We present the Parallel, Forward-Backward with Pruning (PFBP) algorithm for feature selection (FS) in Big Data settings (high dimensionality and or sample size). To tackle the challenges of Big Data FS PFBP partitions the data matrix both in terms of rows (samples, training examples) as well as columns (features). By employing the concepts of p-values of conditional independence tests and meta-analysis techniques PFBP manages to rely only on computations local to a partition while minimizing communication costs. Then, it employs powerful and safe (asymptotically sound) heuristics to make early, approximate decisions, such as Early Dropping of features from consideration in subsequent iterations, Early Stopping of consideration of features within the same iteration, or Early Return of the winner in each iteration. PFBP provides asymptotic guarantees of optimal-ity for data distributions faithfully representable by a causal network (Bayesian network or maximal ancestral graph). Our empirical analysis confirms a super-linear speedup of the algorithm with increasing sample size, linear scalability with respect to the number of features and processing cores, while dominating other competitive algorithms in its class.
Another class of such algorithms includes HITON-PC @cite_5 , MMPC @cite_11 , and more recently SES @cite_49 for multiple solutions. The main difference in this class of algorithms is that they condition on subsets of the selected features @math , not the full set. They do not guarantee to identify the full Markov blanket, but only a superset of the parents and children of @math . Recent extensive experiments have concluded that they perform well in practice @cite_51 . These algorithms remove from consideration any features that become independent of @math conditioned on some subset of the selected features @math . This is similar to the Early Dropping heuristic and renders the algorithms quite computationally efficient and scalable to high-dimensional settings.
@cite_5 @cite_51 @cite_49 @cite_11
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In this paper we study a paradigm to generalize online classification algorithms for binary classification problems to multiclass problems. The particular hypotheses we investigate maintain one prototype vector per class. Given an input instance, a multiclass hypothesis computes a similarity-score between each prototype and the input instance and sets the predicted label to be the index of the prototype achieving the highest similarity. To design and analyze the learning algorithms in this paper we introduce the notion of ultraconservativeness. Ultraconservative algorithms are algorithms that update only the prototypes attaining similarity-scores which are higher than the score of the correct label's prototype. We start by describing a family of additive ultraconservative algorithms where each algorithm in the family updates its prototypes by finding a feasible solution for a set of linear constraints that depend on the instantaneous similarity-scores. We then discuss a specific online algorithm that seeks a set of prototypes which have a small norm. The resulting algorithm, which we term MIRA (for Margin Infused Relaxed Algorithm) is ultraconservative as well. We derive mistake bounds for all the algorithms and provide further analysis of MIRA using a generalized notion of the margin for multiclass problems. We discuss the form the algorithms take in the binary case and show that all the algorithms from the first family reduce to the Perceptron algorithm while MIRA provides a new Perceptron-like algorithm with a margin-dependent learning rate. We then return to multiclass problems and describe an analogous multiplicative family of algorithms with corresponding mistake bounds. We end the formal part by deriving and analyzing a multiclass version of Li and Long's ROMMA algorithm. We conclude with a discussion of experimental results that demonstrate the merits of our algorithms. We describe new data structures for full and packed storage of dense symmetric triangular arrays that generalize both. Using the new data structures one is led to several new algorithms that save "half" the storage for symmetric matrices and outperform the current blocked based level 3 algorithms in LAPACK. We concentrate on the simplest forms of the new algorithms and show they are a direct generalization of LINPACK. This means that level 3 BLAS's are not required to obtain level 3 performance. The replacement for Level 3 BLAS are so-called kernel routines, see [1], and on IBM platforms they are producible from simple textbook type codes, by the XLF Fortran compiler. In the sequel I will label these "vanilla" codes. On Power3 with a peak performance of 800 MFlops, the results for Cholesky factorization at order n ? 200 is over 720 MFlops and then reaches 735 MFlops at n = 400. Using conventional full format LAPACK DPOTRF with ESSL BLAS's one first gets to 600 MFlops at n ? 600 and only reaches a peak of 620 MFlops. For this result we used simple square blocked full matrix data formats where the blocks themselves are stored in column major (Fortran) order or row major (C) order. The simple algorithms of LU factorization with partial pivoting for this new data format is a direct generalization of LINPACK algorithm DGEFA. Again, no conventional level 3 BLAS's are required; the replacements are again so-called kernel routines. Programming for squared blocked full matrix format can be accomplished in standard Fortran through the use of three and four dimensional arrays. Thus, no new compiler support is necessary. Also we mention that other more complicated algorithms are possible; e.g., recursive ones. The recursive algorithms are also easily programmed via the use of tables that address where the blocks are stored in the two dimensional recursive block array. Finally, we describe block hybrid formats. Doing so allows one to use no additional storage over conventional (full and packed) matrix storage. This means the new algorithms are completely portable. Let @math be a nontrivial @math -ary predicate. Consider a random instance of the constraint satisfaction problem @math on @math variables with @math constraints, each being @math applied to @math randomly chosen literals. Provided the constraint density satisfies @math , such an instance is unsatisfiable with high probability. The problem is to efficiently find a proof of unsatisfiability. We show that whenever the predicate @math supports a @math - probability distribution on its satisfying assignments, the sum of squares (SOS) algorithm of degree @math (which runs in time @math ) refute a random instance of @math . In particular, the polynomial-time SOS algorithm requires @math constraints to refute random instances of CSP @math when @math supports a @math -wise uniform distribution on its satisfying assignments. Together with recent work of [LRS15], our result also implies that polynomial-size semidefinite programming relaxation for refutation requires at least @math constraints. Our results (which also extend with no change to CSPs over larger alphabets) subsume all previously known lower bounds for semialgebraic refutation of random CSPs. For every constraint predicate @math , they give a three-way hardness tradeoff between the density of constraints, the SOS degree (hence running time), and the strength of the refutation. By recent algorithmic results of [AOW15] and [RRS16], this full three-way tradeoff is , up to lower-order factors. In sparse principal component analysis we are given noisy observations of a low-rank matrix of dimension @math and seek to reconstruct it under additional sparsity assumptions. In particular, we assume here each of the principal components @math has at most @math non-zero entries. We are particularly interested in the high dimensional regime wherein @math is comparable to, or even much larger than @math . In an influential paper, johnstone2004sparse introduced a simple algorithm that estimates the support of the principal vectors @math by the largest entries in the diagonal of the empirical covariance. This method can be shown to identify the correct support with high probability if @math , and to fail with high probability if @math for two constants @math . Despite a considerable amount of work over the last ten years, no practical algorithm exists with provably better support recovery guarantees. Here we analyze a covariance thresholding algorithm that was recently proposed by KrauthgamerSPCA . On the basis of numerical simulations (for the rank-one case), these authors conjectured that covariance thresholding correctly recover the support with high probability for @math (assuming @math of the same order as @math ). We prove this conjecture, and in fact establish a more general guarantee including higher-rank as well as @math much smaller than @math . Recent lower bounds berthet2013computational, ma2015sum suggest that no polynomial time algorithm can do significantly better. The key technical component of our analysis develops new bounds on the norm of kernel random matrices, in regimes that were not considered before.