arXiv subjects

Umut Simsekli

Publications and source records attributed to Umut Simsekli.

27 records · Page 2Linked to original sources

arXiv2022

Heavy-Tail Phenomenon in Decentralized SGD

Recent theoretical studies have shown that heavy-tails can emerge in stochastic optimization due to `multiplicative noise', even under surprisingly simple settings, such as linear regression with Gaussian data. While these studies have uncovered several interesting phenomena, they consider conventional stochastic optimization problems, which exclude decentralized settings that naturally arise in modern machine learning applications. In this paper, we study the emergence of heavy-tails in decentralized stochastic gradient descent (DE-SGD), and investigate the effect of decentralization on the tail behavior. We first show that, when the loss function at each computational node is twice continuously differentiable and strongly convex outside a compact region, the law of the DE-SGD iterates converges to a distribution with polynomially decaying (heavy) tails. To have a more explicit control on the tail exponent, we then consider the case where the loss at each node is a quadratic, and show that the tail-index can be estimated as a function of the step-size, batch-size, and the topological properties of the network of the computational nodes. Then, we provide theoretical and empirical results showing that DE-SGD has heavier tails than centralized SGD. We also compare DE-SGD to disconnected SGD where nodes distribute the data but do not communicate. Our theory uncovers an interesting interplay between the tails and the network structure: we identify two regimes of parameters (stepsize and network size), where DE-SGD can have lighter or heavier tails than disconnected SGD depending on the regime. Finally, to support our theoretical results, we provide numerical experiments conducted on both synthetic data and neural networks.

stat.ML↗

arXiv2021

Robust Distributed Accelerated Stochastic Gradient Methods for Multi-Agent Networks

We study distributed stochastic gradient (D-SG) method and its accelerated variant (D-ASG) for solving decentralized strongly convex stochastic optimization problems where the objective function is distributed over several computational units, lying on a fixed but arbitrary connected communication graph, subject to local communication constraints where noisy estimates of the gradients are available. We develop a framework which allows to choose the stepsize and the momentum parameters of these algorithms in a way to optimize performance by systematically trading off the bias, variance, robustness to gradient noise and dependence to network effects. When gradients do not contain noise, we also prove that distributed accelerated methods can \emph{achieve acceleration}, requiring $\mathcal{O}(κ\log(1/\varepsilon))$ gradient evaluations and $\mathcal{O}(κ\log(1/\varepsilon))$ communications to converge to the same fixed point with the non-accelerated variant where $κ$ is the condition number and $\varepsilon$ is the target accuracy. To our knowledge, this is the first acceleration result where the iteration complexity scales with the square root of the condition number in the context of \emph{primal} distributed inexact first-order methods. For quadratic functions, we also provide finer performance bounds that are tight with respect to bias and variance terms. Finally, we study a multistage version of D-ASG with parameters carefully varied over stages to ensure exact $\mathcal{O}(-k/\sqrtκ)$ linear decay in the bias term as well as optimal $\mathcal{O}(σ^2/k)$ in the variance term. We illustrate through numerical experiments that our approach results in practical algorithms that are robust to gradient noise and that can outperform existing methods.

math.OC↗

arXiv2020

Quantitative Propagation of Chaos for SGD in Wide Neural Networks

In this paper, we investigate the limiting behavior of a continuous-time counterpart of the Stochastic Gradient Descent (SGD) algorithm applied to two-layer overparameterized neural networks, as the number or neurons (ie, the size of the hidden layer) $N \to +\infty$. Following a probabilistic approach, we show 'propagation of chaos' for the particle system defined by this continuous-time dynamics under different scenarios, indicating that the statistical interaction between the particles asymptotically vanishes. In particular, we establish quantitative convergence with respect to $N$ of any particle to a solution of a mean-field McKean-Vlasov equation in the metric space endowed with the Wasserstein distance. In comparison to previous works on the subject, we consider settings in which the sequence of stepsizes in SGD can potentially depend on the number of neurons and the iterations. We then identify two regimes under which different mean-field limits are obtained, one of them corresponding to an implicitly regularized version of the minimization problem at hand. We perform various experiments on real datasets to validate our theoretical results, assessing the existence of these two regimes on classification problems and illustrating our convergence results.

stat.ML↗

arXiv2020

Generalized Sliced Distances for Probability Distributions

Probability metrics have become an indispensable part of modern statistics and machine learning, and they play a quintessential role in various applications, including statistical hypothesis testing and generative modeling. However, in a practical setting, the convergence behavior of the algorithms built upon these distances have not been well established, except for a few specific cases. In this paper, we introduce a broad family of probability metrics, coined as Generalized Sliced Probability Metrics (GSPMs), that are deeply rooted in the generalized Radon transform. We first verify that GSPMs are metrics. Then, we identify a subset of GSPMs that are equivalent to maximum mean discrepancy (MMD) with novel positive definite kernels, which come with a unique geometric interpretation. Finally, by exploiting this connection, we consider GSPM-based gradient flows for generative modeling applications and show that under mild assumptions, the gradient flow converges to the global optimum. We illustrate the utility of our approach on both real and synthetic problems.

stat.ML↗

arXiv2019

Bayesian Allocation Model: Inference by Sequential Monte Carlo for Nonnegative Tensor Factorizations and Topic Models using Polya Urns

We introduce a dynamic generative model, Bayesian allocation model (BAM), which establishes explicit connections between nonnegative tensor factorization (NTF), graphical models of discrete probability distributions and their Bayesian extensions, and the topic models such as the latent Dirichlet allocation. BAM is based on a Poisson process, whose events are marked by using a Bayesian network, where the conditional probability tables of this network are then integrated out analytically. We show that the resulting marginal process turns out to be a Polya urn, an integer valued self-reinforcing process. This urn processes, which we name a Polya-Bayes process, obey certain conditional independence properties that provide further insight about the nature of NTF. These insights also let us develop space efficient simulation algorithms that respect the potential sparsity of data: we propose a class of sequential importance sampling algorithms for computing NTF and approximating their marginal likelihood, which would be useful for model selection. The resulting methods can also be viewed as a model scoring method for topic models and discrete Bayesian networks with hidden variables. The new algorithms have favourable properties in the sparse data regime when contrasted with variational algorithms that become more accurate when the total sum of the elements of the observed tensor goes to infinity. We illustrate the performance on several examples and numerically study the behaviour of the algorithms for various data regimes.

stat.ML↗

arXiv2019

Speech enhancement with variational autoencoders and alpha-stable distributions

This paper focuses on single-channel semi-supervised speech enhancement. We learn a speaker-independent deep generative speech model using the framework of variational autoencoders. The noise model remains unsupervised because we do not assume prior knowledge of the noisy recording environment. In this context, our contribution is to propose a noise model based on alpha-stable distributions, instead of the more conventional Gaussian non-negative matrix factorization approach found in previous studies. We develop a Monte Carlo expectation-maximization algorithm for estimating the model parameters at test time. Experimental results show the superiority of the proposed approach both in terms of perceptual quality and intelligibility of the enhanced speech signal.

cs.SD↗

arXiv2019

Generalized Sliced Wasserstein Distances

The Wasserstein distance and its variations, e.g., the sliced-Wasserstein (SW) distance, have recently drawn attention from the machine learning community. The SW distance, specifically, was shown to have similar properties to the Wasserstein distance, while being much simpler to compute, and is therefore used in various applications including generative modeling and general supervised/unsupervised learning. In this paper, we first clarify the mathematical connection between the SW distance and the Radon transform. We then utilize the generalized Radon transform to define a new family of distances for probability measures, which we call generalized sliced-Wasserstein (GSW) distances. We also show that, similar to the SW distance, the GSW distance can be extended to a maximum GSW (max-GSW) distance. We then provide the conditions under which GSW and max-GSW distances are indeed distances. Finally, we compare the numerical performance of the proposed distances on several generative modeling tasks, including SW flows and SW auto-encoders.

cs.LG↗

arXiv2019

A Tail-Index Analysis of Stochastic Gradient Noise in Deep Neural Networks

The gradient noise (GN) in the stochastic gradient descent (SGD) algorithm is often considered to be Gaussian in the large data regime by assuming that the classical central limit theorem (CLT) kicks in. This assumption is often made for mathematical convenience, since it enables SGD to be analyzed as a stochastic differential equation (SDE) driven by a Brownian motion. We argue that the Gaussianity assumption might fail to hold in deep learning settings and hence render the Brownian motion-based analyses inappropriate. Inspired by non-Gaussian natural phenomena, we consider the GN in a more general context and invoke the generalized CLT (GCLT), which suggests that the GN converges to a heavy-tailed $α$-stable random variable. Accordingly, we propose to analyze SGD as an SDE driven by a Lévy motion. Such SDEs can incur `jumps', which force the SDE transition from narrow minima to wider minima, as proven by existing metastability theory. To validate the $α$-stable assumption, we conduct extensive experiments on common deep learning architectures and show that in all settings, the GN is highly non-Gaussian and admits heavy-tails. We further investigate the tail behavior in varying network architectures and sizes, loss functions, and datasets. Our results open up a different perspective and shed more light on the belief that SGD prefers wide minima.

cs.LG↗

arXiv2018

A Generative Model for Non-Intrusive Load Monitoring in Commercial Buildings

In the recent years, there has been an increasing academic and industrial interest for analyzing the electrical consumption of commercial buildings. Whilst having similarities with the Non Intrusive Load Monitoring (NILM) tasks for residential buildings, the nature of the signals that are collected from large commercial buildings introduces additional difficulties to the NILM research causing existing NILM approaches to fail. On the other hand, the amount of publicly available datasets collected from commercial buildings is very limited, which makes the NILM research even more challenging for this type of large buildings. In this study, we aim at addressing these issues. We first present an extensive statistical analysis of both commercial and residential measurements from public and private datasets and show important differences. Secondly, we develop an algorithm for generating synthetic current waveforms. We then demonstrate using real measurement and quantitative metrics that both our device model and our simulations are realistic and can be used to evaluate NILM algorithms. Finally, to encourage research on commercial buildings we release a synthesized dataset.

cs.OH↗