We study distributed optimization algorithms for minimizing the average of convex functions. The applications include empirical risk minimization problems in statistical machine learning where the datasets are large and have to be stored on different machines. We design a distributed stochastic variance reduced gradient algorithm that, under certain conditions on the condition number, simultaneously achieves the optimal parallel runtime, amount of communication and rounds of communication among all distributed first-order methods up to constant factors. Our method and its accelerated extension also outperform existing distributed algorithms in terms of the rounds of communication as long as the condition number is not too large compared to the size of data in each machine. We also prove a lower bound for the number of rounds of communication for a broad class of distributed first-order methods including the proposed algorithms in this paper. We show that our accelerated distributed stochastic variance reduced gradient algorithm achieves this lower bound so that it uses the fewest rounds of communication among all distributed first-order algorithms.
Let @math be the computation cost of the gradient of @math . For typical problems such as logistic regression, we have @math . Let @math be the cost of solving a linear system. We have @math if exact matrix inversion is used and have @math if an @math -approximate inverse is found by an accelerated gradient method @cite_7 .
@cite_7
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Many data analysis applications deal with large matrices and involve approximating the matrix using a small number of “components.” Typically, these components are linear combinations of the rows and columns of the matrix, and are thus difficult to interpret in terms of the original features of the input data. In this paper, we propose and study matrix approximations that are explicitly expressed in terms of a small number of columns and or rows of the data matrix, and thereby more amenable to interpretation in terms of the original data. Our main algorithmic results are two randomized algorithms which take as input an @math matrix @math and a rank parameter @math . In our first algorithm, @math is chosen, and we let @math , where @math is the Moore-Penrose generalized inverse of @math . In our second algorithm @math , @math , @math are chosen, and we let @math . ( @math and @math are matrices that consist of actual columns and rows, respectively, of @math , and @math is a generalized inverse of their intersection.) For each algorithm, we show that with probability at least @math , @math , where @math is the “best” rank- @math approximation provided by truncating the SVD of @math , and where @math is the Frobenius norm of the matrix @math . The number of columns of @math and rows of @math is a low-degree polynomial in @math , @math , and @math . Both the Numerical Linear Algebra community and the Theoretical Computer Science community have studied variants of these matrix decompositions over the last ten years. However, our two algorithms are the first polynomial time algorithms for such low-rank matrix approximations that come with relative-error guarantees; previously, in some cases, it was not even known whether such matrix decompositions exist. Both of our algorithms are simple and they take time of the order needed to approximately compute the top @math singular vectors of @math . The technical crux of our analysis is a novel, intuitive sampling method we introduce in this paper called “subspace sampling.” In subspace sampling, the sampling probabilities depend on the Euclidean norms of the rows of the top singular vectors. This allows us to obtain provable relative-error guarantees by deconvoluting “subspace” information and “size-of- @math ” information in the input matrix. This technique is likely to be useful for other matrix approximation and data analysis problems. A number of problems in probability and statistics can be addressed using the multivariate normal (Gaussian) distribution. In the one-dimensional case, computing the probability for a given mean and variance simply requires the evaluation of the corresponding Gaussian density. In the @math -dimensional setting, however, it requires the inversion of an @math covariance matrix, @math , as well as the evaluation of its determinant, @math . In many cases, such as regression using Gaussian processes, the covariance matrix is of the form @math , where @math is computed using a specified covariance kernel which depends on the data and additional parameters (hyperparameters). The matrix @math is typically dense, causing standard direct methods for inversion and determinant evaluation to require @math work. This cost is prohibitive for large-scale modeling. Here, we show that for the most commonly used covariance functions, the matrix @math can be hierarchically factored into a product of block low-rank updates of the identity matrix, yielding an @math algorithm for inversion. More importantly, we show that this factorization enables the evaluation of the determinant @math , permitting the direct calculation of probabilities in high dimensions under fairly broad assumptions on the kernel defining @math . Our fast algorithm brings many problems in marginalization and the adaptation of hyperparameters within practical reach using a single CPU core. The combination of nearly optimal scaling in terms of problem size with high-performance computing resources will permit the modeling of previously intractable problems. We illustrate the performance of the scheme on standard covariance kernels. We study the problem of recovering a low-rank matrix @math from linear measurements using an over-parameterized model. We parameterize the rank- @math matrix @math by @math where @math is a square matrix, whereas the number of linear measurements is much less than @math . We show that with @math random linear measurements, the gradient descent on the squared loss, starting from a small initialization, recovers @math approximately in @math iterations. The results solve the conjecture of under the restricted isometry property, and demonstrate that the training algorithm can provide an implicit regularization for non-linear matrix factorization models. Suppose the complex matrix M is partitioned into a @math array of blocks; let @math . The generalized Schur complement of A in M is defined to be @math , where @math is the Moore–Penrose inverse of A. The relationship of the ranks of M, A, and @math is determined. A new proof, under certain conditions, of Sylvester’s determinantal formula is given. A quotient formula like one previously proved for the Schur complement is obtained. Finally, several known inequalities for positive semidefinite Hermitian matrices are generalized. In this paper, we present new stochastic methods for solving two important classes of nonconvex optimization problems. We first introduce a randomized accelerated proximal gradient (RapGrad) method for solving a class of nonconvex optimization problems consisting of the sum of @math component functions, and show that it can significantly reduce the number of gradient computations especially when the condition number @math (i.e., the ratio between the Lipschitz constant and negative curvature) is large. More specifically, RapGrad can save up to @math gradient computations than existing deterministic nonconvex accelerated gradient methods. Moreover, the number of gradient computations required by RapGrad can be @math (at least @math ) times smaller than the best-known randomized nonconvex gradient methods when @math . Inspired by RapGrad, we also develop a new randomized accelerated proximal dual (RapDual) method for solving a class of multi-block nonconvex optimization problems coupled with linear constraints. We demonstrate that RapDual can also save up to a factor of @math projection subproblems than its deterministic counterpart, where @math denotes the number of blocks. To the best of our knowledge, all these complexity results associated with RapGrad and RapDual seem to be new in the literature. We also illustrate potential advantages of these algorithms through our preliminary numerical experiments. Let @math be a number field with ring of integers @math . We compute explicitly the local factors of the normal zeta functions of the Heisenberg groups @math that are indexed by rational primes which are unramified in @math . We show that these local zeta functions satisfy functional equations upon the inversion of the prime. Let @math be a ground set of @math elements, and let @math be a family of subsets of @math , @math , with a positive cost @math associated with each @math . Consider the following online version of the set cover problem, described as a game between an algorithm and an adversary. An adversary gives elements to the algorithm from @math one by one. Once a new element is given, the algorithm has to cover it by some set of @math containing it. We assume that the elements of @math and the members of @math are known in advance to the algorithm; however, the set @math of elements given by the adversary is not known in advance to the algorithm. (In general, @math may be a strict subset of @math .) The objective is to minimize the total cost of the sets chosen by the algorithm. Let @math denote the family of sets in @math that the algorithm chooses. At the end of the game the adversary also produces (offline) a family of sets @math that covers @math . The performance of the algorithm is the ratio between the cost of @math and the cost of @math . The maximum ratio, taken over all input sequences, is the competitive ratio of the algorithm. We present an @math competitive deterministic algorithm for the problem and establish a nearly matching @math lower bound for all interesting values of @math and @math . The techniques used are motivated by similar techniques developed in computational learning theory for online prediction (e.g., the WINNOW algorithm) together with a novel way of converting a fractional solution into a deterministic online algorithm. We study undirected networks with edge costs that satisfy the triangle inequality. Let @math denote the number of nodes. We present an @math -approximation algorithm for a generalization of the metric-cost subset @math -node-connectivity problem. Our approximation guarantee is proved via lower bounds that apply to the simple edge-connectivity version of the problem, where the requirements are for edge-disjoint paths rather than for openly node-disjoint paths. A corollary is that, for metric costs and for each @math , there exists a @math -node connected graph whose cost is within a factor of @math of the cost of any simple @math -edge connected graph. Based on our @math -approximation algorithm, we present an @math -approximation algorithm for the metric-cost node-connectivity survivable network design problem, where @math denotes the maximum requirement over all pairs of nodes. Our results contrast with the case of edge costs of 0 or 1, where Kortsarz, Krauthgamer, and Lee. [SIAM J. Comput., 33 (2004), pp. 704-720] recently proved, assuming NP @math DTIME( @math ), a hardness-of-approximation lower bound of @math for the subset @math -node-connectivity problem, where @math denotes a small positive number. Fitting a function by using linear combinations of a large number @math of simple' components is one of the most fruitful ideas in statistical learning. This idea lies at the core of a variety of methods, from two-layer neural networks to kernel regression, to boosting. In general, the resulting risk minimization problem is non-convex and is solved by gradient descent or its variants. Unfortunately, little is known about global convergence properties of these approaches. Here we consider the problem of learning a concave function @math on a compact convex domain @math , using linear combinations of bump-like' components (neurons). The parameters to be fitted are the centers of @math bumps, and the resulting empirical risk minimization problem is highly non-convex. We prove that, in the limit in which the number of neurons diverges, the evolution of gradient descent converges to a Wasserstein gradient flow in the space of probability distributions over @math . Further, when the bump width @math tends to @math , this gradient flow has a limit which is a viscous porous medium equation. Remarkably, the cost function optimized by this gradient flow exhibits a special property known as displacement convexity, which implies exponential convergence rates for @math , @math . Surprisingly, this asymptotic theory appears to capture well the behavior for moderate values of @math . Explaining this phenomenon, and understanding the dependence on @math in a quantitative manner remains an outstanding challenge. Let @math be @math -variate polynomials with rational coefficients of maximum degree @math and let @math be the set of common complex solutions of @math . We give an algorithm which, up to some regularity assumptions on @math , computes an exact representation of the global infimum @math of the restriction of the map @math to @math , i.e., a univariate polynomial vanishing at @math and an isolating interval for @math . Furthermore, it decides whether @math is reached, and if so, it returns @math such that @math . This algorithm is probabilistic. It makes use of the notion of polar varieties. Its complexity is essentially cubic in @math and linear in the complexity of evaluating the input. This fits within the best known deterministic complexity class @math . We report on some practical experiments of a first implementation that is available as a Maple package. It appears that it ca... We present a method for solving the shortest transshipmen problem - also known as uncapacitated minimum cost flow - up to a multiplicative error of @math in undirected graphs with polynomially bounded integer edge weights using a tailored gradient descent algorithm. An important special case of the transshipment problem is the single-source shortest paths (SSSP) problem. Our gradient descent algorithm takes @math iterations, and in each iteration it needs to solve the transshipment problem up to a multiplicative error of @math , where @math is the number of nodes. In particular, this allows us to perform a single iteration by computing a solution on a sparse spanner of logarithmic stretch. As a consequence, we improve prior work by obtaining the following results: (1) Broadcast congest model: @math -approximate SSSP using @math rounds, where @math is the (hop) diameter of the network. (2) Broadcast congested clique model: @math -approximate transshipment and SSSP using @math rounds. (3) Multipass streaming model: @math -approximate transshipment and SSSP using @math space and @math passes. The previously fastest algorithms for these models leverage sparse hop sets. We bypass the hop set construction; computing a spanner is sufficient with our method. The above bounds assume non-negative integer edge weights that are polynomially bounded in @math ; for general non-negative weights, running times scale with the logarithm of the maximum ratio between non-zero weights. In case of asymmetric costs, running times scale with the maximum ratio between the costs of both directions over all edges. The sign-rank of a matrix @math with @math entries is the least rank of a real matrix @math with @math for all @math . We obtain the first exponential lower bound on the sign-rank of a function in @math . Namely, let @math . We show that the matrix @math has sign-rank @math . This in particular implies that @math , which solves a longstanding open problem in communication complexity posed by Babai, Frankl, and Simon [Proceedings of the 27th Symposium on Foundations of Computer Science (FOCS), 1986, pp. 337-347]. Our result additionally implies a lower bound in learning theory. Specifically, let @math be functions such that every DNF formula @math of polynomial size has the representation @math for some reals @math . We prove that then @math , which essentially matches an upper bound of @math , due to Klivans and Servedio [J. Comput. System Sci., 68 (2004), pp. 303-318]. Finally, our work yields the first exponential lower bound on the size of threshold-of-majority circuits computing a function in @math . This substantially generalizes and strengthens the results of Krause and Pudlak [Theoret. Comput. Sci., 174 (1997), pp. 137-156]. This paper analyzes the iteration-complexity of a quadratic penalty accelerated inexact proximal point method for solving linearly constrained nonconvex composite programs. More specifically, the objective function is of the form @math where @math is a differentiable function whose gradient is Lipschitz continuous and @math is a closed convex function with bounded domain. The method, basically, consists of applying an accelerated inexact proximal point method for solving approximately a sequence of quadratic penalized subproblems associated to the linearly constrained problem. Each subproblem of the proximal point method is in turn approximately solved by an accelerated composite gradient method. It is shown that the proposed scheme generates a @math -approximate stationary point in at most @math . Finally, numerical results showing the efficiency of the proposed method are also given. We consider the problem of selecting the best subset of exactly @math columns from an @math matrix @math . We present and analyze a novel two-stage algorithm that runs in @math time and returns as output an @math matrix @math consisting of exactly @math columns of @math . In the first (randomized) stage, the algorithm randomly selects @math columns according to a judiciously-chosen probability distribution that depends on information in the top- @math right singular subspace of @math . In the second (deterministic) stage, the algorithm applies a deterministic column-selection procedure to select and return exactly @math columns from the set of columns selected in the first stage. Let @math be the @math matrix containing those @math columns, let @math denote the projection matrix onto the span of those columns, and let @math denote the best rank- @math approximation to the matrix @math . Then, we prove that, with probability at least 0.8, @math This Frobenius norm bound is only a factor of @math worse than the best previously existing existential result and is roughly @math better than the best previous algorithmic result for the Frobenius norm version of this Column Subset Selection Problem (CSSP). We also prove that, with probability at least 0.8, @math This spectral norm bound is not directly comparable to the best previously existing bounds for the spectral norm version of this CSSP. Our bound depends on @math , whereas previous results depend on @math ; if these two quantities are comparable, then our bound is asymptotically worse by a @math factor. We present an accelerated gradient method for nonconvex optimization problems with Lipschitz continuous first and second derivatives. In a time @math , the method finds an @math -stationary point, meaning a point @math such that @math . The method improves upon the @math complexity of gradient descent and provides the additional second-order guarantee that @math for the computed @math . Furthermore, our method is Hessian free, i.e., it only requires gradient computations, and is therefore suitable for large-scale applications. Let @math be an @math Fourier matrix over @math for some prime @math . We improve upon known lower bounds for the number of rows of @math that must be sampled so that the resulting matrix @math satisfies the restricted isometry property for @math -sparse vectors. This property states that @math is approximately @math for all @math -sparse vectors @math . In particular, if @math , we show that @math rows must be sampled to satisfy the restricted isometry property with constant probability. In cryo-electron microscopy, the three-dimensional (3D) electric potentials of an ensemble of molecules are projected along arbitrary viewing directions to yield noisy two-dimensional images. The volume maps representing these potentials typically exhibit a great deal of structural variability, which is described by their 3D covariance matrix. Typically, this covariance matrix is approximately low rank and can be used to cluster the volumes or estimate the intrinsic geometry of the conformation space. We formulate the estimation of this covariance matrix as a linear inverse problem, yielding a consistent least-squares estimator. For @math images of size @math -by- @math pixels, we propose an algorithm for calculating this covariance estimator with computational complexity @math , where the condition number @math is empirically in the range 10--200. Its efficiency relies on the observation that the normal equations are equivalent to a deconvolution problem in six dimensions.... We present an accelerated gradient method for non-convex optimization problems with Lipschitz continuous first and second derivatives. The method requires time @math to find an @math -stationary point, meaning a point @math such that @math . The method improves upon the @math complexity of gradient descent and provides the additional second-order guarantee that @math for the computed @math . Furthermore, our method is Hessian free, i.e. it only requires gradient computations, and is therefore suitable for large scale applications. The problem of cache enabled private information retrieval (PIR) is considered in which a user wishes to privately retrieve one out of @math messages, each of size @math bits from @math distributed databases. The user has a local cache of storage @math bits which can be used to store any function of the @math messages. The main contribution of this work is the exact characterization of the capacity of cache aided PIR as a function of the storage parameter @math . In particular, for a given cache storage parameter @math , the information-theoretically optimal download cost @math (or the inverse of capacity) is shown to be equal to @math . Special cases of this result correspond to the settings when @math , for which the optimal download cost was shown by Sun and Jafar to be @math , and the case when @math , i.e., cache size is large enough to store all messages locally, for which the optimal download cost is @math . The intermediate points @math can be readily achieved through a simple memory-sharing based PIR scheme. The key technical contribution of this work is the converse, i.e., a lower bound on the download cost as a function of storage @math which shows that memory sharing is information-theoretically optimal. Let @math be an @math real random matrix whose elements are independent and identically distributed standard normal random variables, and let @math be the 2-norm condition number of @math . We prove that, for any @math , @math , and @math , @math satisfies @math where @math and @math @math are universal positive constants independent of @math , @math , and @math . Moreover, for any @math and @math , @math A similar pair of results for complex Gaussian random matrices is also established.