arXiv subjects

Fabian Pedregosa

Publications and source records attributed to Fabian Pedregosa.

48 records · Page 3Linked to original sources

arXiv2018

Frank-Wolfe Splitting via Augmented Lagrangian Method

Minimizing a function over an intersection of convex sets is an important task in optimization that is often much more challenging than minimizing it over each individual constraint set. While traditional methods such as Frank-Wolfe (FW) or proximal gradient descent assume access to a linear or quadratic oracle on the intersection, splitting techniques take advantage of the structure of each sets, and only require access to the oracle on the individual constraints. In this work, we develop and analyze the Frank-Wolfe Augmented Lagrangian (FW-AL) algorithm, a method for minimizing a smooth function over convex compact sets related by a "linear consistency" constraint that only requires access to a linear minimization oracle over the individual constraints. It is based on the Augmented Lagrangian Method (ALM), also known as Method of Multipliers, but unlike most existing splitting methods, it only requires access to linear (instead of quadratic) minimization oracles. We use recent advances in the analysis of Frank-Wolfe and the alternating direction method of multipliers algorithms to prove a sublinear convergence rate for FW-AL over general convex compact sets and a linear convergence rate for polytopes.

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arXiv2018

Frank-Wolfe with Subsampling Oracle

We analyze two novel randomized variants of the Frank-Wolfe (FW) or conditional gradient algorithm. While classical FW algorithms require solving a linear minimization problem over the domain at each iteration, the proposed method only requires to solve a linear minimization problem over a small \emph{subset} of the original domain. The first algorithm that we propose is a randomized variant of the original FW algorithm and achieves a $\mathcal{O}(1/t)$ sublinear convergence rate as in the deterministic counterpart. The second algorithm is a randomized variant of the Away-step FW algorithm, and again as its deterministic counterpart, reaches linear (i.e., exponential) convergence rate making it the first provably convergent randomized variant of Away-step FW. In both cases, while subsampling reduces the convergence rate by a constant factor, the linear minimization step can be a fraction of the cost of that of the deterministic versions, especially when the data is streamed. We illustrate computational gains of the algorithms on regression problems, involving both $\ell_1$ and latent group lasso penalties.

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arXiv2017

ASAGA: Asynchronous Parallel SAGA

We describe ASAGA, an asynchronous parallel version of the incremental gradient algorithm SAGA that enjoys fast linear convergence rates. Through a novel perspective, we revisit and clarify a subtle but important technical issue present in a large fraction of the recent convergence rate proofs for asynchronous parallel optimization algorithms, and propose a simplification of the recently introduced "perturbed iterate" framework that resolves it. We thereby prove that ASAGA can obtain a theoretical linear speedup on multi-core systems even without sparsity assumptions. We present results of an implementation on a 40-core architecture illustrating the practical speedup as well as the hardware overhead.

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arXiv2017

Breaking the Nonsmooth Barrier: A Scalable Parallel Method for Composite Optimization

Due to their simplicity and excellent performance, parallel asynchronous variants of stochastic gradient descent have become popular methods to solve a wide range of large-scale optimization problems on multi-core architectures. Yet, despite their practical success, support for nonsmooth objectives is still lacking, making them unsuitable for many problems of interest in machine learning, such as the Lasso, group Lasso or empirical risk minimization with convex constraints. In this work, we propose and analyze ProxASAGA, a fully asynchronous sparse method inspired by SAGA, a variance reduced incremental gradient algorithm. The proposed method is easy to implement and significantly outperforms the state of the art on several nonsmooth, large-scale problems. We prove that our method achieves a theoretical linear speedup with respect to the sequential version under assumptions on the sparsity of gradients and block-separability of the proximal term. Empirical benchmarks on a multi-core architecture illustrate practical speedups of up to 12x on a 20-core machine.

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arXiv2017

On the Consistency of Ordinal Regression Methods

Many of the ordinal regression models that have been proposed in the literature can be seen as methods that minimize a convex surrogate of the zero-one, absolute, or squared loss functions. A key property that allows to study the statistical implications of such approximations is that of Fisher consistency. Fisher consistency is a desirable property for surrogate loss functions and implies that in the population setting, i.e., if the probability distribution that generates the data were available, then optimization of the surrogate would yield the best possible model. In this paper we will characterize the Fisher consistency of a rich family of surrogate loss functions used in the context of ordinal regression, including support vector ordinal regression, ORBoosting and least absolute deviation. We will see that, for a family of surrogate loss functions that subsumes support vector ordinal regression and ORBoosting, consistency can be fully characterized by the derivative of a real-valued function at zero, as happens for convex margin-based surrogates in binary classification. We also derive excess risk bounds for a surrogate of the absolute error that generalize existing risk bounds for binary classification. Finally, our analysis suggests a novel surrogate of the squared error loss. We compare this novel surrogate with competing approaches on 9 different datasets. Our method shows to be highly competitive in practice, outperforming the least squares loss on 7 out of 9 datasets.

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arXiv2014

Machine Learning for Neuroimaging with Scikit-Learn

Statistical machine learning methods are increasingly used for neuroimaging data analysis. Their main virtue is their ability to model high-dimensional datasets, e.g. multivariate analysis of activation images or resting-state time series. Supervised learning is typically used in decoding or encoding settings to relate brain images to behavioral or clinical observations, while unsupervised learning can uncover hidden structures in sets of images (e.g. resting state functional MRI) or find sub-populations in large cohorts. By considering different functional neuroimaging applications, we illustrate how scikit-learn, a Python machine learning library, can be used to perform some key analysis steps. Scikit-learn contains a very large set of statistical learning algorithms, both supervised and unsupervised, and its application to neuroimaging data provides a versatile tool to study the brain.

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arXiv2014

Data-driven HRF estimation for encoding and decoding models

Despite the common usage of a canonical, data-independent, hemodynamic response function (HRF), it is known that the shape of the HRF varies across brain regions and subjects. This suggests that a data-driven estimation of this function could lead to more statistical power when modeling BOLD fMRI data. However, unconstrained estimation of the HRF can yield highly unstable results when the number of free parameters is large. We develop a method for the joint estimation of activation and HRF using a rank constraint causing the estimated HRF to be equal across events/conditions, yet permitting it to be different across voxels. Model estimation leads to an optimization problem that we propose to solve with an efficient quasi-Newton method exploiting fast gradient computations. This model, called GLM with Rank-1 constraint (R1-GLM), can be extended to the setting of GLM with separate designs which has been shown to improve decoding accuracy in brain activity decoding experiments. We compare 10 different HRF modeling methods in terms of encoding and decoding score in two different datasets. Our results show that the R1-GLM model significantly outperforms competing methods in both encoding and decoding settings, positioning it as an attractive method both from the points of view of accuracy and computational efficiency.

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arXiv2013

API design for machine learning software: experiences from the scikit-learn project

Scikit-learn is an increasingly popular machine learning li- brary. Written in Python, it is designed to be simple and efficient, accessible to non-experts, and reusable in various contexts. In this paper, we present and discuss our design choices for the application programming interface (API) of the project. In particular, we describe the simple and elegant interface shared by all learning and processing units in the library and then discuss its advantages in terms of composition and reusability. The paper also comments on implementation details specific to the Python ecosystem and analyzes obstacles faced by users and developers of the library.

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arXiv2013

Second order scattering descriptors predict fMRI activity due to visual textures

Second layer scattering descriptors are known to provide good classification performance on natural quasi-stationary processes such as visual textures due to their sensitivity to higher order moments and continuity with respect to small deformations. In a functional Magnetic Resonance Imaging (fMRI) experiment we present visual textures to subjects and evaluate the predictive power of these descriptors with respect to the predictive power of simple contour energy - the first scattering layer. We are able to conclude not only that invariant second layer scattering coefficients better encode voxel activity, but also that well predicted voxels need not necessarily lie in known retinotopic regions.

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arXiv2013

HRF estimation improves sensitivity of fMRI encoding and decoding models

Extracting activation patterns from functional Magnetic Resonance Images (fMRI) datasets remains challenging in rapid-event designs due to the inherent delay of blood oxygen level-dependent (BOLD) signal. The general linear model (GLM) allows to estimate the activation from a design matrix and a fixed hemodynamic response function (HRF). However, the HRF is known to vary substantially between subjects and brain regions. In this paper, we propose a model for jointly estimating the hemodynamic response function (HRF) and the activation patterns via a low-rank representation of task effects.This model is based on the linearity assumption behind the GLM and can be computed using standard gradient-based solvers. We use the activation patterns computed by our model as input data for encoding and decoding studies and report performance improvement in both settings.

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arXiv2012

Learning to rank from medical imaging data

Medical images can be used to predict a clinical score coding for the severity of a disease, a pain level or the complexity of a cognitive task. In all these cases, the predicted variable has a natural order. While a standard classifier discards this information, we would like to take it into account in order to improve prediction performance. A standard linear regression does model such information, however the linearity assumption is likely not be satisfied when predicting from pixel intensities in an image. In this paper we address these modeling challenges with a supervised learning procedure where the model aims to order or rank images. We use a linear model for its robustness in high dimension and its possible interpretation. We show on simulations and two fMRI datasets that this approach is able to predict the correct ordering on pairs of images, yielding higher prediction accuracy than standard regression and multiclass classification techniques.

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arXiv2012

Improved brain pattern recovery through ranking approaches

Inferring the functional specificity of brain regions from functional Magnetic Resonance Images (fMRI) data is a challenging statistical problem. While the General Linear Model (GLM) remains the standard approach for brain mapping, supervised learning techniques (a.k.a.} decoding) have proven to be useful to capture multivariate statistical effects distributed across voxels and brain regions. Up to now, much effort has been made to improve decoding by incorporating prior knowledge in the form of a particular regularization term. In this paper we demonstrate that further improvement can be made by accounting for non-linearities using a ranking approach rather than the commonly used least-square regression. Through simulation, we compare the recovery properties of our approach to linear models commonly used in fMRI based decoding. We demonstrate the superiority of ranking with a real fMRI dataset.

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