arXiv subjects

Hoi-To Wai

Publications and source records attributed to Hoi-To Wai.

At least 73 records · Page 4Linked to original sources

arXiv2020

Resilient Primal-Dual Optimization Algorithms for Distributed Resource Allocation

Distributed algorithms for multi-agent resource allocation can provide privacy and scalability over centralized algorithms in many cyber-physical systems. However, the distributed nature of these algorithms can render these systems vulnerable to man-in-the-middle attacks that can lead to non-convergence and infeasibility of resource allocation schemes. In this paper, we propose attack-resilient distributed algorithms based on primal-dual optimization when Byzantine attackers are present in the system. In particular, we design attack-resilient primal-dual algorithms for static and dynamic impersonation attacks by means of robust statistics. For static impersonation attacks, we formulate a robustified optimization model and show that our algorithm guarantees convergence to a neighborhood of the optimal solution of the robustified problem. On the other hand, a robust optimization model is not required for the dynamic impersonation attack scenario and we are able to design an algorithm that is shown to converge to a near-optimal solution of the original problem. We analyze the performances of our algorithms through both theoretical and computational studies.

math.OC↗

arXiv2020

A User Guide to Low-Pass Graph Signal Processing and its Applications

The notion of graph filters can be used to define generative models for graph data. In fact, the data obtained from many examples of network dynamics may be viewed as the output of a graph filter. With this interpretation, classical signal processing tools such as frequency analysis have been successfully applied with analogous interpretation to graph data, generating new insights for data science. What follows is a user guide on a specific class of graph data, where the generating graph filters are low-pass, i.e., the filter attenuates contents in the higher graph frequencies while retaining contents in the lower frequencies. Our choice is motivated by the prevalence of low-pass models in application domains such as social networks, financial markets, and power systems. We illustrate how to leverage properties of low-pass graph filters to learn the graph topology or identify its community structure; efficiently represent graph data through sampling, recover missing measurements, and de-noise graph data; the low-pass property is also used as the baseline to detect anomalies.

eess.SP↗

arXiv2020

Block-Randomized Stochastic Proximal Gradient for Low-Rank Tensor Factorization

This work considers the problem of computing the canonical polyadic decomposition (CPD) of large tensors. Prior works mostly leverage data sparsity to handle this problem, which is not suitable for handling dense tensors that often arise in applications such as medical imaging, computer vision, and remote sensing. Stochastic optimization is known for its low memory cost and per-iteration complexity when handling dense data. However, exisiting stochastic CPD algorithms are not flexible enough to incorporate a variety of constraints/regularizations that are of interest in signal and data analytics. Convergence properties of many such algorithms are also unclear. In this work, we propose a stochastic optimization framework for large-scale CPD with constraints/regularizations. The framework works under a doubly randomized fashion, and can be regarded as a judicious combination of randomized block coordinate descent (BCD) and stochastic proximal gradient (SPG). The algorithm enjoys lightweight updates and small memory footprint. In addition, this framework entails considerable flexibility---many frequently used regularizers and constraints can be readily handled under the proposed scheme. The approach is also supported by convergence analysis. Numerical results on large-scale dense tensors are employed to showcase the effectiveness of the proposed approach.

eess.SP↗

arXiv2020

Accelerating Incremental Gradient Optimization with Curvature Information

This paper studies an acceleration technique for incremental aggregated gradient ({\sf IAG}) method through the use of \emph{curvature} information for solving strongly convex finite sum optimization problems. These optimization problems of interest arise in large-scale learning applications. Our technique utilizes a curvature-aided gradient tracking step to produce accurate gradient estimates incrementally using Hessian information. We propose and analyze two methods utilizing the new technique, the curvature-aided IAG ({\sf CIAG}) method and the accelerated CIAG ({\sf A-CIAG}) method, which are analogous to gradient method and Nesterov's accelerated gradient method, respectively. Setting $κ$ to be the condition number of the objective function, we prove the $R$ linear convergence rates of $1 - \frac{4c_0 κ}{(κ+1)^2}$ for the {\sf CIAG} method, and $1 - \sqrt{\frac{c_1}{2κ}}$ for the {\sf A-CIAG} method, where $c_0,c_1 \leq 1$ are constants inversely proportional to the distance between the initial point and the optimal solution. When the initial iterate is close to the optimal solution, the $R$ linear convergence rates match with the gradient and accelerated gradient method, albeit {\sf CIAG} and {\sf A-CIAG} operate in an incremental setting with strictly lower computation complexity. Numerical experiments confirm our findings. The source codes used for this paper can be found on \url{http://github.com/hoitowai/ciag/}.

math.OC↗

arXiv2020

Hybrid Inexact BCD for Coupled Structured Matrix Factorization in Hyperspectral Super-Resolution

This paper develops a first-order optimization method for coupled structured matrix factorization (CoSMF) problems that arise in the context of hyperspectral super-resolution (HSR) in remote sensing. To best leverage the problem structures for computational efficiency, we introduce a hybrid inexact block coordinate descent (HiBCD) scheme wherein one coordinate is updated via the fast proximal gradient (FPG) method, while another via the Frank-Wolfe (FW) method. The FPG-type methods are known to take less number of iterations to converge, by numerical experience, while the FW-type methods can offer lower per-iteration complexity in certain cases; and we wish to take the best of both. We show that the limit points of this HiBCD scheme are stationary. Our proof treats HiBCD as an optimization framework for a class of multi-block structured optimization problems, and our stationarity claim is applicable not only to CoSMF but also to many other problems. Previous optimization research showed the same stationarity result for inexact block coordinate descent with either FPG or FW updates only. Numerical results indicate that the proposed HiBCD scheme is computationally much more efficient than the state-of-the-art CoSMF schemes in HSR.

eess.SP↗

arXiv2020

Finite Time Analysis of Linear Two-timescale Stochastic Approximation with Markovian Noise

Linear two-timescale stochastic approximation (SA) scheme is an important class of algorithms which has become popular in reinforcement learning (RL), particularly for the policy evaluation problem. Recently, a number of works have been devoted to establishing the finite time analysis of the scheme, especially under the Markovian (non-i.i.d.) noise settings that are ubiquitous in practice. In this paper, we provide a finite-time analysis for linear two timescale SA. Our bounds show that there is no discrepancy in the convergence rate between Markovian and martingale noise, only the constants are affected by the mixing time of the Markov chain. With an appropriate step size schedule, the transient term in the expected error bound is $o(1/k^c)$ and the steady-state term is ${\cal O}(1/k)$, where $c>1$ and $k$ is the iteration number. Furthermore, we present an asymptotic expansion of the expected error with a matching lower bound of $Ω(1/k)$. A simple numerical experiment is presented to support our theory.

stat.ML↗

arXiv2020

Exact Blind Community Detection from Signals on Multiple Graphs

Networks and data supported on graphs have become ubiquitous in the sciences and engineering. This paper studies the 'blind' community detection problem, where we seek to infer the community structure of a graph model given the observation of independent graph signals on a set of nodes whose connections are unknown. We model each observation as filtered white noise, where the underlying network structure varies with every observation. These varying network structures are modeled as independent realizations of a latent planted partition model (PPM), justifying our assumption of a constant underlying community structure over all observations. Under certain conditions on the graph filter and PPM parameters, we propose algorithms for determining (i) the number of latent communities and (ii) the associated partitions of the PPM. We then prove statistical guarantees in the asymptotic and non-asymptotic sampling cases. Numerical experiments on real and synthetic data demonstrate the efficacy of our algorithms.

cs.SI↗

arXiv2020

Distributed Learning in the Non-Convex World: From Batch to Streaming Data, and Beyond

Distributed learning has become a critical enabler of the massively connected world envisioned by many. This article discusses four key elements of scalable distributed processing and real-time intelligence --- problems, data, communication and computation. Our aim is to provide a fresh and unique perspective about how these elements should work together in an effective and coherent manner. In particular, we {provide a selective review} about the recent techniques developed for optimizing non-convex models (i.e., problem classes), processing batch and streaming data (i.e., data types), over the networks in a distributed manner (i.e., communication and computation paradigm). We describe the intuitions and connections behind a core set of popular distributed algorithms, emphasizing how to trade off between computation and communication costs. Practical issues and future research directions will also be discussed.

cs.LG↗

arXiv2019

Estimating Centrality Blindly from Low-pass Filtered Graph Signals

This paper considers blind methods for centrality estimation from graph signals. We model graph signals as the outcome of an unknown low-pass graph filter excited with influences governed by a sparse sub-graph. This model is compatible with a number of data generation process on graphs, including stock data and opinion dynamics. Based on the said graph signal model, we first prove that the folklore heuristics based on PCA of data covariance matrix may fail when the graph filter is not sufficiently low-pass. To remedy, we propose a robust blind centrality estimation method which substantially improves the centrality estimation performance. Numerical results on synthetic and real data support our findings.

eess.SP↗

arXiv2019

On the Global Convergence of (Fast) Incremental Expectation Maximization Methods

The EM algorithm is one of the most popular algorithm for inference in latent data models. The original formulation of the EM algorithm does not scale to large data set, because the whole data set is required at each iteration of the algorithm. To alleviate this problem, Neal and Hinton have proposed an incremental version of the EM (iEM) in which at each iteration the conditional expectation of the latent data (E-step) is updated only for a mini-batch of observations. Another approach has been proposed by Cappé and Moulines in which the E-step is replaced by a stochastic approximation step, closely related to stochastic gradient. In this paper, we analyze incremental and stochastic version of the EM algorithm as well as the variance reduced-version of Chen et. al. in a common unifying framework. We also introduce a new version incremental version, inspired by the SAGA algorithm by Defazio et. al. We establish non-asymptotic convergence bounds for global convergence. Numerical applications are presented in this article to illustrate our findings.

stat.ML↗

arXiv2019

Resilient Distributed Optimization Algorithms for Resource Allocation

Distributed algorithms provide flexibility over centralized algorithms for resource allocation problems, e.g., cyber-physical systems. However, the distributed nature of these algorithms often makes the systems susceptible to man-in-the-middle attacks, especially when messages are transmitted between price-taking agents and a central coordinator. We propose a resilient strategy for distributed algorithms under the framework of primal-dual distributed optimization. We formulate a robust optimization model that accounts for Byzantine attacks on the communication channels between agents and coordinator. We propose a resilient primal-dual algorithm using state-of-the-art robust statistics methods. The proposed algorithm is shown to converge to a neighborhood of the robust optimization model, where the neighborhood's radius is proportional to the fraction of attacked channels.

math.OC↗

arXiv2019

Non-asymptotic Analysis of Biased Stochastic Approximation Scheme

Stochastic approximation (SA) is a key method used in statistical learning. Recently, its non-asymptotic convergence analysis has been considered in many papers. However, most of the prior analyses are made under restrictive assumptions such as unbiased gradient estimates and convex objective function, which significantly limit their applications to sophisticated tasks such as online and reinforcement learning. These restrictions are all essentially relaxed in this work. In particular, we analyze a general SA scheme to minimize a non-convex, smooth objective function. We consider update procedure whose drift term depends on a state-dependent Markov chain and the mean field is not necessarily of gradient type, covering approximate second-order method and allowing asymptotic bias for the one-step updates. We illustrate these settings with the online EM algorithm and the policy-gradient method for average reward maximization in reinforcement learning.

stat.ML↗

arXiv2019

Spectral partitioning of time-varying networks with unobserved edges

We discuss a variant of `blind' community detection, in which we aim to partition an unobserved network from the observation of a (dynamical) graph signal defined on the network. We consider a scenario where our observed graph signals are obtained by filtering white noise input, and the underlying network is different for every observation. In this fashion, the filtered graph signals can be interpreted as defined on a time-varying network. We model each of the underlying network realizations as generated by an independent draw from a latent stochastic blockmodel (SBM). To infer the partition of the latent SBM, we propose a simple spectral algorithm for which we provide a theoretical analysis and establish consistency guarantees for the recovery. We illustrate our results using numerical experiments on synthetic and real data, highlighting the efficacy of our approach.

cs.SI↗

arXiv2019

Blind Community Detection from Low-rank Excitations of a Graph Filter

This paper considers a new framework to detect communities in a graph from the observation of signals at its nodes. We model the observed signals as noisy outputs of an unknown network process, represented as a graph filter that is excited by a set of unknown low-rank inputs/excitations. Application scenarios of this model include diffusion dynamics, pricing experiments, and opinion dynamics. Rather than learning the precise parameters of the graph itself, we aim at retrieving the community structure directly. The paper shows that communities can be detected by applying a spectral method to the covariance matrix of graph signals. Our analysis indicates that the community detection performance depends on a `low-pass' property of the graph filter. We also show that the performance can be improved via a low-rank matrix plus sparse decomposition method when the latent parameter vectors are known. Numerical experiments demonstrate that our approach is effective.

cs.SI↗

arXiv2019

Multi-Agent Reinforcement Learning via Double Averaging Primal-Dual Optimization

Despite the success of single-agent reinforcement learning, multi-agent reinforcement learning (MARL) remains challenging due to complex interactions between agents. Motivated by decentralized applications such as sensor networks, swarm robotics, and power grids, we study policy evaluation in MARL, where agents with jointly observed state-action pairs and private local rewards collaborate to learn the value of a given policy. In this paper, we propose a double averaging scheme, where each agent iteratively performs averaging over both space and time to incorporate neighboring gradient information and local reward information, respectively. We prove that the proposed algorithm converges to the optimal solution at a global geometric rate. In particular, such an algorithm is built upon a primal-dual reformulation of the mean squared projected Bellman error minimization problem, which gives rise to a decentralized convex-concave saddle-point problem. To the best of our knowledge, the proposed double averaging primal-dual optimization algorithm is the first to achieve fast finite-time convergence on decentralized convex-concave saddle-point problems.

cs.LG↗

arXiv2018

Low-rank Interaction with Sparse Additive Effects Model for Large Data Frames

Many applications of machine learning involve the analysis of large data frames-matrices collecting heterogeneous measurements (binary, numerical, counts, etc.) across samples-with missing values. Low-rank models, as studied by Udell et al. [30], are popular in this framework for tasks such as visualization, clustering and missing value imputation. Yet, available methods with statistical guarantees and efficient optimization do not allow explicit modeling of main additive effects such as row and column, or covariate effects. In this paper, we introduce a low-rank interaction and sparse additive effects (LORIS) model which combines matrix regression on a dictionary and low-rank design, to estimate main effects and interactions simultaneously. We provide statistical guarantees in the form of upper bounds on the estimation error of both components. Then, we introduce a mixed coordinate gradient descent (MCGD) method which provably converges sub-linearly to an optimal solution and is computationally efficient for large scale data sets. We show on simulated and survey data that the method has a clear advantage over current practices, which consist in dealing separately with additive effects in a preprocessing step.

stat.ML↗

arXiv2018

SUCAG: Stochastic Unbiased Curvature-aided Gradient Method for Distributed Optimization

We propose and analyze a new stochastic gradient method, which we call Stochastic Unbiased Curvature-aided Gradient (SUCAG), for finite sum optimization problems. SUCAG constitutes an unbiased total gradient tracking technique that uses Hessian information to accelerate con- vergence. We analyze our method under the general asynchronous model of computation, in which each function is selected infinitely often with possibly unbounded (but sublinear) delay. For strongly convex problems, we establish linear convergence for the SUCAG method. When the initialization point is sufficiently close to the optimal solution, the established convergence rate is only dependent on the condition number of the problem, making it strictly faster than the known rate for the SAGA method. Furthermore, we describe a Markov-driven approach of implementing the SUCAG method in a distributed asynchronous multi-agent setting, via gossiping along a random walk on an undirected communication graph. We show that our analysis applies as long as the graph is connected and, notably, establishes an asymptotic linear convergence rate that is robust to the graph topology. Numerical results demonstrate the merits of our algorithm over existing methods.

math.OC↗

arXiv2018

Decentralized Frank-Wolfe Algorithm for Convex and Non-convex Problems

Decentralized optimization algorithms have received much attention due to the recent advances in network information processing. However, conventional decentralized algorithms based on projected gradient descent are incapable of handling high dimensional constrained problems, as the projection step becomes computationally prohibitive to compute. To address this problem, this paper adopts a projection-free optimization approach, a.k.a.~the Frank-Wolfe (FW) or conditional gradient algorithm. We first develop a decentralized FW (DeFW) algorithm from the classical FW algorithm. The convergence of the proposed algorithm is studied by viewing the decentralized algorithm as an inexact FW algorithm. Using a diminishing step size rule and letting $t$ be the iteration number, we show that the DeFW algorithm's convergence rate is ${\cal O}(1/t)$ for convex objectives; is ${\cal O}(1/t^2)$ for strongly convex objectives with the optimal solution in the interior of the constraint set; and is ${\cal O}(1/\sqrt{t})$ towards a stationary point for smooth but non-convex objectives. We then show that a consensus-based DeFW algorithm meets the above guarantees with two communication rounds per iteration. Furthermore, we demonstrate the advantages of the proposed DeFW algorithm on low-complexity robust matrix completion and communication efficient sparse learning. Numerical results on synthetic and real data are presented to support our findings.

math.OC↗