arXiv subjects

Ali H. Sayed

Publications and source records attributed to Ali H. Sayed.

At least 145 records · Page 8Linked to original sources

arXiv2017

Distributed Learning for Stochastic Generalized Nash Equilibrium Problems

This work examines a stochastic formulation of the generalized Nash equilibrium problem (GNEP) where agents are subject to randomness in the environment of unknown statistical distribution. We focus on fully-distributed online learning by agents and employ penalized individual cost functions to deal with coupled constraints. Three stochastic gradient strategies are developed with constant step-sizes. We allow the agents to use heterogeneous step-sizes and show that the penalty solution is able to approach the Nash equilibrium in a stable manner within $O(μ_\text{max})$, for small step-size value $μ_\text{max}$ and sufficiently large penalty parameters. The operation of the algorithm is illustrated by considering the network Cournot competition problem.

cs.GT↗

arXiv2017

Decentralized Consensus Optimization with Asynchrony and Delays

We propose an asynchronous, decentralized algorithm for consensus optimization. The algorithm runs over a network in which the agents communicate with their neighbors and perform local computation. In the proposed algorithm, each agent can compute and communicate independently at different times, for different durations, with the information it has even if the latest information from its neighbors is not yet available. Such an asynchronous algorithm reduces the time that agents would otherwise waste idle because of communication delays or because their neighbors are slower. It also eliminates the need for a global clock for synchronization. Mathematically, the algorithm involves both primal and dual variables, uses fixed step-size parameters, and provably converges to the exact solution under a bounded delay assumption and a random agent assumption. When running synchronously, the algorithm performs just as well as existing competitive synchronous algorithms such as PG-EXTRA, which diverges without synchronization. Numerical experiments confirm the theoretical findings and illustrate the performance of the proposed algorithm.

math.OC↗

arXiv2017

Multitask diffusion adaptation over networks with common latent representations

Online learning with streaming data in a distributed and collaborative manner can be useful in a wide range of applications. This topic has been receiving considerable attention in recent years with emphasis on both single-task and multitask scenarios. In single-task adaptation, agents cooperate to track an objective of common interest, while in multitask adaptation agents track multiple objectives simultaneously. Regularization is one useful technique to promote and exploit similarity among tasks in the latter scenario. This work examines an alternative way to model relations among tasks by assuming that they all share a common latent feature representation. As a result, a new multitask learning formulation is presented and algorithms are developed for its solution in a distributed online manner. We present a unified framework to analyze the mean-square-error performance of the adaptive strategies, and conduct simulations to illustrate the theoretical findings and potential applications.

cs.MA↗

arXiv2017

Social Learning over Weakly-Connected Graphs

In this paper, we study diffusion social learning over weakly-connected graphs. We show that the asymmetric flow of information hinders the learning abilities of certain agents regardless of their local observations. Under some circumstances that we clarify in this work, a scenario of total influence (or "mind-control") arises where a set of influential agents ends up shaping the beliefs of non-influential agents. We derive useful closed-form expressions that characterize this influence, and which can be used to motivate design problems to control it. We provide simulation examples to illustrate the results.

cs.SI↗

arXiv2016

Decentralized Clustering and Linking by Networked Agents

We consider the problem of decentralized clustering and estimation over multi-task networks, where agents infer and track different models of interest. The agents do not know beforehand which model is generating their own data. They also do not know which agents in their neighborhood belong to the same cluster. We propose a decentralized clustering algorithm aimed at identifying and forming clusters of agents of similar objectives, and at guiding cooperation to enhance the inference performance. One key feature of the proposed technique is the integration of the learning and clustering tasks into a single strategy. We analyze the performance of the procedure and show that the error probabilities of types I and II decay exponentially to zero with the step-size parameter. While links between agents following different objectives are ignored in the clustering process, we nevertheless show how to exploit these links to relay critical information across the network for enhanced performance. Simulation results illustrate the performance of the proposed method in comparison to other useful techniques.

math.OC↗

arXiv2016

On the Influence of Momentum Acceleration on Online Learning

The article examines in some detail the convergence rate and mean-square-error performance of momentum stochastic gradient methods in the constant step-size and slow adaptation regime. The results establish that momentum methods are equivalent to the standard stochastic gradient method with a re-scaled (larger) step-size value. The size of the re-scaling is determined by the value of the momentum parameter. The equivalence result is established for all time instants and not only in steady-state. The analysis is carried out for general strongly convex and smooth risk functions, and is not limited to quadratic risks. One notable conclusion is that the well-known bene ts of momentum constructions for deterministic optimization problems do not necessarily carry over to the adaptive online setting when small constant step-sizes are used to enable continuous adaptation and learn- ing in the presence of persistent gradient noise. From simulations, the equivalence between momentum and standard stochastic gradient methods is also observed for non-differentiable and non-convex problems.

math.OC↗

arXiv2016

Multitask diffusion adaptation over asynchronous networks

The multitask diffusion LMS is an efficient strategy to simultaneously infer, in a collaborative manner, multiple parameter vectors. Existing works on multitask problems assume that all agents respond to data synchronously. In several applications, agents may not be able to act synchronously because networks can be subject to several sources of uncertainties such as changing topology, random link failures, or agents turning on and off for energy conservation. In this work, we describe a model for the solution of multitask problems over asynchronous networks and carry out a detailed mean and mean-square error analysis. Results show that sufficiently small step-sizes can still ensure both stability and performance. Simulations and illustrative examples are provided to verify the theoretical findings. The framework is applied to a particular application involving spectral sensing.

eess.SY↗

arXiv2016

Proximal Multitask Learning over Networks with Sparsity-inducing Coregularization

In this work, we consider multitask learning problems where clusters of nodes are interested in estimating their own parameter vector. Cooperation among clusters is beneficial when the optimal models of adjacent clusters have a good number of similar entries. We propose a fully distributed algorithm for solving this problem. The approach relies on minimizing a global mean-square error criterion regularized by non-differentiable terms to promote cooperation among neighboring clusters. A general diffusion forward-backward splitting strategy is introduced. Then, it is specialized to the case of sparsity promoting regularizers. A closed-form expression for the proximal operator of a weighted sum of $\ell_1$-norms is derived to achieve higher efficiency. We also provide conditions on the step-sizes that ensure convergence of the algorithm in the mean and mean-square error sense. Simulations are conducted to illustrate the effectiveness of the strategy.

eess.SY↗

arXiv2016

Excess-Risk of Distributed Stochastic Learners

This work studies the learning ability of consensus and diffusion distributed learners from continuous streams of data arising from different but related statistical distributions. Four distinctive features for diffusion learners are revealed in relation to other decentralized schemes even under left-stochastic combination policies. First, closed-form expressions for the evolution of their excess-risk are derived for strongly-convex risk functions under a diminishing step-size rule. Second, using these results, it is shown that the diffusion strategy improves the asymptotic convergence rate of the excess-risk relative to non-cooperative schemes. Third, it is shown that when the in-network cooperation rules are designed optimally, the performance of the diffusion implementation can outperform that of naive centralized processing. Finally, the arguments further show that diffusion outperforms consensus strategies asymptotically, and that the asymptotic excess-risk expression is invariant to the particular network topology. The framework adopted in this work studies convergence in the stronger mean-square-error sense, rather than in distribution, and develops tools that enable a close examination of the differences between distributed strategies in terms of asymptotic behavior, as well as in terms of convergence rates.

math.OC↗

arXiv2016

Diffusion Estimation Over Cooperative Multi-Agent Networks With Missing Data

In many fields, and especially in the medical and social sciences and in recommender systems, data are gathered through clinical studies or targeted surveys. Participants are generally reluctant to respond to all questions in a survey or they may lack information to respond adequately to some questions. The data collected from these studies tend to lead to linear regression models where the regression vectors are only known partially: some of their entries are either missing completely or replaced randomly by noisy values. In this work, assuming missing positions are replaced by noisy values, we examine how a connected network of agents, with each one of them subjected to a stream of data with incomplete regression information, can cooperate with each other through local interactions to estimate the underlying model parameters in the presence of missing data. We explain how to adjust the distributed diffusion through (de)regularization in order to eliminate the bias introduced by the incomplete model. We also propose a technique to recursively estimate the (de)regularization parameter and examine the performance of the resulting strategy. We illustrate the results by considering two applications: one dealing with a mental health survey and the other dealing with a household consumption survey.

math.ST↗

arXiv2016

Diffusion-Based Adaptive Distributed Detection: Steady-State Performance in the Slow Adaptation Regime

This work examines the close interplay between cooperation and adaptation for distributed detection schemes over fully decentralized networks. The combined attributes of cooperation and adaptation are necessary to enable networks of detectors to continually learn from streaming data and to continually track drifts in the state of nature when deciding in favor of one hypothesis or another. The results in the paper establish a fundamental scaling law for the steady-state probabilities of miss-detection and false-alarm in the slow adaptation regime, when the agents interact with each other according to distributed strategies that employ small constant step-sizes. The latter are critical to enable continuous adaptation and learning. The work establishes three key results. First, it is shown that the output of the collaborative process at each agent has a steady-state distribution. Second, it is shown that this distribution is asymptotically Gaussian in the slow adaptation regime of small step-sizes. And third, by carrying out a detailed large deviations analysis, closed-form expressions are derived for the decaying rates of the false-alarm and miss-detection probabilities. Interesting insights are gained. In particular, it is verified that as the step-size $μ$ decreases, the error probabilities are driven to zero exponentially fast as functions of $1/μ$, and that the error exponents increase linearly in the number of agents. It is also verified that the scaling laws governing errors of detection and errors of estimation over networks behave very differently, with the former having an exponential decay proportional to $1/μ$, while the latter scales linearly with decay proportional to $μ$. It is shown that the cooperative strategy allows each agent to reach the same detection performance, in terms of detection error exponents, of a centralized stochastic-gradient solution.

cs.IT↗

arXiv2016

Online Dual Coordinate Ascent Learning

The stochastic dual coordinate-ascent (S-DCA) technique is a useful alternative to the traditional stochastic gradient-descent algorithm for solving large-scale optimization problems due to its scalability to large data sets and strong theoretical guarantees. However, the available S-DCA formulation is limited to finite sample sizes and relies on performing multiple passes over the same data. This formulation is not well-suited for online implementations where data keep streaming in. In this work, we develop an {\em online} dual coordinate-ascent (O-DCA) algorithm that is able to respond to streaming data and does not need to revisit the past data. This feature embeds the resulting construction with continuous adaptation, learning, and tracking abilities, which are particularly attractive for online learning scenarios.

math.OC↗

arXiv2016

Distributed Detection over Adaptive Networks: Refined Asymptotics and the Role of Connectivity

We consider distributed detection problems over adaptive networks, where dispersed agents learn continually from streaming data by means of local interactions. The simultaneous requirements of adaptation and cooperation are achieved by employing diffusion algorithms with constant step-size μ. In [1], [2] some main features of adaptive distributed detection were revealed. By resorting to large deviations analysis, it was established that the Type-I and Type-II error probabilities of all agents vanish exponentially as functions of 1/μ, and that all agents share the same Type-I and Type-II error exponents. However, numerical evidences presented in [1], [2] showed that the theory of large deviations does not capture the fundamental impact of network connectivity on performance, and that additional tools and efforts are required to obtain accurate predictions for the error probabilities. This work addresses these open issues and extends the results of [1], [2] in several directions. By conducting a refined asymptotic analysis based on the mathematical framework of exact asymptotics, we arrive at a revealing and powerful understanding of the universal behavior of distributed detection over adaptive networks: as functions of 1/μ, the error (log-)probability curves corresponding to different agents stay nearly-parallel to each other (as already discovered in [1], [2]), however, these curves are ordered following a criterion reflecting the degree of connectivity of each agent. Depending on the combination weights, the more connected an agent is, the lower its error probability curve will be. Interesting and somehow unexpected behaviors emerge, in terms of the interplay between the network topology, the combination weights, and the inference performance. The lesson learned is that connectivity matters.

cs.MA↗

arXiv2015

Information Exchange and Learning Dynamics over Weakly-Connected Adaptive Networks

The paper examines the learning mechanism of adaptive agents over weakly-connected graphs and reveals an interesting behavior on how information flows through such topologies. The results clarify how asymmetries in the exchange of data can mask local information at certain agents and make them totally dependent on other agents. A leader-follower relationship develops with the performance of some agents being fully determined by the performance of other agents that are outside their domain of influence. This scenario can arise, for example, due to intruder attacks by malicious agents or as the result of failures by some critical links. The findings in this work help explain why strong-connectivity of the network topology, adaptation of the combination weights, and clustering of agents are important ingredients to equalize the learning abilities of all agents against such disturbances. The results also clarify how weak-connectivity can be helpful in reducing the effect of outlier data on learning performance.

cs.MA↗

arXiv2015

Diffusion Adaptation over Multi-Agent Networks with Wireless Link Impairments

We study the performance of diffusion least-mean-square algorithms for distributed parameter estimation in multi-agent networks when nodes exchange information over wireless communication links. Wireless channel impairments, such as fading and path-loss, adversely affect the exchanged data and cause instability and performance degradation if left unattended. To mitigate these effects, we incorporate equalization coefficients into the diffusion combination step and update the combination weights dynamically in the face of randomly changing neighborhoods due to fading conditions. When channel state information (CSI) is unavailable, we determine the equalization factors from pilot-aided channel coefficient estimates. The analysis reveals that by properly monitoring the CSI over the network and choosing sufficiently small adaptation step-sizes, the diffusion strategies are able to deliver satisfactory performance in the presence of fading and path loss.

eess.SY↗

arXiv2015

Estimation of Space-Time Varying Parameters Using a Diffusion LMS Algorithm

We study the problem of distributed adaptive estimation over networks where nodes cooperate to estimate physical parameters that can vary over both space and time domains. We use a set of basis functions to characterize the space-varying nature of the parameters and propose a diffusion least mean-squares (LMS) strategy to recover these parameters from successive time measurements. We analyze the stability and convergence of the proposed algorithm, and derive closed-form expressions to predict its learning behavior and steady-state performance in terms of mean-square error. We find that in the estimation of the space-varying parameters using distributed approaches, the covariance matrix of the regression data at each node becomes rank-deficient. Our analysis reveals that the proposed algorithm can overcome this difficulty to a large extent by benefiting from the network stochastic matrices that are used to combine exchanged information between nodes. We provide computer experiments to illustrate and support the theoretical findings.

eess.SY↗

arXiv2015

Information-Sharing over Adaptive Networks with Self-interested Agents

We examine the behavior of multi-agent networks where information-sharing is subject to a positive communications cost over the edges linking the agents. We consider a general mean-square-error formulation where all agents are interested in estimating the same target vector. We first show that, in the absence of any incentives to cooperate, the optimal strategy for the agents is to behave in a selfish manner with each agent seeking the optimal solution independently of the other agents. Pareto inefficiency arises as a result of the fact that agents are not using historical data to predict the behavior of their neighbors and to know whether they will reciprocate and participate in sharing information. Motivated by this observation, we develop a reputation protocol to summarize the opponent's past actions into a reputation score, which can then be used to form a belief about the opponent's subsequent actions. The reputation protocol entices agents to cooperate and turns their optimal strategy into an action-choosing strategy that enhances the overall social benefit of the network. In particular, we show that when the communications cost becomes large, the expected social benefit of the proposed protocol outperforms the social benefit that is obtained by cooperative agents that always share data. We perform a detailed mean-square-error analysis of the evolution of the network over three domains: far field, near-field, and middle-field, and show that the network behavior is stable for sufficiently small step-sizes. The various theoretical results are illustrated by numerical simulations.

cs.MA↗

arXiv2015

Stability and Performance Limits of Adaptive Primal-Dual Networks

This work studies distributed primal-dual strategies for adaptation and learning over networks from streaming data. Two first-order methods are considered based on the Arrow-Hurwicz (AH) and augmented Lagrangian (AL) techniques. Several revealing results are discovered in relation to the performance and stability of these strategies when employed over adaptive networks. The conclusions establish that the advantages that these methods have for deterministic optimization problems do not necessarily carry over to stochastic optimization problems. It is found that they have narrower stability ranges and worse steady-state mean-square-error performance than primal methods of the consensus and diffusion type. It is also found that the AH technique can become unstable under a partial observation model, while the other techniques are able to recover the unknown under this scenario. A method to enhance the performance of AL strategies is proposed by tying the selection of the step-size to their regularization parameter. It is shown that this method allows the AL algorithm to approach the performance of consensus and diffusion strategies but that it remains less stable than these other strategies.

math.OC↗