arXiv subjects

Olivier Fercoq

Publications and source records attributed to Olivier Fercoq.

53 records · Page 3Linked to original sources

arXiv2017

Generalized Concomitant Multi-Task Lasso for sparse multimodal regression

In high dimension, it is customary to consider Lasso-type estimators to enforce sparsity. For standard Lasso theory to hold, the regularization parameter should be proportional to the noise level, yet the latter is generally unknown in practice. A possible remedy is to consider estimators, such as the Concomitant/Scaled Lasso, which jointly optimize over the regression coefficients as well as over the noise level, making the choice of the regularization independent of the noise level. However, when data from different sources are pooled to increase sample size, or when dealing with multimodal datasets, noise levels typically differ and new dedicated estimators are needed. In this work we provide new statistical and computational solutions to deal with such heteroscedastic regression models, with an emphasis on functional brain imaging with combined magneto- and electroencephalographic (M/EEG) signals. Adopting the formulation of Concomitant Lasso-type estimators, we propose a jointly convex formulation to estimate both the regression coefficients and the (square root of the) noise covariance. When our framework is instantiated to de-correlated noise, it leads to an efficient algorithm whose computational cost is not higher than for the Lasso and Concomitant Lasso, while addressing more complex noise structures. Numerical experiments demonstrate that our estimator yields improved prediction and support identification while correctly estimating the noise (square root) covariance. Results on multimodal neuroimaging problems with M/EEG data are also reported.

stat.ML↗

arXiv2017

Adaptive restart of accelerated gradient methods under local quadratic growth condition

By analyzing accelerated proximal gradient methods under a local quadratic growth condition, we show that restarting these algorithms at any frequency gives a globally linearly convergent algorithm. This result was previously known only for long enough frequencies. Then, as the rate of convergence depends on the match between the frequency and the quadratic error bound, we design a scheme to automatically adapt the frequency of restart from the observed decrease of the norm of the gradient mapping. Our algorithm has a better theoretical bound than previously proposed methods for the adaptation to the quadratic error bound of the objective. We illustrate the efficiency of the algorithm on a Lasso problem and on a regularized logistic regression problem.

math.OC↗

arXiv2017

Smoothing technique for nonsmooth composite minimization with linear operator

We introduce and analyze an algorithm for the minimization of convex functions that are the sum of differentiable terms and proximable terms composed with linear operators. The method builds upon the recently developed smoothed gap technique. In addition to a precise convergence rate result, valid even in the presence of linear inclusion constraints, this new method allows an explicit treatment of the gradient of differentiable functions and can be enhanced with line-search. We also study the consequences of restarting the acceleration of the algorithm at a given frequency. These new features are not classical for primal-dual methods and allow us to solve difficult large-scale convex optimization problems. We numerically illustrate the superior performance of the algorithm on basis pursuit, TV-regularized least squares regression and L1 regression problems against the state-of-the-art.

math.OC↗

arXiv2016

Restarting accelerated gradient methods with a rough strong convexity estimate

We propose new restarting strategies for accelerated gradient and accelerated coordinate descent methods. Our main contribution is to show that the restarted method has a geometric rate of convergence for any restarting frequency, and so it allows us to take profit of restarting even when we do not know the strong convexity coefficient. The scheme can be combined with adaptive restarting, leading to the first provable convergence for adaptive restarting schemes with accelerated gradient methods. Finally, we illustrate the properties of the algorithm on a regularized logistic regression problem and on a Lasso problem.

math.OC↗

arXiv2016

Efficient Smoothed Concomitant Lasso Estimation for High Dimensional Regression

In high dimensional settings, sparse structures are crucial for efficiency, both in term of memory, computation and performance. It is customary to consider $\ell_1$ penalty to enforce sparsity in such scenarios. Sparsity enforcing methods, the Lasso being a canonical example, are popular candidates to address high dimension. For efficiency, they rely on tuning a parameter trading data fitting versus sparsity. For the Lasso theory to hold this tuning parameter should be proportional to the noise level, yet the latter is often unknown in practice. A possible remedy is to jointly optimize over the regression parameter as well as over the noise level. This has been considered under several names in the literature: Scaled-Lasso, Square-root Lasso, Concomitant Lasso estimation for instance, and could be of interest for confidence sets or uncertainty quantification. In this work, after illustrating numerical difficulties for the Smoothed Concomitant Lasso formulation, we propose a modification we coined Smoothed Concomitant Lasso, aimed at increasing numerical stability. We propose an efficient and accurate solver leading to a computational cost no more expansive than the one for the Lasso. We leverage on standard ingredients behind the success of fast Lasso solvers: a coordinate descent algorithm, combined with safe screening rules to achieve speed efficiency, by eliminating early irrelevant features.

stat.ML↗

arXiv2016

GAP Safe Screening Rules for Sparse-Group-Lasso

In high dimensional settings, sparse structures are crucial for efficiency, either in term of memory, computation or performance. In some contexts, it is natural to handle more refined structures than pure sparsity, such as for instance group sparsity. Sparse-Group Lasso has recently been introduced in the context of linear regression to enforce sparsity both at the feature level and at the group level. We adapt to the case of Sparse-Group Lasso recent safe screening rules that discard early in the solver irrelevant features/groups. Such rules have led to important speed-ups for a wide range of iterative methods. Thanks to dual gap computations, we provide new safe screening rules for Sparse-Group Lasso and show significant gains in term of computing time for a coordinate descent implementation.

stat.ML↗

arXiv2015

Mind the duality gap: safer rules for the Lasso

Screening rules allow to early discard irrelevant variables from the optimization in Lasso problems, or its derivatives, making solvers faster. In this paper, we propose new versions of the so-called $\textit{safe rules}$ for the Lasso. Based on duality gap considerations, our new rules create safe test regions whose diameters converge to zero, provided that one relies on a converging solver. This property helps screening out more variables, for a wider range of regularization parameter values. In addition to faster convergence, we prove that we correctly identify the active sets (supports) of the solutions in finite time. While our proposed strategy can cope with any solver, its performance is demonstrated using a coordinate descent algorithm particularly adapted to machine learning use cases. Significant computing time reductions are obtained with respect to previous safe rules.

stat.ML↗

arXiv2015

GAP Safe screening rules for sparse multi-task and multi-class models

High dimensional regression benefits from sparsity promoting regularizations. Screening rules leverage the known sparsity of the solution by ignoring some variables in the optimization, hence speeding up solvers. When the procedure is proven not to discard features wrongly the rules are said to be \emph{safe}. In this paper we derive new safe rules for generalized linear models regularized with $\ell_1$ and $\ell_1/\ell_2$ norms. The rules are based on duality gap computations and spherical safe regions whose diameters converge to zero. This allows to discard safely more variables, in particular for low regularization parameters. The GAP Safe rule can cope with any iterative solver and we illustrate its performance on coordinate descent for multi-task Lasso, binary and multinomial logistic regression, demonstrating significant speed ups on all tested datasets with respect to previous safe rules.

stat.ML↗

arXiv2015

SDNA: Stochastic Dual Newton Ascent for Empirical Risk Minimization

We propose a new algorithm for minimizing regularized empirical loss: Stochastic Dual Newton Ascent (SDNA). Our method is dual in nature: in each iteration we update a random subset of the dual variables. However, unlike existing methods such as stochastic dual coordinate ascent, SDNA is capable of utilizing all curvature information contained in the examples, which leads to striking improvements in both theory and practice - sometimes by orders of magnitude. In the special case when an L2-regularizer is used in the primal, the dual problem is a concave quadratic maximization problem plus a separable term. In this regime, SDNA in each step solves a proximal subproblem involving a random principal submatrix of the Hessian of the quadratic function; whence the name of the method. If, in addition, the loss functions are quadratic, our method can be interpreted as a novel variant of the recently introduced Iterative Hessian Sketch.

cs.LG↗

arXiv2014

Fast Distributed Coordinate Descent for Non-Strongly Convex Losses

We propose an efficient distributed randomized coordinate descent method for minimizing regularized non-strongly convex loss functions. The method attains the optimal $O(1/k^2)$ convergence rate, where $k$ is the iteration counter. The core of the work is the theoretical study of stepsize parameters. We have implemented the method on Archer - the largest supercomputer in the UK - and show that the method is capable of solving a (synthetic) LASSO optimization problem with 50 billion variables.

math.OC↗

arXiv2014

Accelerated, Parallel and Proximal Coordinate Descent

We propose a new stochastic coordinate descent method for minimizing the sum of convex functions each of which depends on a small number of coordinates only. Our method (APPROX) is simultaneously Accelerated, Parallel and PROXimal; this is the first time such a method is proposed. In the special case when the number of processors is equal to the number of coordinates, the method converges at the rate $2\barω\bar{L} R^2/(k+1)^2 $, where $k$ is the iteration counter, $\barω$ is an average degree of separability of the loss function, $\bar{L}$ is the average of Lipschitz constants associated with the coordinates and individual functions in the sum, and $R$ is the distance of the initial point from the minimizer. We show that the method can be implemented without the need to perform full-dimensional vector operations, which is the major bottleneck of existing accelerated coordinate descent methods. The fact that the method depends on the average degree of separability, and not on the maximum degree of separability, can be attributed to the use of new safe large stepsizes, leading to improved expected separable overapproximation (ESO). These are of independent interest and can be utilized in all existing parallel stochastic coordinate descent algorithms based on the concept of ESO.

math.OC↗

arXiv2013

Parallel coordinate descent for the Adaboost problem

We design a randomised parallel version of Adaboost based on previous studies on parallel coordinate descent. The algorithm uses the fact that the logarithm of the exponential loss is a function with coordinate-wise Lipschitz continuous gradient, in order to define the step lengths. We provide the proof of convergence for this randomised Adaboost algorithm and a theoretical parallelisation speedup factor. We finally provide numerical examples on learning problems of various sizes that show that the algorithm is competitive with concurrent approaches, especially for large scale problems.

cs.LG↗

arXiv2013

Smooth minimization of nonsmooth functions with parallel coordinate descent methods

We study the performance of a family of randomized parallel coordinate descent methods for minimizing the sum of a nonsmooth and separable convex functions. The problem class includes as a special case L1-regularized L1 regression and the minimization of the exponential loss ("AdaBoost problem"). We assume the input data defining the loss function is contained in a sparse $m\times n$ matrix $A$ with at most $ω$ nonzeros in each row. Our methods need $O(n β/τ)$ iterations to find an approximate solution with high probability, where $τ$ is the number of processors and $β= 1 + (ω-1)(τ-1)/(n-1)$ for the fastest variant. The notation hides dependence on quantities such as the required accuracy and confidence levels and the distance of the starting iterate from an optimal point. Since $β/τ$ is a decreasing function of $τ$, the method needs fewer iterations when more processors are used. Certain variants of our algorithms perform on average only $O(\nnz(A)/n)$ arithmetic operations during a single iteration per processor and, because $β$ decreases when $ω$ does, fewer iterations are needed for sparser problems.

cs.DC↗

arXiv2012

Convergence of Tomlin's HOTS algorithm

The HOTS algorithm uses the hyperlink structure of the web to compute a vector of scores with which one can rank web pages. The HOTS vector is the vector of the exponentials of the dual variables of an optimal flow problem (the "temperature" of each page). The flow represents an optimal distribution of web surfers on the web graph in the sense of entropy maximization. In this paper, we prove the convergence of Tomlin's HOTS algorithm. We first study a simplified version of the algorithm, which is a fixed point scaling algorithm designed to solve the matrix balancing problem for nonnegative irreducible matrices. The proof of convergence is general (nonlinear Perron-Frobenius theory) and applies to a family of deformations of HOTS. Then, we address the effective HOTS algorithm, designed by Tomlin for the ranking of web pages. The model is a network entropy maximization problem generalizing matrix balancing. We show that, under mild assumptions, the HOTS algorithm converges with a linear convergence rate. The proof relies on a uniqueness property of the fixed point and on the existence of a Lyapunov function. We also show that the coordinate descent algorithm can be used to find the ideal and effective HOTS vectors and we compare HOTS and coordinate descent on fragments of the web graph. Our numerical experiments suggest that the convergence rate of the HOTS algorithm may deteriorate when the size of the input increases. We thus give a normalized version of HOTS with an experimentally better convergence rate.

math.OC↗

arXiv2012

PageRank optimization applied to spam detection

We give a new link spam detection and PageRank demotion algorithm called MaxRank. Like TrustRank and AntiTrustRank, it starts with a seed of hand-picked trusted and spam pages. We define the MaxRank of a page as the frequency of visit of this page by a random surfer minimizing an average cost per time unit. On a given page, the random surfer selects a set of hyperlinks and clicks with uniform probability on any of these hyperlinks. The cost function penalizes spam pages and hyperlink removals. The goal is to determine a hyperlink deletion policy that minimizes this score. The MaxRank is interpreted as a modified PageRank vector, used to sort web pages instead of the usual PageRank vector. The bias vector of this ergodic control problem, which is unique up to an additive constant, is a measure of the "spamicity" of each page, used to detect spam pages. We give a scalable algorithm for MaxRank computation that allowed us to perform experimental results on the WEBSPAM-UK2007 dataset. We show that our algorithm outperforms both TrustRank and AntiTrustRank for spam and nonspam page detection.

math.OC↗

arXiv2011

Perron vector optimization applied to search engines

In the last years, Google's PageRank optimization problems have been extensively studied. In that case, the ranking is given by the invariant measure of a stochastic matrix. In this paper, we consider the more general situation in which the ranking is determined by the Perron eigenvector of a nonnegative, but not necessarily stochastic, matrix, in order to cover Kleinberg's HITS algorithm. We also give some results for Tomlin's HOTS algorithm. The problem consists then in finding an optimal outlink strategy subject to design constraints and for a given search engine. We study the relaxed versions of these problems, which means that we should accept weighted hyperlinks. We provide an efficient algorithm for the computation of the matrix of partial derivatives of the criterion, that uses the low rank property of this matrix. We give a scalable algorithm that couples gradient and power iterations and gives a local minimum of the Perron vector optimization problem. We prove convergence by considering it as an approximate gradient method. We then show that optimal linkage stategies of HITS and HOTS optimization problems verify a threshold property. We report numerical results on fragments of the real web graph for these search engine optimization problems.

math.OC↗

arXiv2011

Ergodic Control and Polyhedral approaches to PageRank Optimization

We study a general class of PageRank optimization problems which consist in finding an optimal outlink strategy for a web site subject to design constraints. We consider both a continuous problem, in which one can choose the intensity of a link, and a discrete one, in which in each page, there are obligatory links, facultative links and forbidden links. We show that the continuous problem, as well as its discrete variant when there are no constraints coupling different pages, can both be modeled by constrained Markov decision processes with ergodic reward, in which the webmaster determines the transition probabilities of websurfers. Although the number of actions turns out to be exponential, we show that an associated polytope of transition measures has a concise representation, from which we deduce that the continuous problem is solvable in polynomial time, and that the same is true for the discrete problem when there are no coupling constraints. We also provide efficient algorithms, adapted to very large networks. Then, we investigate the qualitative features of optimal outlink strategies, and identify in particular assumptions under which there exists a "master" page to which all controlled pages should point. We report numerical results on fragments of the real web graph.

math.OC↗