arXiv subjects

Maxim Raginsky

Publications and source records attributed to Maxim Raginsky.

At least 55 records · Page 3Linked to original sources

arXiv2018

Discrete-time Risk-sensitive Mean-field Games

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In this game model, each agent is coupled with the rest of the population through the empirical distribution of the states, which affects both the agent's individual cost and its state dynamics. Under mild assumptions, we establish the existence of a mean-field equilibrium in the infinite-population limit as the number of agents ($N$) goes to infinity, and then show that the policy obtained from the mean-field equilibrium constitutes an approximate Nash equilibrium when $N$ is sufficiently large.

math.OC↗

arXiv2018

Sequential Empirical Coordination Under an Output Entropy Constraint

This paper considers the problem of sequential empirical coordination, where the objective is to achieve a given value of the expected uniform deviation between state-action empirical averages and statistical expectations under a given strategic probability measure, with respect to a given universal Glivenko-Cantelli class of test functions. A communication constraint is imposed on the Shannon entropy of the resulting action sequence. It is shown that the fundamental limit on the output entropy is given by the minimum of the mutual information between the state and the action processes under all strategic measures that have the same marginal state process as the target measure and approximate the target measure to desired accuracy with respect to the underlying Glivenko--Cantelli seminorm. The fundamental limit is shown to be asymptotically achievable by tree-structured codes.

cs.IT↗

arXiv2018

Approximate Nash Equilibria in Partially Observed Stochastic Games with Mean-Field Interactions

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players (agents) and the decentralized nature of this information. When the number of players is sufficiently large and the interactions among agents is of the mean-field type, one way to overcome this challenge is to investigate the infinite-population limit of the problem, which leads to a mean-field game. In this paper, we consider discrete-time partially observed mean-field games with infinite-horizon discounted cost criteria. Using the technique of converting the original partially observed stochastic control problem to a fully observed one on the belief space and the dynamic programming principle, we establish the existence of Nash equilibria for these game models under very mild technical conditions. Then, we show that the mean-field equilibrium policy, when adopted by each agent, forms an approximate Nash equilibrium for games with sufficiently many agents.

eess.SY↗

arXiv2018

Local Optimality and Generalization Guarantees for the Langevin Algorithm via Empirical Metastability

We study the detailed path-wise behavior of the discrete-time Langevin algorithm for non-convex Empirical Risk Minimization (ERM) through the lens of metastability, adopting some techniques from Berglund and Gentz (2003. For a particular local optimum of the empirical risk, with an arbitrary initialization, we show that, with high probability, at least one of the following two events will occur: (1) the Langevin trajectory ends up somewhere outside the $\varepsilon$-neighborhood of this particular optimum within a short recurrence time; (2) it enters this $\varepsilon$-neighborhood by the recurrence time and stays there until a potentially exponentially long escape time. We call this phenomenon empirical metastability. This two-timescale characterization aligns nicely with the existing literature in the following two senses. First, the effective recurrence time (i.e., number of iterations multiplied by stepsize) is dimension-independent, and resembles the convergence time of continuous-time deterministic Gradient Descent (GD). However unlike GD, the Langevin algorithm does not require strong conditions on local initialization, and has the possibility of eventually visiting all optima. Second, the scaling of the escape time is consistent with the Eyring-Kramers law, which states that the Langevin scheme will eventually visit all local minima, but it will take an exponentially long time to transit among them. We apply this path-wise concentration result in the context of statistical learning to examine local notions of generalization and optimality.

cs.LG↗

arXiv2017

Information-theoretic analysis of generalization capability of learning algorithms

We derive upper bounds on the generalization error of a learning algorithm in terms of the mutual information between its input and output. The bounds provide an information-theoretic understanding of generalization in learning problems, and give theoretical guidelines for striking the right balance between data fit and generalization by controlling the input-output mutual information. We propose a number of methods for this purpose, among which are algorithms that regularize the ERM algorithm with relative entropy or with random noise. Our work extends and leads to nontrivial improvements on the recent results of Russo and Zou.

cs.LG↗

arXiv2017

Non-convex learning via Stochastic Gradient Langevin Dynamics: a nonasymptotic analysis

Stochastic Gradient Langevin Dynamics (SGLD) is a popular variant of Stochastic Gradient Descent, where properly scaled isotropic Gaussian noise is added to an unbiased estimate of the gradient at each iteration. This modest change allows SGLD to escape local minima and suffices to guarantee asymptotic convergence to global minimizers for sufficiently regular non-convex objectives (Gelfand and Mitter, 1991). The present work provides a nonasymptotic analysis in the context of non-convex learning problems, giving finite-time guarantees for SGLD to find approximate minimizers of both empirical and population risks. As in the asymptotic setting, our analysis relates the discrete-time SGLD Markov chain to a continuous-time diffusion process. A new tool that drives the results is the use of weighted transportation cost inequalities to quantify the rate of convergence of SGLD to a stationary distribution in the Euclidean $2$-Wasserstein distance.

cs.LG↗

arXiv2017

Cost-Performance Tradeoffs in Fusing Unreliable Computational Units

We investigate fusing several unreliable computational units that perform the same task. We model an unreliable computational outcome as an additive perturbation to its error-free result in terms of its fidelity and cost. We analyze performance of repetition-based strategies that distribute cost across several unreliable units and fuse their outcomes. When the cost is a convex function of fidelity, the optimal repetition-based strategy in terms of incurred cost while achieving a target mean-square error (MSE) performance may fuse several computational units. For concave and linear costs, a single more reliable unit incurs lower cost compared to fusion of several lower cost and less reliable units while achieving the same MSE performance. We show how our results give insight into problems from theoretical neuroscience, circuits, and crowdsourcing.

cs.PF↗

arXiv2017

EE-Grad: Exploration and Exploitation for Cost-Efficient Mini-Batch SGD

We present a generic framework for trading off fidelity and cost in computing stochastic gradients when the costs of acquiring stochastic gradients of different quality are not known a priori. We consider a mini-batch oracle that distributes a limited query budget over a number of stochastic gradients and aggregates them to estimate the true gradient. Since the optimal mini-batch size depends on the unknown cost-fidelity function, we propose an algorithm, {\it EE-Grad}, that sequentially explores the performance of mini-batch oracles and exploits the accumulated knowledge to estimate the one achieving the best performance in terms of cost-efficiency. We provide performance guarantees for EE-Grad with respect to the optimal mini-batch oracle, and illustrate these results in the case of strongly convex objectives. We also provide a simple numerical example that corroborates our theoretical findings.

cs.LG↗

arXiv2017

Markov-Nash Equilibria in Mean-Field Games with Discounted Cost

In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish space. At each time, the agents are coupled through the empirical distribution of their states, which affects both the agents' individual costs and their state transition probabilities. We introduce a new solution concept of the Markov-Nash equilibrium, under which a policy is player-by-player optimal in the class of all Markov policies. Under mild assumptions, we demonstrate the existence of a mean-field equilibrium in the infinite-population limit $N \to \infty$, and then show that the policy obtained from the mean-field equilibrium is approximately Markov-Nash when the number of agents $N$ is sufficiently large.

eess.SY↗

arXiv2017

Information-theoretic lower bounds for distributed function computation

We derive information-theoretic converses (i.e., lower bounds) for the minimum time required by any algorithm for distributed function computation over a network of point-to-point channels with finite capacity, where each node of the network initially has a random observation and aims to compute a common function of all observations to a given accuracy with a given confidence by exchanging messages with its neighbors. We obtain the lower bounds on computation time by examining the conditional mutual information between the actual function value and its estimate at an arbitrary node, given the observations in an arbitrary subset of nodes containing that node. The main contributions include: 1) A lower bound on the conditional mutual information via so-called small ball probabilities, which captures the dependence of the computation time on the joint distribution of the observations at the nodes, the structure of the function, and the accuracy requirement. For linear functions, the small ball probability can be expressed by Lévy concentration functions of sums of independent random variables, for which tight estimates are available that lead to strict improvements over existing lower bounds on computation time. 2) An upper bound on the conditional mutual information via strong data processing inequalities, which complements and strengthens existing cutset-capacity upper bounds. 3) A multi-cutset analysis that quantifies the loss (dissipation) of the information needed for computation as it flows across a succession of cutsets in the network. This analysis is based on reducing a general network to a line network with bidirectional links and self-links, and the results highlight the dependence of the computation time on the diameter of the network, a fundamental parameter that is missing from most of the existing lower bounds on computation time.

cs.IT↗

arXiv2016

Concentration of measure without independence: a unified approach via the martingale method

The concentration of measure phenomenon may be summarized as follows: a function of many weakly dependent random variables that is not too sensitive to any of its individual arguments will tend to take values very close to its expectation. This phenomenon is most completely understood when the arguments are mutually independent random variables, and there exist several powerful complementary methods for proving concentration inequalities, such as the martingale method, the entropy method, and the method of transportation inequalities. The setting of dependent arguments is much less well understood. This chapter focuses on the martingale method for deriving concentration inequalities without independence assumptions. In particular, we use the machinery of so-called Wasserstein matrices to show that the Azuma-Hoeffding concentration inequality for martingales with almost surely bounded differences, when applied in a sufficiently abstract setting, is powerful enough to recover and sharpen several known concentration results for nonproduct measures. Wasserstein matrices provide a natural formalism for capturing the interplay between the metric and the probabilistic structures, which is fundamental to the concentration phenomenon.

math.PR↗

arXiv2016

Information-Theoretic Lower Bounds on Bayes Risk in Decentralized Estimation

We derive lower bounds on the Bayes risk in decentralized estimation, where the estimator does not have direct access to the random samples generated conditionally on the random parameter of interest, but only to the data received from local processors that observe the samples. The received data are subject to communication constraints, due to quantization and the noise in the communication channels from the processors to the estimator. We first derive general lower bounds on the Bayes risk using information-theoretic quantities, such as mutual information, information density, small ball probability, and differential entropy. We then apply these lower bounds to the decentralized case, using strong data processing inequalities to quantify the contraction of information due to communication constraints. We treat the cases of a single processor and of multiple processors, where the samples observed by different processors may be conditionally dependent given the parameter, for noninteractive and interactive communication protocols. Our results recover and improve recent lower bounds on the Bayes risk and the minimax risk for certain decentralized estimation problems, where previously only conditionally independent sample sets and noiseless channels have been considered. Moreover, our results provide a general way to quantify the degradation of estimation performance caused by distributing resources to multiple processors, which is only discussed for specific examples in existing works.

cs.IT↗

arXiv2016

Coordinate Dual Averaging for Decentralized Online Optimization with Nonseparable Global Objectives

We consider a decentralized online convex optimization problem in a network of agents, where each agent controls only a coordinate (or a part) of the global decision vector. For such a problem, we propose two decentralized variants (ODA-C and ODA-PS) of Nesterov's primal-dual algorithm with dual averaging. In ODA-C, to mitigate the disagreements on the primal-vector updates, the agents implement a generalization of the local information-exchange dynamics recently proposed by Li and Marden over a static undirected graph. In ODA-PS, the agents implement the broadcast-based push-sum dynamics over a time-varying sequence of uniformly connected digraphs. We show that the regret bounds in both cases have sublinear growth of $O(\sqrt{T})$, with the time horizon $T$, when the stepsize is of the form $1/\sqrt{t}$ and the objective functions are Lipschitz-continuous convex functions with Lipschitz gradients. We also implement the proposed algorithms on a sensor network to complement our theoretical analysis.

math.OC↗

arXiv2016

Strong data processing inequalities and $Φ$-Sobolev inequalities for discrete channels

The noisiness of a channel can be measured by comparing suitable functionals of the input and output distributions. For instance, the worst-case ratio of output relative entropy to input relative entropy for all possible pairs of input distributions is bounded from above by unity, by the data processing theorem. However, for a fixed reference input distribution, this quantity may be strictly smaller than one, giving so-called strong data processing inequalities (SDPIs). The same considerations apply to an arbitrary $Φ$-divergence. This paper presents a systematic study of optimal constants in SDPIs for discrete channels, including their variational characterizations, upper and lower bounds, structural results for channels on product probability spaces, and the relationship between SDPIs and so-called $Φ$-Sobolev inequalities (another class of inequalities that can be used to quantify the noisiness of a channel by controlling entropy-like functionals of the input distribution by suitable measures of input-output correlation). Several applications to information theory, discrete probability, and statistical physics are discussed.

cs.IT↗

arXiv2016

Rationally inattentive control of Markov processes

The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control framework, the general model introduced in this paper reduces to a variant of the linear-programming representation of the average-cost optimal control problem, subject to an additional mutual information constraint on the randomized stationary policy. The resulting optimization problem is convex and admits a decomposition based on the Bellman error, which is the object of study in approximate dynamic programming. The theory is illustrated through the example of information-constrained linear-quadratic-Gaussian (LQG) control problem. Some results on the infinite-horizon discounted-cost criterion are also presented.

math.OC↗

arXiv2015

Concentration of Measure Inequalities and Their Communication and Information-Theoretic Applications

During the last two decades, concentration of measure has been a subject of various exciting developments in convex geometry, functional analysis, statistical physics, high-dimensional statistics, probability theory, information theory, communications and coding theory, computer science, and learning theory. One common theme which emerges in these fields is probabilistic stability: complicated, nonlinear functions of a large number of independent or weakly dependent random variables often tend to concentrate sharply around their expected values. Information theory plays a key role in the derivation of concentration inequalities. Indeed, both the entropy method and the approach based on transportation-cost inequalities are two major information-theoretic paths toward proving concentration. This brief survey is based on a recent monograph of the authors in the Foundations and Trends in Communications and Information Theory (online available at http://arxiv.org/pdf/1212.4663v8.pdf), and a tutorial given by the authors at ISIT 2015. It introduces information theorists to three main techniques for deriving concentration inequalities: the martingale method, the entropy method, and the transportation-cost inequalities. Some applications in information theory, communications, and coding theory are used to illustrate the main ideas.

cs.IT↗

arXiv2015

Relax but stay in control: from value to algorithms for online Markov decision processes

Online learning algorithms are designed to perform in non-stationary environments, but generally there is no notion of a dynamic state to model constraints on current and future actions as a function of past actions. State-based models are common in stochastic control settings, but commonly used frameworks such as Markov Decision Processes (MDPs) assume a known stationary environment. In recent years, there has been a growing interest in combining the above two frameworks and considering an MDP setting in which the cost function is allowed to change arbitrarily after each time step. However, most of the work in this area has been algorithmic: given a problem, one would develop an algorithm almost from scratch. Moreover, the presence of the state and the assumption of an arbitrarily varying environment complicate both the theoretical analysis and the development of computationally efficient methods. This paper describes a broad extension of the ideas proposed by Rakhlin et al. to give a general framework for deriving algorithms in an MDP setting with arbitrarily changing costs. This framework leads to a unifying view of existing methods and provides a general procedure for constructing new ones. Several new methods are presented, and one of them is shown to have important advantages over a similar method developed from scratch via an online version of approximate dynamic programming.

cs.LG↗

arXiv2015

Converses for distributed estimation via strong data processing inequalities

We consider the problem of distributed estimation, where local processors observe independent samples conditioned on a common random parameter of interest, map the observations to a finite number of bits, and send these bits to a remote estimator over independent noisy channels. We derive converse results for this problem, such as lower bounds on Bayes risk. The main technical tools include a lower bound on the Bayes risk via mutual information and small ball probability, as well as strong data processing inequalities for the relative entropy. Our results can recover and improve some existing results on distributed estimation with noiseless channels, and also capture the effect of noisy channels on the estimation performance.

cs.IT↗