arXiv subjects

Ruiyang Song

Publications and source records attributed to Ruiyang Song.

7 recordsLinked to original sources

arXiv2022

Temporal Concatenation for Markov Decision Processes

We propose and analyze a temporal concatenation heuristic for solving large-scale finite-horizon Markov decision processes (MDP), which divides the MDP into smaller sub-problems along the time horizon and generates an overall solution by simply concatenating the optimal solutions from these sub-problems. As a "black box" architecture, temporal concatenation works with a wide range of existing MDP algorithms. Our main results characterize the regret of temporal concatenation compared to the optimal solution. We provide upper bounds for general MDP instances, as well as a family of MDP instances in which the upper bounds are shown to be tight. Together, our results demonstrate temporal concatenation's potential of substantial speed-up at the expense of some performance degradation.

math.OC↗

arXiv2021

Hierarchical Causal Bandit

Causal bandit is a nascent learning model where an agent sequentially experiments in a causal network of variables, in order to identify the reward-maximizing intervention. Despite the model's wide applicability, existing analytical results are largely restricted to a parallel bandit version where all variables are mutually independent. We introduce in this work the hierarchical causal bandit model as a viable path towards understanding general causal bandits with dependent variables. The core idea is to incorporate a contextual variable that captures the interaction among all variables with direct effects. Using this hierarchical framework, we derive sharp insights on algorithmic design in causal bandits with dependent arms and obtain nearly matching regret bounds in the case of a binary context.

stat.ML↗

arXiv2017

Compress-and-Estimate Source Coding for a Vector Gaussian Source

We consider the remote vector source coding problem in which a vector Gaussian source is to be estimated from noisy linear measurements. For this problem, we derive the performance of the compress-and-estimate (CE) coding scheme and compare it to the optimal performance. In the CE coding scheme, the remote encoder compresses the noisy source observations so as to minimize the local distortion measure, independent from the joint distribution between the source and the observations. In reconstruction, the decoder estimates the original source realization from the lossy-compressed noisy observations. For the CE coding in the Gaussian vector case, we show that, if the code rate is less than a threshold, then the CE coding scheme attains the same performance as the optimal coding scheme. We also introduce lower and upper bounds for the performance gap above this threshold. In addition, an example with two observations and two sources is studied to illustrate the behavior of the performance gap.

cs.IT↗

arXiv2016

Optimal Rate Allocation in Mismatched Multiterminal Source Coding

We consider a multiterminal source coding problem in which a source is estimated at a central processing unit from lossy-compressed remote observations. Each lossy-encoded observation is produced by a remote sensor which obtains a noisy version of the source and compresses this observation minimizing a local distortion measure which depends only on the marginal distribution of its observation. The central node, on the other hand, has knowledge of the joint distribution of the source and all the observations and produces the source estimate which minimizes a different distortion measure between the source and its reconstruction. In this correspondence, we investigate the problem of optimally choosing the rate of each lossy-compressed remote estimate so as to minimize the distortion at the central processing unit subject to a bound on the overall communication rate between the remote sensors and the central unit. We focus, in particular, on two models of practical relevance: the case of a Gaussian source observed in additive Gaussian noise and reconstructed under quadratic distortion, and the case of a binary source observed in bit-flipping noise and reconstructed under Hamming distortion. In both scenarios we show that there exist regimes under which having more remote encoders does reduce the source distortion: in other words, having fewer, high-quality remote estimates provides a smaller distortion than having more, lower-quality estimates.

cs.IT↗

arXiv2015

Sequential Information Guided Sensing

We study the value of information in sequential compressed sensing by characterizing the performance of sequential information guided sensing in practical scenarios when information is inaccurate. In particular, we assume the signal distribution is parameterized through Gaussian or Gaussian mixtures with estimated mean and covariance matrices, and we can measure compressively through a noisy linear projection or using one-sparse vectors, i.e., observing one entry of the signal each time. We establish a set of performance bounds for the bias and variance of the signal estimator via posterior mean, by capturing the conditional entropy (which is also related to the size of the uncertainty), and the additional power required due to inaccurate information to reach a desired precision. Based on this, we further study how to estimate covariance based on direct samples or covariance sketching. Numerical examples also demonstrate the superior performance of Info-Greedy Sensing algorithms compared with their random and non-adaptive counterparts.

cs.IT↗

arXiv2015

Online Supervised Subspace Tracking

We present a framework for supervised subspace tracking, when there are two time series $x_t$ and $y_t$, one being the high-dimensional predictors and the other being the response variables and the subspace tracking needs to take into consideration of both sequences. It extends the classic online subspace tracking work which can be viewed as tracking of $x_t$ only. Our online sufficient dimensionality reduction (OSDR) is a meta-algorithm that can be applied to various cases including linear regression, logistic regression, multiple linear regression, multinomial logistic regression, support vector machine, the random dot product model and the multi-scale union-of-subspace model. OSDR reduces data-dimensionality on-the-fly with low-computational complexity and it can also handle missing data and dynamic data. OSDR uses an alternating minimization scheme and updates the subspace via gradient descent on the Grassmannian manifold. The subspace update can be performed efficiently utilizing the fact that the Grassmannian gradient with respect to the subspace in many settings is rank-one (or low-rank in certain cases). The optimization problem for OSDR is non-convex and hard to analyze in general; we provide convergence analysis of OSDR in a simple linear regression setting. The good performance of OSDR compared with the conventional unsupervised subspace tracking are demonstrated via numerical examples on simulated and real data.

cs.LG↗

arXiv2015

Sequential Sensing with Model Mismatch

We characterize the performance of sequential information guided sensing, Info-Greedy Sensing, when there is a mismatch between the true signal model and the assumed model, which may be a sample estimate. In particular, we consider a setup where the signal is low-rank Gaussian and the measurements are taken in the directions of eigenvectors of the covariance matrix in a decreasing order of eigenvalues. We establish a set of performance bounds when a mismatched covariance matrix is used, in terms of the gap of signal posterior entropy, as well as the additional amount of power required to achieve the same signal recovery precision. Based on this, we further study how to choose an initialization for Info-Greedy Sensing using the sample covariance matrix, or using an efficient covariance sketching scheme.

stat.ML↗