Despite their successes, what makes kernel methods difficult to use in many large scale problems is the fact that storing and computing the decision function is typically expensive, especially at prediction time. In this paper, we overcome this difficulty by proposing Fastfood, an approximation that accelerates such computation significantly. Key to Fastfood is the observation that Hadamard matrices, when combined with diagonal Gaussian matrices, exhibit properties similar to dense Gaussian random matrices. Yet unlike the latter, Hadamard and diagonal matrices are inexpensive to multiply and store. These two matrices can be used in lieu of Gaussian matrices in Random Kitchen Sinks proposed by Rahimi and Recht (2009) and thereby speeding up the computation for a large range of kernel functions. Specifically, Fastfood requires O(n log d) time and O(n) storage to compute n non-linear basis functions in d dimensions, a significant improvement from O(nd) computation and storage, without sacrificing accuracy. Our method applies to any translation invariant and any dot-product kernel, such as the popular RBF kernels and polynomial kernels. We prove that the approximation is unbiased and has low variance. Experiments show that we achieve similar accuracy to full kernel expansions and Random Kitchen Sinks while being 100x faster and using 1000x less memory. These improvements, especially in terms of memory usage, make kernel methods more practical for applications that have large training sets and or require real-time prediction.
Numerous methods have been proposed to mitigate this issue. To compare computational cost of these methods we make the following assumptions: We have @math observations and access to an @math with @math algorithm for solving the optimization problem at hand. In other words, the algorithm is linear or worse. This is a reasonable assumption --- almost all data analysis algorithm need to inspect the data at least once to draw inference. Data has @math dimensions. For simplicity we assume that it is dense with density rate @math , i.e. on average @math coordinates are nonzero. The number of nontrivial basis functions is @math . This is well motivated by @cite_14 and it also follows from the fact that e.g. in regularized risk minimization the subgradient of the loss function determines the value of the associated dual variable. We denote the number of (nonlinear) basis functions by @math .
@cite_14
2099119387 1937834619 2277973662 2547508527
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 @math matrix @math with at most @math nonzeros in each row. Our methods need @math iterations to find an approximate solution with high probability, where @math is the number of processors and @math 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 @math is a decreasing function of @math , the method needs fewer iterations when more processors are used. Certain variants of our algorithms perform on average only @math arithmetic operations during a single iteration per processor and, because @math decreases when @math does, fewer iterations are needed for sparser problems. In this paper, we initiate a systematic investigation of differentially private algorithms for convex empirical risk minimization. Various instantiations of this problem have been studied before. We provide new algorithms and matching lower bounds for private ERM assuming only that each data point's contribution to the loss function is Lipschitz bounded and that the domain of optimization is bounded. We provide a separate set of algorithms and matching lower bounds for the setting in which the loss functions are known to also be strongly convex. Our algorithms run in polynomial time, and in some cases even match the optimal non-private running time (as measured by oracle complexity). We give separate algorithms (and lower bounds) for @math - and @math -differential privacy; perhaps surprisingly, the techniques used for designing optimal algorithms in the two cases are completely different. Our lower bounds apply even to very simple, smooth function families, such as linear and quadratic functions. This implies that algorithms from previous work can be used to obtain optimal error rates, under the additional assumption that the contributions of each data point to the loss function is smooth. We show that simple approaches to smoothing arbitrary loss functions (in order to apply previous techniques) do not yield optimal error rates. In particular, optimal algorithms were not previously known for problems such as training support vector machines and the high-dimensional median. This paper introduces a parallel and distributed algorithm for solving the following minimization problem with linear constraints: @math minimizef1(x1)+ź+fN(xN)subject toA1x1+ź+ANxN=c,x1źX1,ź,xNźXN,where @math Nź2, @math fi are convex functions, @math Ai are matrices, and @math Xi are feasible sets for variable @math xi. Our algorithm extends the alternating direction method of multipliers (ADMM) and decomposes the original problem into N smaller subproblems and solves them in parallel at each iteration. This paper shows that the classic ADMM can be extended to the N-block Jacobi fashion and preserve convergence in the following two cases: (i) matrices @math Ai are mutually near-orthogonal and have full column-rank, or (ii) proximal terms are added to the N subproblems (but without any assumption on matrices @math Ai). In the latter case, certain proximal terms can let the subproblem be solved in more flexible and efficient ways. We show that @math źxk+1-xkźM2 converges at a rate of o(1 k) where M is a symmetric positive semi-definte matrix. Since the parameters used in the convergence analysis are conservative, we introduce a strategy for automatically tuning the parameters to substantially accelerate our algorithm in practice. We implemented our algorithm (for the case ii above) on Amazon EC2 and tested it on basis pursuit problems with >300 GB of distributed data. This is the first time that successfully solving a compressive sensing problem of such a large scale is reported. We present an algorithm for the statistical learning setting with a bounded exp-concave loss in @math dimensions that obtains excess risk @math with probability at least @math . The core technique is to boost the confidence of recent in-expectation @math excess risk bounds for empirical risk minimization (ERM), without sacrificing the rate, by leveraging a Bernstein condition which holds due to exp-concavity. We also show that with probability @math the standard ERM method obtains excess risk @math . We further show that a regret bound for any online learner in this setting translates to a high probability excess risk bound for the corresponding online-to-batch conversion of the online learner. Lastly, we present two high probability bounds for the exp-concave model selection aggregation problem that are quantile-adaptive in a certain sense. The first bound is a purely exponential weights type algorithm, obtains a nearly optimal rate, and has no explicit dependence on the Lipschitz continuity of the loss. The second bound requires Lipschitz continuity but obtains the optimal rate.