighbors of the node. When the graph corresponds to a directed cycle (which is the support of time-varying signals), our method is equivalent to the classical sampling in the time domain. When the graph is more general, we show that the Vandermonde structure of the sampling matrix, which is critical to guarantee recovery when sampling time-varying signals, is preserved. Sampling and interpolation are analyzed first in the absence of noise and then noise is considered. We then study the recovery of the sampled signal when the specific set of frequencies that is active is not known. Moreover, we present a more general sampling scheme, under which, either our aggregation approach or the alternative approach of sampling a graph signal by observing the value of the signal at a subset of nodes can be both viewed as particular cases. The last part of the paper presents numerical experiments that illustrate the results developed through both synthetic graph signals and a real-world graph of the economy of the United States.

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arXiv2015

Network Newton-Part I: Algorithm and Convergence

We study the problem of minimizing a sum of convex objective functions where the components of the objective are available at different nodes of a network and nodes are allowed to only communicate with their neighbors. The use of distributed gradient methods is a common approach to solve this problem. Their popularity notwithstanding, these methods exhibit slow convergence and a consequent large number of communications between nodes to approach the optimal argument because they rely on first order information only. This paper proposes the network Newton (NN) method as a distributed algorithm that incorporates second order information. This is done via distributed implementation of approximations of a suitably chosen Newton step. The approximations are obtained by truncation of the Newton step's Taylor expansion. This leads to a family of methods defined by the number $K$ of Taylor series terms kept in the approximation. When keeping $K$ terms of the Taylor series, the method is called NN-$K$ and can be implemented through the aggregation of information in $K$-hop neighborhoods. Convergence to a point close to the optimal argument at a rate that is at least linear is proven and the existence of a tradeoff between convergence time and the distance to the optimal argument is shown. Convergence rate, several practical implementation matters, and numerical analyses are presented in a companion paper [3].

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arXiv2015

Network Newton-Part II: Convergence Rate and Implementation

The use of network Newton methods for the decentralized optimization of a sum cost distributed through agents of a network is considered. Network Newton methods reinterpret distributed gradient descent as a penalty method, observe that the corresponding Hessian is sparse, and approximate the Newton step by truncating a Taylor expansion of the inverse Hessian. Truncating the series at $K$ terms yields the NN-$K$ that requires aggregating information from $K$ hops away. Network Newton is introduced and shown to converge to the solution of the penalized objective function at a rate that is at least linear in a companion paper [3]. The contributions of this work are: (i) To complement the convergence analysis by studying the methods' rate of convergence. (ii) To introduce adaptive formulations that converge to the optimal argument of the original objective. (iii) To perform numerical evaluations of NN-$K$ methods. The convergence analysis relates the behavior of NN-$K$ with the behavior of (regular) Newton's method and shows that the method goes through a quadratic convergence phase in a specific interval. The length of this quadratic phase grows with $K$ and can be made arbitrarily large. The numerical experiments corroborate reductions in the number of iterations and the communication cost that are necessary to achieve convergence relative to distributed gradient descent.

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arXiv2014

Network Newton

We consider minimization of a sum of convex objective functions where the components of the objective are available at different nodes of a network and nodes are allowed to only communicate with their neighbors. The use of distributed subgradient or gradient methods is widespread but they often suffer from slow convergence since they rely on first order information, which leads to a large number of local communications between nodes in the network. In this paper we propose the Network Newton (NN) method as a distributed algorithm that incorporates second order information via distributed evaluation of approximations to Newton steps. We also introduce adaptive (A)NN in order to establish exact convergence. Numerical analyses show significant improvement in both convergence time and number of communications for NN relative to existing (first order) alternatives.

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