arXiv subjects

Neil Kichler

Publications and source records attributed to Neil Kichler.

3 recordsLinked to original sources

arXiv2025

Accelerating Deterministic Global Optimization via GPU-parallel Interval Arithmetic

Spatial Branch and Bound (B&B) algorithms are widely used for solving nonconvex problems to global optimality, yet they remain computationally expensive. Though some works have been carried out to speed up B&B via CPU parallelization, GPU parallelization is much less explored. In this work, we investigate the design of a spatial B&B algorithm that involves an interval-based GPU-parallel lower bounding solver: The domain of each B&B node is temporarily partitioned into numerous subdomains, then massive GPU parallelism is leveraged to compute interval bounds of the objective function and constraints on each subdomain, using the Mean Value Form. The resulting bounds are tighter than those achieved via regular interval arithmetic without partitioning, but they remain fast to compute. We implement the method into our open-source solver MAiNGO via CUDA in two manners: wrapping all GPU tasks within one kernel function, or distributing the GPU tasks onto a CUDA graph. Numerical experiments show that using more subdomains leads to significantly tighter lower bounds and thus less B&B iterations. Regarding wall clock time, the proposed spatial B&B framework achieves a speedup of three orders of magnitude compared to applying interval arithmetic on the CPU without domain partitioning. Among the two implementations, the one developed with CUDA graph enables higher efficiency. Moreover, in some case studies, the proposed method delivers competitive or better performance compared to MAiNGO's default solver which is based on McCormick relaxations. These results highlight the potential of GPU-accelerated bounding techniques to accelerate B&B algorithms.

math.OC↗

arXiv2023

Towards Sobolev Pruning

The increasing use of stochastic models for describing complex phenomena warrants surrogate models that capture the reference model characteristics at a fraction of the computational cost, foregoing potentially expensive Monte Carlo simulation. The predominant approach of fitting a large neural network and then pruning it to a reduced size has commonly neglected shortcomings. The produced surrogate models often will not capture the sensitivities and uncertainties inherent in the original model. In particular, (higher-order) derivative information of such surrogates could differ drastically. Given a large enough network, we expect this derivative information to match. However, the pruned model will almost certainly not share this behavior. In this paper, we propose to find surrogate models by using sensitivity information throughout the learning and pruning process. We build on work using Interval Adjoint Significance Analysis for pruning and combine it with the recent advancements in Sobolev Training to accurately model the original sensitivity information in the pruned neural network based surrogate model. We experimentally underpin the method on an example of pricing a multidimensional Basket option modelled through a stochastic differential equation with Brownian motion. The proposed method is, however, not limited to the domain of quantitative finance, which was chosen as a case study for intuitive interpretations of the sensitivities. It serves as a foundation for building further surrogate modelling techniques considering sensitivity information.

cs.LG↗

arXiv2023

Supervised Feature Selection with Neuron Evolution in Sparse Neural Networks

Feature selection that selects an informative subset of variables from data not only enhances the model interpretability and performance but also alleviates the resource demands. Recently, there has been growing attention on feature selection using neural networks. However, existing methods usually suffer from high computational costs when applied to high-dimensional datasets. In this paper, inspired by evolution processes, we propose a novel resource-efficient supervised feature selection method using sparse neural networks, named \enquote{NeuroFS}. By gradually pruning the uninformative features from the input layer of a sparse neural network trained from scratch, NeuroFS derives an informative subset of features efficiently. By performing several experiments on $11$ low and high-dimensional real-world benchmarks of different types, we demonstrate that NeuroFS achieves the highest ranking-based score among the considered state-of-the-art supervised feature selection models. The code is available on GitHub.

cs.NE↗