arXiv subjects

Mathukumalli Vidyasagar

Publications and source records attributed to Mathukumalli Vidyasagar.

At least 19 recordsLinked to original sources

arXiv2026

Convergence of Two Time-Scale Stochastic Approximation: A Martingale Approach

In this paper, we analyze the two time-scale stochastic approximation (TTSSA) algorithm introduced in Borkar (1997) using a martingale approach. This approach leads to simple sufficient conditions for the iterations to be bounded almost surely, as well as estimates on the rate of convergence of the mean-squared error of the TTSSA algorithm to zero. Our theory is applicable to nonlinear equations, in contrast to many papers in the TTSSA literature which assume that the equations are linear. The convergence of TTSSA is proved in the "almost sure" sense, in contrast to earlier papers on TTSSA that establish convergence in distribution, convergence in the mean, and the like. Moreover, in this paper we establish different rates of convergence for the fast and the slow subsystems, perhaps for the first time. Finally, all of the above results to continue to hold in the case where the two measurement errors have nonzero conditional mean, and/or have conditional variances that grow without bound as the iterations proceed. This is in contrast to previous papers which assumed that the errors form a martingale difference sequence with uniformly bounded conditional variance. It is shown that when the measurement errors have zero conditional mean and the conditional variance remains bounded, the mean-squared error of the iterations converges to zero at a rate of $o(t^{-\eta})$ for all $\eta \in (0,1)$. This improves upon the rate of $O(t^{-2/3})$ proved in Doan (2023) (which is the best bound available to date). Our bound is virtually the same as the rate of $O(t^{-1})$ proved in Doan (2024), but for a Polyak-Ruppert averaged version of TTSSA, and not directly. Rates of convergence are also established for the case where the errors have nonzero conditional mean and/or unbounded conditional variance.

stat.ML↗

arXiv2025

Convergence of Momentum-Based Optimization Algorithms with Time-Varying Parameters

In this paper, we present a unified algorithm for stochastic optimization that makes use of a "momentum" term; in other words, the stochastic gradient depends not only on the current true gradient of the objective function, but also on the true gradient at the previous iteration. Our formulation includes the Stochastic Heavy Ball (SHB) and the Stochastic Nesterov Accelerated Gradient (SNAG) algorithms as special cases. In addition, in our formulation, the momentum term is allowed to vary as a function of time (i.e., the iteration counter). The assumptions on the stochastic gradient are the most general in the literature, in that it can be biased, and have a conditional variance that grows in an unbounded fashion as a function of time. This last feature is crucial in order to make the theory applicable to "zero-order" methods, where the gradient is estimated using just two function evaluations. We present a set of sufficient conditions for the convergence of the unified algorithm. These conditions are natural generalizations of the familiar Robbins-Monro and Kiefer-Wolfowitz-Blum conditions for standard stochastic gradient descent. We also analyze another method from the literature for the SHB algorithm with a time-varying momentum parameter, and show that it is impracticable.

math.OC↗

arXiv2025

Revisiting Stochastic Approximation and Stochastic Gradient Descent

In this paper, we introduce a new approach to proving the convergence of the Stochastic Approximation (SA) and the Stochastic Gradient Descent (SGD) algorithms. The new approach is based on a concept called GSLLN (Generalized Strong Law of Large Numbers), which extends the traditional SLLN. Using this concept, we provide sufficient conditions for convergence, which effectively decouple the properties of the function whose zero we are trying to find, from the properties of the measurement errors (noise sequence). The new approach provides an alternative to the two widely used approaches, namely the ODE approach and the martingale approach, and also permits a wider class of noise signals than either of the two known approaches. In particular, the ``noise'' or measurement error \textit{need not} have a finite second moment, and under suitable conditions, not even a finite mean. By adapting this method of proof, we also derive sufficient conditions for the convergence of zero-order SGD, wherein the stochastic gradient is computed using $2d$ function evaluations, but no gradient computations. The sufficient conditions derived here are the weakest to date, thus leading to a considerable expansion of the applicability of SA and SGD theory.

math.OC↗

arXiv2024

Estimating large causal polytrees from small samples

We consider the problem of estimating a large causal polytree from a relatively small i.i.d. sample. This is motivated by the problem of determining causal structure when the number of variables is very large compared to the sample size, such as in gene regulatory networks. We give an algorithm that recovers the tree with high accuracy in such settings. The algorithm works under essentially no distributional or modeling assumptions other than some mild non-degeneracy conditions.

stat.ME↗

arXiv2023

A Tutorial Introduction to Reinforcement Learning

In this paper, we present a brief survey of Reinforcement Learning (RL), with particular emphasis on Stochastic Approximation (SA) as a unifying theme. The scope of the paper includes Markov Reward Processes, Markov Decision Processes, Stochastic Approximation algorithms, and widely used algorithms such as Temporal Difference Learning and $Q$-learning.

cs.LG↗

arXiv2023

Convergence of the Stochastic Heavy Ball Method With Approximate Gradients and/or Block Updating

In this paper, we establish the convergence of the stochastic Heavy Ball (SHB) algorithm under more general conditions than in the current literature. Specifically, (i) The stochastic gradient is permitted to be biased, and also, to have conditional variance that grows over time (or iteration number). This feature is essential when applying SHB with zeroth-order methods, which use only two function evaluations to approximate the gradient. In contrast, all existing papers assume that the stochastic gradient is unbiased and/or has bounded conditional variance. (ii) The step sizes are permitted to be random, which is essential when applying SHB with block updating. The sufficient conditions for convergence are stochastic analogs of the well-known Robbins-Monro conditions. This is in contrast to existing papers where more restrictive conditions are imposed on the step size sequence. (iii) Our analysis embraces not only convex functions, but also more general functions that satisfy the PL (Polyak-{\L}ojasiewicz) and KL (Kurdyka-{\L}ojasiewicz) conditions. (iv) If the stochastic gradient is unbiased and has bounded variance, and the objective function satisfies (PL), then the iterations of SHB match the known best rates for convex functions. (v) We establish the almost-sure convergence of the iterations, as opposed to convergence in the mean or convergence in probability, which is the case in much of the literature. (vi) Each of the above convergence results continue to hold if full-coordinate updating is replaced by any one of three widely-used updating methods. In addition, numerical computations are carried out to illustrate the above points.

math.OC↗

arXiv2022

SUTRA: A Novel Approach to Modelling Pandemics with Applications to COVID-19

The Covid-19 pandemic has two key properties: (i) asymptomatic cases (both detected and undetected) that can result in new infections, and (ii) time-varying characteristics due to new variants, Non-Pharmaceutical Interventions etc. We develop a model called SUTRA (Susceptible, Undetected though infected, Tested positive, and Removed Analysis) that takes into account both of these two key properties. While applying the model to a region, two parameters of the model can be learnt from the number of daily new cases found in the region. Using the learnt values of the parameters the model can predict the number of daily new cases so long as the learnt parameters do not change substantially. Whenever any of the two parameters changes due to the key property (ii) above, the SUTRA model can detect that the values of one or both of the parameters have changed. Further, the model has the capability to relearn the changed parameter values, and then use these to carry out the prediction of the trajectory of the pandemic for the region of concern. The SUTRA approach can be applied at various levels of granularity, from an entire country to a district, more specifically, to any large enough region for which the data of daily new cases are available. We have applied the SUTRA model to thirty-two countries, covering more than half of the world's population. Our conclusions are: (i) The model is able to capture the past trajectories very well. Moreover, the parameter values, which we can estimate robustly, help quantify the impact of changes in the pandemic characteristics. (ii) Unless the pandemic characteristics change significantly, the model has good predictive capability. (iii) Natural immunity provides significantly better protection against infection than the currently available vaccines.

q-bio.PE↗

arXiv2020

New and Explicit Constructions of Unbalanced Ramanujan Bipartite Graphs

The objectives of this article are three-fold. Firstly, we present for the first time explicit constructions of an infinite family of \textit{unbalanced} Ramanujan bigraphs. Secondly, we revisit some of the known methods for constructing Ramanujan graphs and discuss the computational work required in actually implementing the various construction methods. The third goal of this article is to address the following question: can we construct a bipartite Ramanujan graph with specified degrees, but with the restriction that the edge set of this graph must be distinct from a given set of "prohibited" edges? We provide an affirmative answer in many cases, as long as the set of prohibited edges is not too large.

stat.ML↗

arXiv2020

Deterministic Completion of Rectangular Matrices Using Asymmetric Ramanujan Graphs: Exact and Stable Recovery

In this paper we study the matrix completion problem: Suppose $X \in {\mathbb R}^{n_r \times n_c}$ is unknown except for a known upper bound $r$ on its rank. By measuring a small number $m \ll n_r n_c$ of elements of $X$, is it possible to recover $X$ exactly with noise-free measurements, or to construct a good approximation of $X$ with noisy measurements? Existing solutions to these problems involve sampling the elements uniformly and at random, and can guarantee exact recovery of the unknown matrix only with high probability. In this paper, we present a \textit{deterministic} sampling method for matrix completion. We achieve this by choosing the sampling set as the edge set of an asymmetric Ramanujan bigraph, and constrained nuclear norm minimization is the recovery method. Specifically, we derive sufficient conditions under which the unknown matrix is completed exactly with noise-free measurements, and is approximately completed with noisy measurements, which we call "stable" completion. The conditions derived here are only sufficient and more restrictive than random sampling. To study how close they are to being necessary, we conducted numerical simulations on randomly generated low rank matrices, using the LPS families of Ramanujan graphs. These simulations demonstrate two facts: (i) In order to achieve exact completion, it appears sufficient to choose the degree $d$ of the Ramanujan graph to be $\geq 3r$. (ii) There is a "phase transition," whereby the likelihood of success suddenly drops from 100\% to 0\% if the rank is increased by just one or two beyond a critical value. The phase transition phenomenon is well-known and well-studied in vector recovery using $\ell_1$-norm minimization. However, it is less studied in matrix completion and nuclear norm minimization, and not much understood.

stat.ML↗

arXiv2020

Compressed Sensing Using Binary Matrices of Nearly Optimal Dimensions

In this paper, we study the problem of compressed sensing using binary measurement matrices and $\ell_1$-norm minimization (basis pursuit) as the recovery algorithm. We derive new upper and lower bounds on the number of measurements to achieve robust sparse recovery with binary matrices. We establish sufficient conditions for a column-regular binary matrix to satisfy the robust null space property (RNSP) and show that the associated sufficient conditions % sparsity bounds for robust sparse recovery obtained using the RNSP are better by a factor of $(3 \sqrt{3})/2 \approx 2.6$ compared to the sufficient conditions obtained using the restricted isometry property (RIP). Next we derive universal \textit{lower} bounds on the number of measurements that any binary matrix needs to have in order to satisfy the weaker sufficient condition based on the RNSP and show that bipartite graphs of girth six are optimal. Then we display two classes of binary matrices, namely parity check matrices of array codes and Euler squares, which have girth six and are nearly optimal in the sense of almost satisfying the lower bound. In principle, randomly generated Gaussian measurement matrices are "order-optimal". So we compare the phase transition behavior of the basis pursuit formulation using binary array codes and Gaussian matrices and show that (i) there is essentially no difference between the phase transition boundaries in the two cases and (ii) the CPU time of basis pursuit with binary matrices is hundreds of times faster than with Gaussian matrices and the storage requirements are less. Therefore it is suggested that binary matrices are a viable alternative to Gaussian matrices for compressed sensing using basis pursuit. \end{abstract}

stat.ML↗

arXiv2018

Tight Performance Bounds for Compressed Sensing With Conventional and Group Sparsity

In this paper, we study the problem of recovering a group sparse vector from a small number of linear measurements. In the past the common approach has been to use various "group sparsity-inducing" norms such as the Group LASSO norm for this purpose. By using the theory of convex relaxations, we show that it is also possible to use $\ell_1$-norm minimization for group sparse recovery. We introduce a new concept called group robust null space property (GRNSP), and show that, under suitable conditions, a group version of the restricted isometry property (GRIP) implies the GRNSP, and thus leads to group sparse recovery. When all groups are of equal size, our bounds are less conservative than known bounds. Moreover, our results apply even to situations where where the groups have different sizes. When specialized to conventional sparsity, our bounds reduce to one of the well-known "best possible" conditions for sparse recovery. This relationship between GRNSP and GRIP is new even for conventional sparsity, and substantially streamlines the proofs of some known results. Using this relationship, we derive bounds on the $\ell_p$-norm of the residual error vector for all $p \in [1,2]$, and not just when $p = 2$. When the measurement matrix consists of random samples of a sub-Gaussian random variable, we present bounds on the number of measurements, which are less conservative than currently known bounds.

stat.ML↗

arXiv2018

A Fast Noniterative Algorithm for Compressive Sensing Using Binary Measurement Matrices

In this paper we present a new algorithm for compressive sensing that makes use of binary measurement matrices and achieves exact recovery of ultra sparse vectors, in a single pass and without any iterations. Due to its noniterative nature, our algorithm is hundreds of times faster than $\ell_1$-norm minimization, and methods based on expander graphs, both of which require multiple iterations. Our algorithm can accommodate nearly sparse vectors, in which case it recovers index set of the largest components, and can also accommodate burst noise measurements. Compared to compressive sensing methods that are guaranteed to achieve exact recovery of all sparse vectors, our method requires fewer measurements However, methods that achieve statistical recovery, that is, recovery of almost all but not all sparse vectors, can require fewer measurements than our method.

cs.IT↗

arXiv2017

CLOT Norm Minimization for Continuous Hands-off Control

In this paper, we consider hands-off control via minimization of the CLOT (Combined $L$-One and Two) norm. The maximum hands-off control is the $L^0$-optimal (or the sparsest) control among all feasible controls that are bounded by a specified value and transfer the state from a given initial state to the origin within a fixed time duration. In general, the maximum hands-off control is a bang-off-bang control taking values of $\pm 1$ and $0$. For many real applications, such discontinuity in the control is not desirable. To obtain a continuous but still relatively sparse control, we propose to use the CLOT norm, a convex combination of $L^1$ and $L^2$ norms. We show by numerical simulations that the CLOT control is continuous and much sparser (i.e. has longer time duration on which the control takes 0) than the conventional EN (elastic net) control, which is a convex combination of $L^1$ and squared $L^2$ norms. We also prove that the CLOT control is continuous in the sense that, if $O(h)$ denotes the sampling period, then the difference between successive values of the CLOT-optimal control is $O(\sqrt{h})$, which is a form of continuity. Also, the CLOT formulation is extended to encompass constraints on the state variable.

eess.SY↗

arXiv2017

An Approach to One-Bit Compressed Sensing Based on Probably Approximately Correct Learning Theory

In this paper, the problem of one-bit compressed sensing (OBCS) is formulated as a problem in probably approximately correct (PAC) learning. It is shown that the Vapnik-Chervonenkis (VC-) dimension of the set of half-spaces in $\mathbb{R}^n$ generated by $k$-sparse vectors is bounded below by $k \lg (n/k)$ and above by $2k \lg (n/k)$, plus some round-off terms. By coupling this estimate with well-established results in PAC learning theory, we show that a consistent algorithm can recover a $k$-sparse vector with $O(k \lg (n/k))$ measurements, given only the signs of the measurement vector. This result holds for \textit{all} probability measures on $\mathbb{R}^n$. It is further shown that random sign-flipping errors result only in an increase in the constant in the $O(k \lg (n/k))$ estimate. Because constructing a consistent algorithm is not straight-forward, we present a heuristic based on the $\ell_1$-norm support vector machine, and illustrate that its computational performance is superior to a currently popular method.

stat.ML↗

arXiv2017

Two New Approaches to Compressed Sensing Exhibiting Both Robust Sparse Recovery and the Grouping Effect

In this paper we introduce a new optimization formulation for sparse regression and compressed sensing, called CLOT (Combined L-One and Two), wherein the regularizer is a convex combination of the $\ell_1$- and $\ell_2$-norms. This formulation differs from the Elastic Net (EN) formulation, in which the regularizer is a convex combination of the $\ell_1$- and $\ell_2$-norm squared. It is shown that, in the context of compressed sensing, the EN formulation does not achieve robust recovery of sparse vectors, whereas the new CLOT formulation achieves robust recovery. Also, like EN but unlike LASSO, the CLOT formulation achieves the grouping effect, wherein coefficients of highly correlated columns of the measurement (or design) matrix are assigned roughly comparable values. It is already known LASSO does not have the grouping effect. Therefore the CLOT formulation combines the best features of both LASSO (robust sparse recovery) and EN (grouping effect). The CLOT formulation is a special case of another one called SGL (Sparse Group LASSO) which was introduced into the literature previously, but without any analysis of either the grouping effect or robust sparse recovery. It is shown here that SGL achieves robust sparse recovery, and also achieves a version of the grouping effect in that coefficients of highly correlated columns belonging to the same group of the measurement (or design) matrix are assigned roughly comparable values.

stat.ML↗

arXiv2016

Continuous Hands-off Control by CLOT Norm Minimization

In this paper, we consider hands-off control via minimization of the CLOT (Combined L-One and Two) norm. The maximum hands-off control is the L0-optimal (or the sparsest) control among all feasible controls that are bounded by a specified value and transfer the state from a given initial state to the origin within a fixed time duration. In general, the maximum hands-off control is a bang-off-bang control taking values of +1, -1, and 0. For many real applications, such discontinuity in the control is not desirable. To obtain a continuous but still relatively sparse control, we propose to use the CLOT norm, a convex combination of L1 and L2 norms. We show by numerical simulation that the CLOT control is continuous and much sparser (i.e. has longer time duration on which the control takes 0) than the conventional EN (elastic net) control, which is a convex combination of L1 and squared L2 norms.

eess.SY↗

arXiv2014

Near-Ideal Behavior of Compressed Sensing Algorithms

In a recent paper, it is shown that the LASSO algorithm exhibits "near-ideal behavior," in the following sense: Suppose $y = Az + η$ where $A$ satisfies the restricted isometry property (RIP) with a sufficiently small constant, and $\Vert η\Vert_2 \leq ε$. Then minimizing $\Vert z \Vert_1$ subject to $\Vert y - Az \Vert_2 \leq ε$ leads to an estimate $\hat{x}$ whose error $\Vert \hat{x} - x \Vert_2$ is bounded by a universal constant times the error achieved by an "oracle" that knows the location of the nonzero components of $x$. In the world of optimization, the LASSO algorithm has been generalized in several directions such as the group LASSO, the sparse group LASSO, either without or with tree-structured overlapping groups, and most recently, the sorted LASSO. In this paper, it is shown that {\it any algorithm\/} exhibits near-ideal behavior in the above sense, provided only that (i) the norm used to define the sparsity index is "decomposable," (ii) the penalty norm that is minimized in an effort to enforce sparsity is "$γ$-decomposable," and (iii) a "compressibility condition" in terms of a group restricted isometry property is satisfied. Specifically, the group LASSO, and the sparse group LASSO (with some permissible overlap in the groups), as well as the sorted $\ell_1$-norm minimization all exhibit near-ideal behavior. Explicit bounds on the residual error are derived that contain previously known results as special cases.

stat.ML↗

arXiv2014

Machine Learning Methods in the Computational Biology of Cancer

The objectives of this "perspective" paper are to review some recent advances in sparse feature selection for regression and classification, as well as compressed sensing, and to discuss how these might be used to develop tools to advance personalized cancer therapy. As an illustration of the possibilities, a new algorithm for sparse regression is presented, and is applied to predict the time to tumor recurrence in ovarian cancer. A new algorithm for sparse feature selection in classification problems is presented, and its validation in endometrial cancer is briefly discussed. Some open problems are also presented.

q-bio.QM↗