arXiv subjects

Michael W. Mahoney

Publications and source records attributed to Michael W. Mahoney.

At least 253 records · Page 14Linked to original sources

arXiv2017

Weighted SGD for $\ell_p$ Regression with Randomized Preconditioning

In recent years, stochastic gradient descent (SGD) methods and randomized linear algebra (RLA) algorithms have been applied to many large-scale problems in machine learning and data analysis. We aim to bridge the gap between these two methods in solving constrained overdetermined linear regression problems---e.g., $\ell_2$ and $\ell_1$ regression problems. We propose a hybrid algorithm named pwSGD that uses RLA techniques for preconditioning and constructing an importance sampling distribution, and then performs an SGD-like iterative process with weighted sampling on the preconditioned system. We prove that pwSGD inherits faster convergence rates that only depend on the lower dimension of the linear system, while maintaining low computation complexity. Particularly, when solving $\ell_1$ regression with size $n$ by $d$, pwSGD returns an approximate solution with $ε$ relative error in the objective value in $\mathcal{O}(\log n \cdot \text{nnz}(A) + \text{poly}(d)/ε^2)$ time. This complexity is uniformly better than that of RLA methods in terms of both $ε$ and $d$ when the problem is unconstrained. For $\ell_2$ regression, pwSGD returns an approximate solution with $ε$ relative error in the objective value and the solution vector measured in prediction norm in $\mathcal{O}(\log n \cdot \text{nnz}(A) + \text{poly}(d) \log(1/ε) /ε)$ time. We also provide lower bounds on the coreset complexity for more general regression problems, indicating that still new ideas will be needed to extend similar RLA preconditioning ideas to weighted SGD algorithms for more general regression problems. Finally, the effectiveness of such algorithms is illustrated numerically on both synthetic and real datasets.

math.OC↗

arXiv2017

Avoiding communication in primal and dual block coordinate descent methods

Primal and dual block coordinate descent methods are iterative methods for solving regularized and unregularized optimization problems. Distributed-memory parallel implementations of these methods have become popular in analyzing large machine learning datasets. However, existing implementations communicate at every iteration which, on modern data center and supercomputing architectures, often dominates the cost of floating-point computation. Recent results on communication-avoiding Krylov subspace methods suggest that large speedups are possible by re-organizing iterative algorithms to avoid communication. We show how applying similar algorithmic transformations can lead to primal and dual block coordinate descent methods that only communicate every $s$ iterations--where $s$ is a tuning parameter--instead of every iteration for the \textit{regularized least-squares problem}. We show that the communication-avoiding variants reduce the number of synchronizations by a factor of $s$ on distributed-memory parallel machines without altering the convergence rate and attains strong scaling speedups of up to $6.1\times$ on a Cray XC30 supercomputer.

cs.DC↗

arXiv2016

Matrix Factorization at Scale: a Comparison of Scientific Data Analytics in Spark and C+MPI Using Three Case Studies

We explore the trade-offs of performing linear algebra using Apache Spark, compared to traditional C and MPI implementations on HPC platforms. Spark is designed for data analytics on cluster computing platforms with access to local disks and is optimized for data-parallel tasks. We examine three widely-used and important matrix factorizations: NMF (for physical plausability), PCA (for its ubiquity) and CX (for data interpretability). We apply these methods to TB-sized problems in particle physics, climate modeling and bioimaging. The data matrices are tall-and-skinny which enable the algorithms to map conveniently into Spark's data-parallel model. We perform scaling experiments on up to 1600 Cray XC40 nodes, describe the sources of slowdowns, and provide tuning guidance to obtain high performance.

cs.DC↗

arXiv2016

Mapping the Similarities of Spectra: Global and Locally-biased Approaches to SDSS Galaxy Data

We apply a novel spectral graph technique, that of locally-biased semi-supervised eigenvectors, to study the diversity of galaxies. This technique permits us to characterize empirically the natural variations in observed spectra data, and we illustrate how this approach can be used in an exploratory manner to highlight both large-scale global as well as small-scale local structure in Sloan Digital Sky Survey (SDSS) data. We use this method in a way that simultaneously takes into account the measurements of spectral lines as well as the continuum shape. Unlike Principal Component Analysis, this method does not assume that the Euclidean distance between galaxy spectra is a good global measure of similarity between all spectra, but instead it only assumes that local difference information between similar spectra is reliable. Moreover, unlike other nonlinear dimensionality methods, this method can be used to characterize very finely both small-scale local as well as large-scale global properties of realistic noisy data. The power of the method is demonstrated on the SDSS Main Galaxy Sample by illustrating that the derived embeddings of spectra carry an unprecedented amount of information. By using a straightforward global or unsupervised variant, we observe that the main features correlate strongly with star formation rate and that they clearly separate active galactic nuclei. Computed parameters of the method can be used to describe line strengths and their interdependencies. By using a locally-biased or semi-supervised variant, we are able to focus on typical variations around specific objects of astronomical interest. We present several examples illustrating that this approach can enable new discoveries in the data as well as a detailed understanding of very fine local structure that would otherwise be overwhelmed by large-scale noise and global trends in the data.

astro-ph.IM↗

arXiv2016

Lecture Notes on Spectral Graph Methods

These are lecture notes that are based on the lectures from a class I taught on the topic of Spectral Graph Methods at UC Berkeley during the Spring 2015 semester.

cs.DS↗

arXiv2016

Lecture Notes on Randomized Linear Algebra

These are lecture notes that are based on the lectures from a class I taught on the topic of Randomized Linear Algebra (RLA) at UC Berkeley during the Fall 2013 semester.

cs.DS↗

arXiv2016

DCAR: A Discriminative and Compact Audio Representation to Improve Event Detection

This paper presents a novel two-phase method for audio representation, Discriminative and Compact Audio Representation (DCAR), and evaluates its performance at detecting events in consumer-produced videos. In the first phase of DCAR, each audio track is modeled using a Gaussian mixture model (GMM) that includes several components to capture the variability within that track. The second phase takes into account both global structure and local structure. In this phase, the components are rendered more discriminative and compact by formulating an optimization problem on Grassmannian manifolds, which we found represents the structure of audio effectively. Our experiments used the YLI-MED dataset (an open TRECVID-style video corpus based on YFCC100M), which includes ten events. The results show that the proposed DCAR representation consistently outperforms state-of-the-art audio representations. DCAR's advantage over i-vector, mv-vector, and GMM representations is significant for both easier and harder discrimination tasks. We discuss how these performance differences across easy and hard cases follow from how each type of model leverages (or doesn't leverage) the intrinsic structure of the data. Furthermore, DCAR shows a particularly notable accuracy advantage on events where humans have more difficulty classifying the videos, i.e., events with lower mean annotator confidence.

cs.SD↗

arXiv2016

Sub-sampled Newton Methods with Non-uniform Sampling

We consider the problem of finding the minimizer of a convex function $F: \mathbb R^d \rightarrow \mathbb R$ of the form $F(w) := \sum_{i=1}^n f_i(w) + R(w)$ where a low-rank factorization of $\nabla^2 f_i(w)$ is readily available. We consider the regime where $n \gg d$. As second-order methods prove to be effective in finding the minimizer to a high-precision, in this work, we propose randomized Newton-type algorithms that exploit \textit{non-uniform} sub-sampling of $\{\nabla^2 f_i(w)\}_{i=1}^{n}$, as well as inexact updates, as means to reduce the computational complexity. Two non-uniform sampling distributions based on {\it block norm squares} and {\it block partial leverage scores} are considered in order to capture important terms among $\{\nabla^2 f_i(w)\}_{i=1}^{n}$. We show that at each iteration non-uniformly sampling at most $\mathcal O(d \log d)$ terms from $\{\nabla^2 f_i(w)\}_{i=1}^{n}$ is sufficient to achieve a linear-quadratic convergence rate in $w$ when a suitable initial point is provided. In addition, we show that our algorithms achieve a lower computational complexity and exhibit more robustness and better dependence on problem specific quantities, such as the condition number, compared to similar existing methods, especially the ones based on uniform sampling. Finally, we empirically demonstrate that our methods are at least twice as fast as Newton's methods with ridge logistic regression on several real datasets.

math.OC↗

arXiv2016

A Simple and Strongly-Local Flow-Based Method for Cut Improvement

Many graph-based learning problems can be cast as finding a good set of vertices nearby a seed set, and a powerful methodology for these problems is based on maximum flows. We introduce and analyze a new method for locally-biased graph-based learning called SimpleLocal, which finds good conductance cuts near a set of seed vertices. An important feature of our algorithm is that it is strongly-local, meaning it does not need to explore the entire graph to find cuts that are locally optimal. This method solves the same objective as existing strongly-local flow-based methods, but it enables a simple implementation. We also show how it achieves localization through an implicit L1-norm penalty term. As a flow-based method, our algorithm exhibits several ad- vantages in terms of cut optimality and accurate identification of target regions in a graph. We demonstrate the power of SimpleLocal by solving problems on a 467 million edge graph based on an MRI scan.

cs.SI↗

arXiv2016

A Local Perspective on Community Structure in Multilayer Networks

The analysis of multilayer networks is among the most active areas of network science, and there are now several methods to detect dense "communities" of nodes in multilayer networks. One way to define a community is as a set of nodes that trap a diffusion-like dynamical process (usually a random walk) for a long time. In this view, communities are sets of nodes that create bottlenecks to the spreading of a dynamical process on a network. We analyze the local behavior of different random walks on multiplex networks (which are multilayer networks in which different layers correspond to different types of edges) and show that they have very different bottlenecks that hence correspond to rather different notions of what it means for a set of nodes to be a good community. This has direct implications for the behavior of community-detection methods that are based on these random walks.

cs.SI↗

arXiv2016

Tree decompositions and social graphs

Recent work has established that large informatics graphs such as social and information networks have non-trivial tree-like structure when viewed at moderate size scales. Here, we present results from the first detailed empirical evaluation of the use of tree decomposition (TD) heuristics for structure identification and extraction in social graphs. Although TDs have historically been used in structural graph theory and scientific computing, we show that---even with existing TD heuristics developed for those very different areas---TD methods can identify interesting structure in a wide range of realistic informatics graphs. Our main contributions are the following: we show that TD methods can identify structures that correlate strongly with the core-periphery structure of realistic networks, even when using simple greedy heuristics; we show that the peripheral bags of these TDs correlate well with low-conductance communities (when they exist) found using local spectral computations; and we show that several types of large-scale "ground-truth" communities, defined by demographic metadata on the nodes of the network, are well-localized in the large-scale and/or peripheral structures of the TDs. Our other main contributions are the following: we provide detailed empirical results for TD heuristics on toy and synthetic networks to establish a baseline to understand better the behavior of the heuristics on more complex real-world networks; and we prove a theorem providing formal justification for the intuition that the only two impediments to low-distortion hyperbolic embedding are high tree-width and long geodesic cycles. Our results suggest future directions for improved TD heuristics that are more appropriate for realistic social graphs.

cs.DS↗

arXiv2016

Sub-Sampled Newton Methods I: Globally Convergent Algorithms

Large scale optimization problems are ubiquitous in machine learning and data analysis and there is a plethora of algorithms for solving such problems. Many of these algorithms employ sub-sampling, as a way to either speed up the computations and/or to implicitly implement a form of statistical regularization. In this paper, we consider second-order iterative optimization algorithms and we provide bounds on the convergence of the variants of Newton's method that incorporate uniform sub-sampling as a means to estimate the gradient and/or Hessian. Our bounds are non-asymptotic and quantitative. Our algorithms are global and are guaranteed to converge from any initial iterate. Using random matrix concentration inequalities, one can sub-sample the Hessian to preserve the curvature information. Our first algorithm incorporates Hessian sub-sampling while using the full gradient. We also give additional convergence results for when the sub-sampled Hessian is regularized by modifying its spectrum or ridge-type regularization. Next, in addition to Hessian sub-sampling, we also consider sub-sampling the gradient as a way to further reduce the computational complexity per iteration. We use approximate matrix multiplication results from randomized numerical linear algebra to obtain the proper sampling strategy. In all these algorithms, computing the update boils down to solving a large scale linear system, which can be computationally expensive. As a remedy, for all of our algorithms, we also give global convergence results for the case of inexact updates where such linear system is solved only approximately. This paper has a more advanced companion paper, [42], in which we demonstrate that, by doing a finer-grained analysis, we can get problem-independent bounds for local convergence of these algorithms and explore trade-offs to improve upon the basic results of the present paper.

math.OC↗

arXiv2016

Sub-Sampled Newton Methods II: Local Convergence Rates

Many data-fitting applications require the solution of an optimization problem involving a sum of large number of functions of high dimensional parameter. Here, we consider the problem of minimizing a sum of $n$ functions over a convex constraint set $\mathcal{X} \subseteq \mathbb{R}^{p}$ where both $n$ and $p$ are large. In such problems, sub-sampling as a way to reduce $n$ can offer great amount of computational efficiency. Within the context of second order methods, we first give quantitative local convergence results for variants of Newton's method where the Hessian is uniformly sub-sampled. Using random matrix concentration inequalities, one can sub-sample in a way that the curvature information is preserved. Using such sub-sampling strategy, we establish locally Q-linear and Q-superlinear convergence rates. We also give additional convergence results for when the sub-sampled Hessian is regularized by modifying its spectrum or Levenberg-type regularization. Finally, in addition to Hessian sub-sampling, we consider sub-sampling the gradient as way to further reduce the computational complexity per iteration. We use approximate matrix multiplication results from randomized numerical linear algebra (RandNLA) to obtain the proper sampling strategy and we establish locally R-linear convergence rates. In such a setting, we also show that a very aggressive sample size increase results in a R-superlinearly convergent algorithm. While the sample size depends on the condition number of the problem, our convergence rates are problem-independent, i.e., they do not depend on the quantities related to the problem. Hence, our analysis here can be used to complement the results of our basic framework from the companion paper, [38], by exploring algorithmic trade-offs that are important in practice.

math.OC↗

arXiv2015

Optimal Subsampling Approaches for Large Sample Linear Regression

A significant hurdle for analyzing large sample data is the lack of effective statistical computing and inference methods. An emerging powerful approach for analyzing large sample data is subsampling, by which one takes a random subsample from the original full sample and uses it as a surrogate for subsequent computation and estimation. In this paper, we study subsampling methods under two scenarios: approximating the full sample ordinary least-square (OLS) estimator and estimating the coefficients in linear regression. We present two algorithms, weighted estimation algorithm and unweighted estimation algorithm, and analyze asymptotic behaviors of their resulting subsample estimators under general conditions. For the weighted estimation algorithm, we propose a criterion for selecting the optimal sampling probability by making use of the asymptotic results. On the basis of the criterion, we provide two novel subsampling methods, the optimal subsampling and the predictor- length subsampling methods. The predictor-length subsampling method is based on the L2 norm of predictors rather than leverage scores. Its computational cost is scalable. For unweighted estimation algorithm, we show that its resulting subsample estimator is not consistent to the full sample OLS estimator. However, it has better performance than the weighted estimation algorithm for estimating the coefficients. Simulation studies and a real data example are used to demonstrate the effectiveness of our proposed subsampling methods.

stat.ME↗

arXiv2015

Fast Randomized Kernel Methods With Statistical Guarantees

One approach to improving the running time of kernel-based machine learning methods is to build a small sketch of the input and use it in lieu of the full kernel matrix in the machine learning task of interest. Here, we describe a version of this approach that comes with running time guarantees as well as improved guarantees on its statistical performance. By extending the notion of \emph{statistical leverage scores} to the setting of kernel ridge regression, our main statistical result is to identify an importance sampling distribution that reduces the size of the sketch (i.e., the required number of columns to be sampled) to the \emph{effective dimensionality} of the problem. This quantity is often much smaller than previous bounds that depend on the \emph{maximal degrees of freedom}. Our main algorithmic result is to present a fast algorithm to compute approximations to these scores. This algorithm runs in time that is linear in the number of samples---more precisely, the running time is $O(np^2)$, where the parameter $p$ depends only on the trace of the kernel matrix and the regularization parameter---and it can be applied to the matrix of feature vectors, without having to form the full kernel matrix. This is obtained via a variant of length-squared sampling that we adapt to the kernel setting in a way that is of independent interest. Lastly, we provide empirical results illustrating our theory, and we discuss how this new notion of the statistical leverage of a data point captures in a fine way the difficulty of the original statistical learning problem.

stat.ML↗

arXiv2015

Unified Acceleration Method for Packing and Covering Problems via Diameter Reduction

The linear coupling method was introduced recently by Allen-Zhu and Orecchia for solving convex optimization problems with first order methods, and it provides a conceptually simple way to integrate a gradient descent step and mirror descent step in each iteration. The high-level approach of the linear coupling method is very flexible, and it has shown initial promise by providing improved algorithms for packing and covering linear programs. Somewhat surprisingly, however, while the dependence of the convergence rate on the error parameter $ε$ for packing problems was improved to $O(1/ε)$, which corresponds to what accelerated gradient methods are designed to achieve, the dependence for covering problems was only improved to $O(1/ε^{1.5})$, and even that required a different more complicated algorithm. Given the close connections between packing and covering problems and since previous algorithms for these very related problems have led to the same $ε$ dependence, this discrepancy is surprising, and it leaves open the question of the exact role that the linear coupling is playing in coordinating the complementary gradient and mirror descent step of the algorithm. In this paper, we clarify these issues for linear coupling algorithms for packing and covering linear programs, illustrating that the linear coupling method can lead to improved $O(1/ε)$ dependence for both packing and covering problems in a unified manner, i.e., with the same algorithm and almost identical analysis. Our main technical result is a novel diameter reduction method for covering problems that is of independent interest and that may be useful in applying the accelerated linear coupling method to other combinatorial problems.

cs.DS↗

arXiv2015

Implementing Randomized Matrix Algorithms in Parallel and Distributed Environments

In this era of large-scale data, distributed systems built on top of clusters of commodity hardware provide cheap and reliable storage and scalable processing of massive data. Here, we review recent work on developing and implementing randomized matrix algorithms in large-scale parallel and distributed environments. Randomized algorithms for matrix problems have received a great deal of attention in recent years, thus far typically either in theory or in machine learning applications or with implementations on a single machine. Our main focus is on the underlying theory and practical implementation of random projection and random sampling algorithms for very large very overdetermined (i.e., overconstrained) $\ell_1$ and $\ell_2$ regression problems. Randomization can be used in one of two related ways: either to construct sub-sampled problems that can be solved, exactly or approximately, with traditional numerical methods; or to construct preconditioned versions of the original full problem that are easier to solve with traditional iterative algorithms. Theoretical results demonstrate that in near input-sparsity time and with only a few passes through the data one can obtain very strong relative-error approximate solutions, with high probability. Empirical results highlight the importance of various trade-offs (e.g., between the time to construct an embedding and the conditioning quality of the embedding, between the relative importance of computation versus communication, etc.) and demonstrate that $\ell_1$ and $\ell_2$ regression problems can be solved to low, medium, or high precision in existing distributed systems on up to terabyte-sized data.

cs.DC↗

arXiv2014

Randomized Dimensionality Reduction for k-means Clustering

We study the topic of dimensionality reduction for $k$-means clustering. Dimensionality reduction encompasses the union of two approaches: \emph{feature selection} and \emph{feature extraction}. A feature selection based algorithm for $k$-means clustering selects a small subset of the input features and then applies $k$-means clustering on the selected features. A feature extraction based algorithm for $k$-means clustering constructs a small set of new artificial features and then applies $k$-means clustering on the constructed features. Despite the significance of $k$-means clustering as well as the wealth of heuristic methods addressing it, provably accurate feature selection methods for $k$-means clustering are not known. On the other hand, two provably accurate feature extraction methods for $k$-means clustering are known in the literature; one is based on random projections and the other is based on the singular value decomposition (SVD). This paper makes further progress towards a better understanding of dimensionality reduction for $k$-means clustering. Namely, we present the first provably accurate feature selection method for $k$-means clustering and, in addition, we present two feature extraction methods. The first feature extraction method is based on random projections and it improves upon the existing results in terms of time complexity and number of features needed to be extracted. The second feature extraction method is based on fast approximate SVD factorizations and it also improves upon the existing results in terms of time complexity. The proposed algorithms are randomized and provide constant-factor approximation guarantees with respect to the optimal $k$-means objective value.

cs.DS↗