Abstract In recent years, attention has been focused on the relationship between black-box optimization problem and reinforcement learning problem. In this research, we propose the Mirror Descent Search (MDS) algorithm which is applicable both for black box optimization problems and reinforcement learning problems. Our method is based on the mirror descent method, which is a general optimization algorithm. The contribution of this research is roughly twofold. We propose two essential algorithms, called MDS and Accelerated Mirror Descent Search (AMDS), and two more approximate algorithms: Gaussian Mirror Descent Search (G-MDS) and Gaussian Accelerated Mirror Descent Search (G-AMDS). This research shows that the advanced methods developed in the context of the mirror descent research can be applied to reinforcement learning problem. We also clarify the relationship between an existing reinforcement learning algorithm and our method. With two evaluation experiments, we show our proposed algorithms converge faster than some state-of-the-art methods.
The KL divergence between @math and @math is represented as follows. We call @math Kullback Leibler divergence under the condition that we determine @math by reference to the fixed @math ; we call @math reverse-KL divergence @cite_9 . Bregman divergence includes both of KL and RKL divergence @cite_33 , so we expect it provides an unified formulation of above-mentioned algorithms.
@cite_9 @cite_33
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The probability that a user will click a search result depends both on its relevance and its position on the results page. The position based model explains this behavior by ascribing to every item an attraction probability, and to every position an examination probability. To be clicked, a result must be both attractive and examined. The probabilities of an item-position pair being clicked thus form the entries of a rank- @math matrix. We propose the learning problem of a Bernoulli rank- @math bandit where at each step, the learning agent chooses a pair of row and column arms, and receives the product of their Bernoulli-distributed values as a reward. This is a special case of the stochastic rank- @math bandit problem considered in recent work that proposed an elimination based algorithm Rank1Elim, and showed that Rank1Elim's regret scales linearly with the number of rows and columns on "benign" instances. These are the instances where the minimum of the average row and column rewards @math is bounded away from zero. The issue with Rank1Elim is that it fails to be competitive with straightforward bandit strategies as @math . In this paper we propose Rank1ElimKL which simply replaces the (crude) confidence intervals of Rank1Elim with confidence intervals based on Kullback-Leibler (KL) divergences, and with the help of a novel result concerning the scaling of KL divergences we prove that with this change, our algorithm will be competitive no matter the value of @math . Experiments with synthetic data confirm that on benign instances the performance of Rank1ElimKL is significantly better than that of even Rank1Elim, while experiments with models derived from real data confirm that the improvements are significant across the board, regardless of whether the data is benign or not. The Bregman k-median problem is defined as follows. Given a Bregman divergence Dφ and a finite set @math of size n, our goal is to find a set C of size k such that the sum of errors cost(P,C)=∑p∈P min c∈C Dφ(p,c) is minimized. The Bregman k-median problem plays an important role in many applications, e.g., information theory, statistics, text classification, and speech processing. We study a generalization of the kmeans++ seeding of Arthur and Vassilvitskii (SODA '07). We prove for an almost arbitrary Bregman divergence that if the input set consists of k well separated clusters, then with probability @math this seeding step alone finds an @math -approximate solution. Thereby, we generalize an earlier result of (FOCS '06) from the case of the Euclidean k-means problem to the Bregman k-median problem. Additionally, this result leads to a constant factor approximation algorithm for the Bregman k-median problem using at most @math arithmetic operations, including evaluations of Bregman divergence Dφ. We consider the problem of projecting a vector onto the simplex Δ = x ∈ ℝ+d : Σi=1d xi = 1 , using a Bregman projection. This is a common problem in first-order methods for convex optimization and online-learning algorithms, such as mirror descent. We derive the KKT conditions of the projection problem, and show that for Bregman divergences induced by ω-potentials, one can efficiently compute the solution using a bisection method. More precisely, an ω-approximate projection can be obtained in O(d log 1 ω). We also consider a class of exponential potentials for which the exact solution can be computed efficiently, and give a O(d log d) deterministic algorithm and O(d) randomized algorithm to compute the projection. In particular, we show that one can generalize the KL divergence to a Bregman divergence which is bounded on the simplex (unlike the KL divergence), strongly convex with respect to the l1 norm, and for which one can still solve the projection in expected linear time. New phase transition phenomena have recently been discovered for the stochastic block model, for the special case of two non-overlapping symmetric communities. This gives raise in particular to new algorithmic challenges driven by the thresholds. This paper investigates whether a general phenomenon takes place for multiple communities, without imposing symmetry. In the general stochastic block model @math , @math vertices are split into @math communities of relative size @math , and vertices in community @math and @math connect independently with probability @math . This paper investigates the partial and exact recovery of communities in the general SBM (in the constant and logarithmic degree regimes), and uses the generality of the results to tackle overlapping communities. The contributions of the paper are: (i) an explicit characterization of the recovery threshold in the general SBM in terms of a new divergence function @math , which generalizes the Hellinger and Chernoff divergences, and which provides an operational meaning to a divergence function analog to the KL-divergence in the channel coding theorem, (ii) the development of an algorithm that recovers the communities all the way down to the optimal threshold and runs in quasi-linear time, showing that exact recovery has no information-theoretic to computational gap for multiple communities, in contrast to the conjectures made for detection with more than 4 communities; note that the algorithm is optimal both in terms of achieving the threshold and in having quasi-linear complexity, (iii) the development of an efficient algorithm that detects communities in the constant degree regime with an explicit accuracy bound that can be made arbitrarily close to 1 when a prescribed signal-to-noise ratio (defined in term of the spectrum of @math ) tends to infinity. We propose in this paper a novel approach to tackle the problem of mode collapse encountered in generative adversarial network (GAN). Our idea is intuitive but proven to be very effective, especially in addressing some key limitations of GAN. In essence, it combines the Kullback-Leibler (KL) and reverse KL divergences into a unified objective function, thus it exploits the complementary statistical properties from these divergences to effectively diversify the estimated density in capturing multi-modes. We term our method dual discriminator generative adversarial nets (D2GAN) which, unlike GAN, has two discriminators; and together with a generator, it also has the analogy of a minimax game, wherein a discriminator rewards high scores for samples from data distribution whilst another discriminator, conversely, favoring data from the generator, and the generator produces data to fool both two discriminators. We develop theoretical analysis to show that, given the maximal discriminators, optimizing the generator of D2GAN reduces to minimizing both KL and reverse KL divergences between data distribution and the distribution induced from the data generated by the generator, hence effectively avoiding the mode collapsing problem. We conduct extensive experiments on synthetic and real-world large-scale datasets (MNIST, CIFAR-10, STL-10, ImageNet), where we have made our best effort to compare our D2GAN with the latest state-of-the-art GAN's variants in comprehensive qualitative and quantitative evaluations. The experimental results demonstrate the competitive and superior performance of our approach in generating good quality and diverse samples over baselines, and the capability of our method to scale up to ImageNet database. This paper studies the basic question of whether a given channel @math can be dominated (in the precise sense of being more noisy) by a @math -ary symmetric channel. The concept of "less noisy" relation between channels originated in network information theory (broadcast channels) and is defined in terms of mutual information or Kullback-Leibler divergence. We provide an equivalent characterization in terms of @math -divergence. Furthermore, we develop a simple criterion for domination by a @math -ary symmetric channel in terms of the minimum entry of the stochastic matrix defining the channel @math . The criterion is strengthened for the special case of additive noise channels over finite Abelian groups. Finally, it is shown that domination by a symmetric channel implies (via comparison of Dirichlet forms) a logarithmic Sobolev inequality for the original channel. In this paper we study distributionally robust optimization (DRO) problems where the ambiguity set of the probability distribution is defined by the Kullback-Leibler (KL) divergence. We consider DRO problems where the ambiguity is in the objective function, which takes a form of an expectation, and show that the resulted minimax DRO problems can be formulated as a one-layer convex minimization problem. We also consider DRO problems where the ambiguity is in the constraint. We show that ambiguous expectation-constrained programs may be reformulated as a one-layer convex optimization problem that takes the form of the Benstein approximation of Nemirovski and Shapiro (2006). We further consider distributionally robust probabilistic programs. We show that the optimal solution of a probability minimization problem is also optimal for the distributionally robust version of the same problem, and also show that the ambiguous chance-constrained programs (CCPs) may be reformulated as the original CCP with an adjusted confidence level. A number of examples and special cases are also discussed in the paper to show that the reformulated problems may take simple forms that can be solved easily. The main contribution of the paper is to show that the KL divergence constrained DRO problems are often of the same complexity as their original stochastic programming problems and, thus, KL divergence appears a good candidate in modeling distribution ambiguities in mathematical programming. This paper considers the problem of variable-length coding over a discrete memoryless channel with noiseless feedback. This paper provides a stochastic control view of the problem whose solution is analyzed via a newly proposed symmetrized divergence, termed extrinsic Jensen–Shannon (EJS) divergence. It is shown that strictly positive lower bounds on EJS divergence provide nonasymptotic upper bounds on the expected code length. This paper presents strictly positive lower bounds on EJS divergence, and hence nonasymptotic upper bounds on the expected code length, for the following two coding schemes: 1) variable-length posterior matching and 2) MaxEJS coding scheme that is based on a greedy maximization of the EJS divergence. As an asymptotic corollary of the main results, this paper also provides a rate–reliability test. Variable-length coding schemes that satisfy the condition(s) of the test for parameters @math and @math are guaranteed to achieve a rate @math and an error exponent @math . The results are specialized for posterior matching and MaxEJS to obtain deterministic one-phase coding schemes achieving capacity and optimal error exponent. For the special case of symmetric binary-input channels, simpler deterministic schemes of optimal performance are proposed and analyzed. Gaussian mixture models (GMM) are powerful parametric tools with many applications in machine learning and computer vision. Expectation maximization (EM) is the most popular algorithm for estimating the GMM parameters. However, EM guarantees only convergence to a stationary point of the log-likelihood function, which could be arbitrarily worse than the optimal solution. Inspired by the relationship between the negative log-likelihood function and the Kullback-Leibler (KL) divergence, we propose an alternative formulation for estimating the GMM parameters using the sliced Wasserstein distance, which gives rise to a new algorithm. Specifically, we propose minimizing the sliced-Wasserstein distance between the mixture model and the data distribution with respect to the GMM parameters. In contrast to the KL-divergence, the energy landscape for the sliced-Wasserstein distance is more well-behaved and therefore more suitable for a stochastic gradient descent scheme to obtain the optimal GMM parameters. We show that our formulation results in parameter estimates that are more robust to random initializations and demonstrate that it can estimate high-dimensional data distributions more faithfully than the EM algorithm. This letter presents theoretical, algorithmic, and experimental results about nonnegative matrix factorization (NMF) with the Itakura-Saito (IS) divergence. We describe how IS-NMF is underlaid by a well-defined statistical model of superimposed gaussian components and is equivalent to maximum likelihood estimation of variance parameters. This setting can accommodate regularization constraints on the factors through Bayesian priors. In particular, inverse-gamma and gamma Markov chain priors are considered in this work. Estimation can be carried out using a space-alternating generalized expectation-maximization (SAGE) algorithm; this leads to a novel type of NMF algorithm, whose convergence to a stationary point of the IS cost function is guaranteed. We also discuss the links between the IS divergence and other cost functions used in NMF, in particular, the Euclidean distance and the generalized Kullback-Leibler (KL) divergence. As such, we describe how IS-NMF can also be performed using a gradient multiplicative algorithm (a standard algorithm structure in NMF) whose convergence is observed in practice, though not proven. Finally, we report a furnished experimental comparative study of Euclidean-NMF, KL-NMF, and IS-NMF algorithms applied to the power spectrogram of a short piano sequence recorded in real conditions, with various initializations and model orders. Then we show how IS-NMF can successfully be employed for denoising and upmix (mono to stereo conversion) of an original piece of early jazz music. These experiments indicate that IS-NMF correctly captures the semantics of audio and is better suited to the representation of music signals than NMF with the usual Euclidean and KL costs. We formulate gradient-based Markov chain Monte Carlo (MCMC) sampling as optimization on the space of probability measures, with Kullback-Leibler (KL) divergence as the objective function. We show that an underdamped form of the Langevin algorithm perform accelerated gradient descent in this metric. To characterize the convergence of the algorithm, we construct a Lyapunov functional and exploit hypocoercivity of the underdamped Langevin algorithm. As an application, we show that accelerated rates can be obtained for a class of nonconvex functions with the Langevin algorithm. Estimating divergences in a consistent way is of great importance in many machine learning tasks. Although this is a fundamental problem in nonparametric statistics, to the best of our knowledge there has been no finite sample exponential inequality convergence bound derived for any divergence estimators. The main contribution of our work is to provide such a bound for an estimator of R 'enyi- @math divergence for a smooth H "older class of densities on the @math -dimensional unit cube @math . We also illustrate our theoretical results with a numerical experiment. In this paper we study Nonnegative Tensor Factorization (NTF) based on the Kullback---Leibler (KL) divergence as an alternative Csiszar---Tusnady procedure. We propose new update rules for the aforementioned divergence that are based on multiplicative update rules. The proposed algorithms are built on solid theoretical foundations that guarantee that the limit point of the iterative algorithm corresponds to a stationary solution of the optimization procedure. Moreover, we study the convergence properties of the optimization procedure and we present generalized pythagorean rules. Furthermore, we provide clear probabilistic interpretations of these algorithms. Finally, we discuss the connections between generalized Probabilistic Tensor Latent Variable Models (PTLVM) and NTF, proposing in that way algorithms for PTLVM for arbitrary multivariate probabilistic mass functions. A new form of variational autoencoder (VAE) is developed, in which the joint distribution of data and codes is considered in two (symmetric) forms: ( @math ) from observed data fed through the encoder to yield codes, and ( @math ) from latent codes drawn from a simple prior and propagated through the decoder to manifest data. Lower bounds are learned for marginal log-likelihood fits observed data and latent codes. When learning with the variational bound, one seeks to minimize the symmetric Kullback-Leibler divergence of joint density functions from ( @math ) and ( @math ), while simultaneously seeking to maximize the two marginal log-likelihoods. To facilitate learning, a new form of adversarial training is developed. An extensive set of experiments is performed, in which we demonstrate state-of-the-art data reconstruction and generation on several image benchmark datasets. The @math -Means clustering problem on @math points is NP-Hard for any dimension @math , however, for the 1D case there exists exact polynomial time algorithms. Previous literature reported an @math time dynamic programming algorithm that uses @math space. It turns out that the problem has been considered under a different name more than twenty years ago. We present all the existing work that had been overlooked and compare the various solutions theoretically. Moreover, we show how to reduce the space usage for some of them, as well as generalize them to data structures that can quickly report an optimal @math -Means clustering for any @math . Finally we also generalize all the algorithms to work for the absolute distance and to work for any Bregman Divergence. We complement our theoretical contributions by experiments that compare the practical performance of the various algorithms. We consider the problem of eciently exploring the arms of a stochastic bandit to identify the best subset of a specied size. Under the PAC and the xed-budget formulations, we derive improved bounds by using KL-divergence-based condence intervals. Whereas the application of a similar idea in the regret setting has yielded bounds in terms of the KL-divergence between the arms, our bounds in the pure-exploration setting involve the information" between the arms. In addition to introducing this novel quantity to the bandits literature, we contribute a comparison between strategies based on uniform and adaptive sampling for pure-exploration problems, nding evidence in favor of the latter. This paper investigates the use of features based on posterior probabilities of subword units such as phonemes. These features are typically transformed when used as inputs for a hidden Markov model with mixture of Gaussians as emission distribution (HMM GMM). In this work, we introduce a novel acoustic model that avoids the Gaussian assumption and directly uses posterior features without any transformation. This model is described by a finite state machine where each state is characterized by a target distribution and the cost function associated to each state is given by the Kullback-Leibler (KL) divergence between its target distribution and the posterior features. Furthermore, hybrid HMM ANN system can be seen as a particular case of this KL-based model where state target distributions are predefined. A recursive training algorithm to estimate the state target distributions is also presented. Adaptivity is an important feature of data analysis---the choice of questions to ask about a dataset often depends on previous interactions with the same dataset. However, statistical validity is typically studied in a nonadaptive model, where all questions are specified before the dataset is drawn. Recent work by (STOC, 2015) and Hardt and Ullman (FOCS, 2014) initiated the formal study of this problem, and gave the first upper and lower bounds on the achievable generalization error for adaptive data analysis. Specifically, suppose there is an unknown distribution @math and a set of @math independent samples @math is drawn from @math . We seek an algorithm that, given @math as input, accurately answers a sequence of adaptively chosen queries about the unknown distribution @math . How many samples @math must we draw from the distribution, as a function of the type of queries, the number of queries, and the desired level of accuracy? In this work we make two new contributions: (i) We give upper bounds on the number of samples @math that are needed to answer statistical queries. The bounds improve and simplify the work of (STOC, 2015), and have been applied in subsequent work by those authors (Science, 2015, NIPS, 2015). (ii) We prove the first upper bounds on the number of samples required to answer more general families of queries. These include arbitrary low-sensitivity queries and an important class of optimization queries. As in , our algorithms are based on a connection with algorithmic stability in the form of differential privacy. We extend their work by giving a quantitatively optimal, more general, and simpler proof of their main theorem that stability implies low generalization error. We also study weaker stability guarantees such as bounded KL divergence and total variation distance. Determining the structure of dependencies among a set of variables is a common task in many signal and image processing applications, including multitarget tracking and computer vision. In this paper, we present an information-theoretic, machine learning approach to problems of this type. We cast this problem as a hypothesis test between factorizations of variables into mutually independent subsets. We show that the likelihood ratio can be written as sums of two sets of Kullback-Leibler (KL) divergence terms. The first set captures the structure of the statistical dependencies within each hypothesis, whereas the second set measures the details of model differences between hypotheses. We then consider the case when the signal prior models are unknown, so that the distributions of interest must be estimated directly from data, showing that the second set of terms is (asymptotically) negligible and quantifying the loss in hypothesis separability when the models are completely unknown. We demonstrate the utility of nonparametric estimation methods for such problems, providing a general framework for determining and distinguishing between dependency structures in highly uncertain environments. Additionally, we develop a machine learning approach for estimating lower bounds on KL divergence and mutual information from samples of high-dimensional random variables for which direct density estimation is infeasible. We present empirical results in the context of three prototypical applications: association of signals generated by sources possessing harmonic behavior, scene correspondence using video imagery, and detection of coherent behavior among sets of moving objects. A divergence measure between two probability distributions or positive arrays (positive measures) is a useful tool for solving optimization problems in optimization, signal processing, machine learning, and statistical inference. The Csiszar f-divergence is a unique class of divergences having information monotonicity, from which the dual alpha geometrical structure with the Fisher metric is derived. The Bregman divergence is another class of divergences that gives a dually flat geometrical structure different from the alpha-structure in general. Csiszar gave an axiomatic characterization of divergences related to inference problems. The Kullback-Leibler divergence is proved to belong to both classes, and this is the only such one in the space of probability distributions. This paper proves that the alpha-divergences constitute a unique class belonging to both classes when the space of positive measures or positive arrays is considered. They are the canonical divergences derived from the dually flat geometrical structure of the space of positive measures.