Kernel machines often yield superior predictive performance on various tasks; however, they suffer from severe computational challenges. In this paper, we show how to overcome the important challenge of speeding up kernel machines. In particular, we develop a parallel block minimization framework for solving kernel machines, including kernel SVM and kernel logistic regression. Our framework proceeds by dividing the problem into smaller subproblems by forming a block-diagonal approximation of the Hessian matrix. The subproblems are then solved approximately in parallel. After that, a communication efficient line search procedure is developed to ensure sufficient reduction of the objective function value at each iteration. We prove global linear convergence rate of the proposed method with a wide class of subproblem solvers, and our analysis covers strongly convex and some non-strongly convex functions. We apply our algorithm to solve large-scale kernel SVM problems on distributed systems, and show a significant improvement over existing parallel solvers. As an example, on the covtype dataset with half-a-million samples, our algorithm can obtain an approximate solution with 96 accuracy in 20 seconds using 32 machines, while all the other parallel kernel SVM solvers require more than 2000 seconds to achieve a solution with 95 accuracy. Moreover, our algorithm can scale to very large data sets, such as the kdd algebra dataset with 8 million samples and 20 million features.
Our Innovations. In contrast to the above algorithms, ours is the first paper that develops a block-partition based coordinate descent algorithm to kernel machines; previous work either focused on linear SVM @cite_17 @cite_23 @cite_6 or primal ERM problems @cite_14 . These approaches proposed to maintain and synchronize the vector @math or @math , where @math is the direction and @math is the data matrix. Unfortunately, in kernel methods this strategy does not work since each sample may have infinite dimension after the nonlinear mapping. We overcome the challenges by synchronizing the @math vector ( @math ) and developing an efficient line search procedure. We further show that a better partition (obtained by kmeans) can speedup the convergence of the algorithm.
@cite_14 @cite_6 @cite_23 @cite_17
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The kernel support vector machine (SVM) is one of the most widely used classification methods; however, the amount of computation required becomes the bottleneck when facing millions of samples. In this paper, we propose and analyze a novel divide-and-conquer solver for kernel SVMs (DC-SVM). In the division step, we partition the kernel SVM problem into smaller subproblems by clustering the data, so that each subproblem can be solved independently and efficiently. We show theoretically that the support vectors identified by the subproblem solution are likely to be support vectors of the entire kernel SVM problem, provided that the problem is partitioned appropriately by kernel clustering. In the conquer step, the local solutions from the subproblems are used to initialize a global coordinate descent solver, which converges quickly as suggested by our analysis. By extending this idea, we develop a multilevel Divide-and-Conquer SVM algorithm with adaptive clustering and early prediction strategy, which outperforms state-of-the-art methods in terms of training speed, testing accuracy, and memory usage. As an example, on the covtype dataset with half-a-million samples, DC-SVM is 7 times faster than LIBSVM in obtaining the exact SVM solution (to within @math relative error) which achieves 96.15 prediction accuracy. Moreover, with our proposed early prediction strategy, DC-SVM achieves about 96 accuracy in only 12 minutes, which is more than 100 times faster than LIBSVM. We investigate the minimization of Newton's functional for the problem of the body of minimal resistance with maximal height @math cite butt in the class of convex developable functions defined in a disc. This class is a natural candidate to find a (non-radial) minimizer in accordance with the results of cite lrp2. We prove that the minimizer in this class has a minimal set in the form of a regular polygon with @math sides centered in the disc, and numerical experiments indicate that the natural number @math is a non-decreasing function of @math . The corresponding functions all achieve a lower value of the functional than the optimal radially symmetric function with the same height @math . Stochastic Dual Coordinate Descent (SDCD) has become one of the most efficient ways to solve the family of @math -regularized empirical risk minimization problems, including linear SVM, logistic regression, and many others. The vanilla implementation of DCD is quite slow; however, by maintaining primal variables while updating dual variables, the time complexity of SDCD can be significantly reduced. Such a strategy forms the core algorithm in the widely-used LIBLINEAR package. In this paper, we parallelize the SDCD algorithms in LIBLINEAR. In recent research, several synchronized parallel SDCD algorithms have been proposed, however, they fail to achieve good speedup in the shared memory multi-core setting. In this paper, we propose a family of asynchronous stochastic dual coordinate descent algorithms (ASDCD). Each thread repeatedly selects a random dual variable and conducts coordinate updates using the primal variables that are stored in the shared memory. We analyze the convergence properties when different locking atomic mechanisms are applied. For implementation with atomic operations, we show linear convergence under mild conditions. For implementation without any atomic operations or locking, we present the first backward error analysis for ASDCD under the multi-core environment, showing that the converged solution is the exact solution for a primal problem with perturbed regularizer. Experimental results show that our methods are much faster than previous parallel coordinate descent solvers. Interpolators---estimators that achieve zero training error---have attracted growing attention in machine learning, mainly because state-of-the art neural networks appear to be models of this type. In this paper, we study minimum @math norm ( ridgeless') interpolation in high-dimensional least squares regression. We consider two different models for the feature distribution: a linear model, where the feature vectors @math are obtained by applying a linear transform to a vector of i.i.d. entries, @math (with @math ); and a nonlinear model, where the feature vectors are obtained by passing the input through a random one-layer neural network, @math (with @math , @math a matrix of i.i.d. entries, and @math an activation function acting componentwise on @math ). We recover---in a precise quantitative way---several phenomena that have been observed in large-scale neural networks and kernel machines, including the double descent' behavior of the prediction risk, and the potential benefits of overparametrization. In stochastic convex optimization the goal is to minimize a convex function @math over a convex set @math where @math is some unknown distribution and each @math in the support of @math is convex over @math . The optimization is commonly based on i.i.d. samples @math from @math . A standard approach to such problems is empirical risk minimization (ERM) that optimizes @math . Here we consider the question of how many samples are necessary for ERM to succeed and the closely related question of uniform convergence of @math to @math over @math . We demonstrate that in the standard @math setting of Lipschitz-bounded functions over a @math of bounded radius, ERM requires sample size that scales linearly with the dimension @math . This nearly matches standard upper bounds and improves on @math dependence proved for @math setting by Shalev- (2009). In stark contrast, these problems can be solved using dimension-independent number of samples for @math setting and @math dependence for @math setting using other approaches. We further show that our lower bound applies even if the functions in the support of @math are smooth and efficiently computable and even if an @math regularization term is added. Finally, we demonstrate that for a more general class of bounded-range (but not Lipschitz-bounded) stochastic convex programs an infinite gap appears already in dimension 2. A primary computational problem in kernel regression is solution of a dense linear system with the @math kernel matrix. Because a direct solution has an O( @math ) cost, iterative Krylov methods are often used with fast matrix-vector products. For poorly conditioned problems, convergence of the iteration is slow and preconditioning becomes necessary. We investigate preconditioning from the viewpoint of scalability and efficiency. The problems that conventional preconditioners face when applied to kernel methods are demonstrated. A that not only improves convergence but also allows utilization of fast kernel matrix-vector products is introduced. The performance of this preconditioner is first illustrated on synthetic data, and subsequently on a suite of test problems in kernel regression and geostatistical kriging. Radio networks model wireless communication when processing units communicate using one wave frequency. This is captured by the property that multiple messages arriving simultaneously to a node interfere with one another and none of them can be read reliably. We present improved solutions to the problem of waking up such a network. This requires activating all nodes in a scenario when some nodes start to be active spontaneously, while every sleeping node needs to be awaken by receiving successfully a message from a neighbor. Our contributions concern the existence and efficient construction of universal radio synchronizers, which are combinatorial structures introduced in [6] as building blocks of efficient wake-up algorithms. First we show by counting that there are (n,g)-universal synchronizers for @math . Next we show an explicit construction of (n,g)-universal-synchronizers for @math . By way of applications, we obtain an existential wake-up algorithm which works in time @math and an explicitly instantiated algorithm that works in time @math , where n is the number of nodes and @math is the maximum in-degree in the network. Algorithms for leader-election and synchronization can be developed on top of wake-up ones, as shown in [7], such that they work in time slower by a factor of @math than the underlying wake-up ones. Heat kernel pagerank is a variation of Personalized PageRank given in an exponential formulation. In this work, we present a sublinear time algorithm for approximating the heat kernel pagerank of a graph. The algorithm works by simulating random walks of bounded length and runs in time @math , assuming performing a random walk step and sampling from a distribution with bounded support take constant time. The quantitative ranking of vertices obtained with heat kernel pagerank can be used for local clustering algorithms. We present an efficient local clustering algorithm that finds cuts by performing a sweep over a heat kernel pagerank vector, using the heat kernel pagerank approximation algorithm as a subroutine. Specifically, we show that for a subset @math of Cheeger ratio @math , many vertices in @math may serve as seeds for a heat kernel pagerank vector which will find a cut of conductance @math . Randomized coordinate descent (RCD) methods are state-of-the-art algorithms for training linear predictors via minimizing regularized empirical risk. When the number of examples ( @math ) is much larger than the number of features ( @math ), a common strategy is to apply RCD to the dual problem. On the other hand, when the number of features is much larger than the number of examples, it makes sense to apply RCD directly to the primal problem. In this paper we provide the first joint study of these two approaches when applied to L2-regularized ERM. First, we show through a rigorous analysis that for dense data, the above intuition is precisely correct. However, we find that for sparse and structured data, primal RCD can significantly outperform dual RCD even if @math , and vice versa, dual RCD can be much faster than primal RCD even if @math . Moreover, we show that, surprisingly, a single sampling strategy minimizes both the (bound on the) number of iterations and the overall expected complexity of RCD. Note that the latter complexity measure also takes into account the average cost of the iterations, which depends on the structure and sparsity of the data, and on the sampling strategy employed. We confirm our theoretical predictions using extensive experiments with both synthetic and real data sets. Consider the problem of approximating the optimal policy of a Markov decision process (MDP) by sampling state transitions. In contrast to existing reinforcement learning methods that are based on successive approximations to the nonlinear Bellman equation, we propose a Primal-Dual @math Learning method in light of the linear duality between the value and policy. The @math learning method is model-free and makes primal-dual updates to the policy and value vectors as new data are revealed. For infinite-horizon undiscounted Markov decision process with finite state space @math and finite action space @math , the @math learning method finds an @math -optimal policy using the following number of sample transitions @math where @math is an upper bound of mixing times across all policies and @math is a parameter characterizing the range of stationary distributions across policies. The @math learning method also applies to the computational problem of MDP where the transition probabilities and rewards are explicitly given as the input. In the case where each state transition can be sampled in @math time, the @math learning method gives a sublinear-time algorithm for solving the averaged-reward MDP. We give the first dimension-efficient algorithms for learning Rectified Linear Units (ReLUs), which are functions of the form @math with @math . Our algorithm works in the challenging Reliable Agnostic learning model of Kalai, Kanade, and Mansour (2009) where the learner is given access to a distribution @math on labeled examples but the labeling may be arbitrary. We construct a hypothesis that simultaneously minimizes the false-positive rate and the loss on inputs given positive labels by @math , for any convex, bounded, and Lipschitz loss function. The algorithm runs in polynomial-time (in @math ) with respect to any distribution on @math (the unit sphere in @math dimensions) and for any error parameter @math (this yields a PTAS for a question raised by F. Bach on the complexity of maximizing ReLUs). These results are in contrast to known efficient algorithms for reliably learning linear threshold functions, where @math must be @math and strong assumptions are required on the marginal distribution. We can compose our results to obtain the first set of efficient algorithms for learning constant-depth networks of ReLUs. Our techniques combine kernel methods and polynomial approximations with a "dual-loss" approach to convex programming. As a byproduct we obtain a number of applications including the first set of efficient algorithms for "convex piecewise-linear fitting" and the first efficient algorithms for noisy polynomial reconstruction of low-weight polynomials on the unit sphere. Phase retrieval seeks to recover a signal @math x ? C p from the amplitude @math | A x | of linear measurements @math A x ? C n . We cast the phase retrieval problem as a non-convex quadratic program over a complex phase vector and formulate a tractable relaxation (called PhaseCut) similar to the classical MaxCut semidefinite program. We solve this problem using a provably convergent block coordinate descent algorithm whose structure is similar to that of the original greedy algorithm in Gerchberg and Saxton (Optik 35:237---246, 1972), where each iteration is a matrix vector product. Numerical results show the performance of this approach over three different phase retrieval problems, in comparison with greedy phase retrieval algorithms and matrix completion formulations. The problem of estimating the phases (angles) of a complex unit-modulus vector @math from their noisy pairwise relative measurements @math , where @math is a complex-valued Gaussian random matrix, is known as phase synchronization. The maximum likelihood estimator (MLE) is a solution to a unit--modulus-constrained quadratic programming problem, which is nonconvex. Existing works have proposed polynomial-time algorithms such as a semidefinite programming (SDP) relaxation or the generalized power method (GPM). Numerical experiments suggest that both of these methods succeed with high probability for @math up to @math , yet existing analyses only confirm this observation for @math up to @math . In this paper, we bridge the gap by proving that the SDP relaxation is tight for @math , and GPM converges to the global optimum under the same regime. Moreover, we establish a linear convergence rate for GPM, and derive a tight... Low-rank approximation is a common tool used to accelerate kernel methods: the @math kernel matrix @math is approximated via a rank- @math matrix @math which can be stored in much less space and processed more quickly. In this work we study the limits of computationally efficient low-rank kernel approximation. We show that for a broad class of kernels, including the popular Gaussian and polynomial kernels, computing a relative error @math -rank approximation to @math is at least as difficult as multiplying the input data matrix @math by an arbitrary matrix @math . Barring a breakthrough in fast matrix multiplication, when @math is not too large, this requires @math time where @math is the number of non-zeros in @math . This lower bound matches, in many parameter regimes, recent work on subquadratic time algorithms for low-rank approximation of general kernels [MM16,MW17], demonstrating that these algorithms are unlikely to be significantly improved, in particular to @math input sparsity runtimes. At the same time there is hope: we show for the first time that @math time approximation is possible for general radial basis function kernels (e.g., the Gaussian kernel) for the closely related problem of low-rank approximation of the kernelized dataset. At initialization, artificial neural networks (ANNs) are equivalent to Gaussian processes in the infinite-width limit, thus connecting them to kernel methods. We prove that the evolution of an ANN during training can also be described by a kernel: during gradient descent on the parameters of an ANN, the network function @math (which maps input vectors to output vectors) follows the kernel gradient of the functional cost (which is convex, in contrast to the parameter cost) w.r.t. a new kernel: the Neural Tangent Kernel (NTK). This kernel is central to describe the generalization features of ANNs. While the NTK is random at initialization and varies during training, in the infinite-width limit it converges to an explicit limiting kernel and it stays constant during training. This makes it possible to study the training of ANNs in function space instead of parameter space. Convergence of the training can then be related to the positive-definiteness of the limiting NTK. We prove the positive-definiteness of the limiting NTK when the data is supported on the sphere and the non-linearity is non-polynomial. We then focus on the setting of least-squares regression and show that in the infinite-width limit, the network function @math follows a linear differential equation during training. The convergence is fastest along the largest kernel principal components of the input data with respect to the NTK, hence suggesting a theoretical motivation for early stopping. Finally we study the NTK numerically, observe its behavior for wide networks, and compare it to the infinite-width limit. We describe an asynchronous parallel stochastic proximal coordinate descent algorithm for minimizing a composite objective function, which consists of a smooth convex function plus a separable convex function. In contrast to previous analyses, our model of asynchronous computation accounts for the fact that components of the unknown vector may be written by some cores simultaneously with being read by others. Despite the complications arising from this possibility, the method achieves a linear convergence rate on functions that satisfy an optimal strong convexity property and a sublinear rate ( @math ) on general convex functions. Near-linear speedup on a multicore system can be expected if the number of processors is @math . We describe results from implementation on ten cores of a multicore processor. We study the optimal design problems where the goal is to choose a set of linear measurements to obtain the most accurate estimate of an unknown vector in @math dimensions. We study the @math -optimal design variant where the objective is to minimize the average variance of the error in the maximum likelihood estimate of the vector being measured. The problem also finds applications in sensor placement in wireless networks, sparse least squares regression, feature selection for @math -means clustering, and matrix approximation. In this paper, we introduce proportional volume sampling to obtain improved approximation algorithms for @math -optimal design. Our main result is to obtain improved approximation algorithms for the @math -optimal design problem by introducing the proportional volume sampling algorithm. Our results nearly optimal bounds in the asymptotic regime when the number of measurements done, @math , is significantly more than the dimension @math . We also give first approximation algorithms when @math is small including when @math . The proportional volume-sampling algorithm also gives approximation algorithms for other optimal design objectives such as @math -optimal design and generalized ratio objective matching or improving previous best known results. Interestingly, we show that a similar guarantee cannot be obtained for the @math -optimal design problem. We also show that the @math -optimal design problem is NP-hard to approximate within a fixed constant when @math . 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. The general perception is that kernel methods are not scalable, and neural nets are the methods of choice for nonlinear learning problems. Or have we simply not tried hard enough for kernel methods? Here we propose an approach that scales up kernel methods using a novel concept called "doubly stochastic functional gradients". Our approach relies on the fact that many kernel methods can be expressed as convex optimization problems, and we solve the problems by making two unbiased stochastic approximations to the functional gradient, one using random training points and another using random functions associated with the kernel, and then descending using this noisy functional gradient. We show that a function produced by this procedure after @math iterations converges to the optimal function in the reproducing kernel Hilbert space in rate @math , and achieves a generalization performance of @math . This doubly stochasticity also allows us to avoid keeping the support vectors and to implement the algorithm in a small memory footprint, which is linear in number of iterations and independent of data dimension. Our approach can readily scale kernel methods up to the regimes which are dominated by neural nets. We show that our method can achieve competitive performance to neural nets in datasets such as 8 million handwritten digits from MNIST, 2.3 million energy materials from MolecularSpace, and 1 million photos from ImageNet. Compressed sensing is a signal processing technique in which data is acquired directly in a compressed form. There are two modeling approaches that can be considered: the worst-case (Hamming) approach and a statistical mechanism, in which the signals are modeled as random processes rather than as individual sequences. In this paper, the second approach is studied. In particular, we consider a model of the form @math , where each comportment of @math is given by @math , where @math are i.i.d. Gaussian random variables, and @math are binary random variables independent of @math , and not necessarily independent and identically distributed (i.i.d.), @math is a random matrix with i.i.d. entries, and @math is white Gaussian noise. Using a direct relationship between optimum estimation and certain partition functions, and by invoking methods from statistical mechanics and from random matrix theory (RMT), we derive an asymptotic formula for the minimum mean-square error (MMSE) of estimating the input vector @math given @math and @math , as @math , keeping the measurement rate, @math , fixed. In contrast to previous derivations, which are based on the replica method, the analysis carried out in this paper is rigorous.