Bayesian optimization is a widely used method for optimizing expensive black-box functions, with Expected Improvement being one of the most commonly used acquisition functions. In contrast, information-theoretic acquisition functions aim to reduce uncertainty about the function’s optimum and are often considered fundamentally distinct from EI. In this work, we challenge this prevailing perspective by introducing a unified theoretical framework, Variational Entropy Search, which reveals that EI and information-theoretic acquisition functions are more closely related than previously recognized. We demonstrate that EI can be interpreted as a variational inference approximation of the popular information-theoretic acquisition function, named Max-value Entropy Search. Building on this insight, we propose VES-Gamma, a novel acquisition function that balances the strengths of EI and MES. Extensive empirical evaluations across both low- and high-dimensional synthetic and real-world benchmarks demonstrate that VES-Gamma is competitive with state-of-the-art acquisition functions and in many cases outperforms EI and MES.

A well-balanced exploration-exploitation trade-off is crucial for successful acquisition functions in Bayesian optimization. However, there is a lack of quantitative measures for exploration, making it difficult to analyze and compare different acquisition functions. This work introduces two novel approaches -observation traveling salesman distance and observation entropy- to quantify the exploration characteristics of acquisition functions based on their selected observations. Using these measures, we examine the explorative nature of several well-known acquisition functions across a diverse set of black-box problems, uncover links between exploration and empirical performance, and reveal new relationships among existing acquisition functions. Beyond enabling a deeper understanding of acquisition functions, these measures also provide a foundation for guiding their design in a more principled and systematic manner.

Stochastic gradient descent is one of the most common iterative algorithms used in machine learning and its convergence analysis is a rich area of research. Understanding its convergence properties can help inform what modifications of it to use in different settings. However, most theoretical results either assume convexity or only provide convergence results in mean. This paper, on the other hand, proves convergence bounds in high probability without assuming convexity. Assuming strong smoothness, we prove high probability convergence bounds in two settings: (1) assuming the Polyak-Łojasiewicz inequality and norm sub-Gaussian gradient noise and (2) assuming norm sub-Weibull gradient noise. In the second setting, as an intermediate step to proving convergence, we prove a sub-Weibull martingale difference sequence self-normalized concentration inequality of independent interest. It extends Freedman-type concentration beyond the sub-exponential threshold to heavier-tailed martingale difference sequences. We also provide a post-processing method that picks a single iterate with a provable convergence guarantee as opposed to the usual bound for the unknown best iterate. Our convergence result for sub-Weibull noise extends the regime where stochastic gradient descent has equal or better convergence guarantees than stochastic gradient descent with modifications such as clipping, momentum, and normalization.

We propose a sampling-based method for computing the tensor ring (TR) decomposition of a data tensor. The method uses leverage score sampled alternating least squares to fit the TR cores in an iterative fashion. By taking advantage of the special structure of TR tensors, we can efficiently estimate the leverage scores and attain a method which has complexity sublinear in the number of input tensor entries. We provide high-probability relative-error guarantees for the sampled least squares problems. We compare our proposal to existing methods in experiments on both synthetic and real data. Our method achieves substantial speedup—sometimes two or three orders of magnitude—over competing methods, while maintaining good accuracy. We also provide an example of how our method can be used for rapid feature extraction.

Stochastic gradient Langevin dynamics (SGLD) has gained the attention of optimization researchers due to its global optimization properties. This paper proves an improved convergence property to local minimizers of nonconvex objective functions using SGLD accelerated by variance reductions. Moreover, we prove an ergodicity property of the SGLD scheme, which gives insights on its potential to find global minimizers of nonconvex objectives.

A subset of vertices in a graph is called resolving when the geodesic distances to those vertices uniquely distinguish every vertex in the graph. Here, we characterize the resolvability of Hamming graphs in terms of a constrained linear system and deduce a novel but straightforward characterization of resolvability for hypercubes. We propose an integer linear programming method to assess resolvability rapidly and provide a more costly but definite method based on Gröbner bases to determine whether or not a set of vertices resolves an arbitrary Hamming graph. As proof of concept, we identify a resolving set of size 77 in the metric space of all octapeptides (i.e., proteins composed of eight amino acids) with respect to the Hamming distance; in particular, any octamer may be readily represented as a 77-dimensional real vector. Representing $k$-mers as low-dimensional numerical vectors may enable new applications of machine learning algorithms to symbolic sequences.

We present a one-pass sparsified Gaussian mixture model (SGMM). Given N data points in P dimensions X, the model fits K Gaussian distributions to X and (softly) classifies each point to these clusters. After paying an up-front cost of O(NP log P) to precondition the data, we subsample Q entries of each data point and discard the full P-dimensional data. SGMM operates in O(KNQ) time per iteration for diagonal or spherical covariances, independent of P, while estimating the model parameters in the full P-dimensional space, making it one-pass and hence suitable for streaming data. We derive the maximum likelihood estimators for the parameters in the sparsified regime, demonstrate clustering on synthetic and real data, and show that SGMM is faster than GMM while preserving accuracy.

BACKGROUND: Linear mixed-effects models (LMM) are a leading method in conducting genome-wide association studies (GWAS) but require residual maximum likelihood (REML) estimation of variance components, which is computationally demanding. Previous work has reduced the computational burden of variance component estimation by replacing direct matrix operations with iterative and stochastic methods and by employing loose tolerances to limit the number of iterations in the REML optimization procedure. Here, we introduce two novel algorithms, stochastic Lanczos derivative-free REML (SLDF_REML) and Lanczos first-order Monte Carlo REML (L_FOMC_REML), that exploit problem structure via the principle of Krylov subspace shift-invariance to speed computation beyond existing methods. Both novel algorithms only require a single round of computation involving iterative matrix operations, after which their respective objectives can be repeatedly evaluated using vector operations. Further, in contrast to existing stochastic methods, SLDF_REML can exploit precomputed genomic relatedness matrices (GRMs), when available, to further speed computation. RESULTS: Results of numerical experiments are congruent with theory and demonstrate that interpreted-language implementations of both algorithms match or exceed existing compiled-language software packages in speed, accuracy, and flexibility. CONCLUSIONS: Both the SLDF_REML and L_FOMC_REML algorithms outperform existing methods for REML estimation of variance components for LMM and are suitable for incorporation into existing GWAS LMM software implementations.

The Nystrom method is a popular technique for generating low-rank approximations of kernel matrices that arise in many machine learning problems. The approximation quality of the Nystrom method depends crucially on the number of selected landmark points and the selection procedure. In this paper, we introduce a randomized algorithm for generating landmark points that is scalable to large high-dimensional data sets. The proposed method performs K-means clustering on low-dimensional random projections of a data set and thus leads to significant savings for high-dimensional data sets. Our theoretical results characterize the tradeoffs between accuracy and efficiency of the proposed method. Moreover, numerical experiments on classification and regression tasks demonstrate the superior performance and efficiency of our proposed method compared with existing approaches.

We propose two randomized algorithms for low-rank Tucker decomposition of tensors. The algorithms, which incorporate sketching, only require a single pass of the input tensor and can handle tensors whose elements are streamed in any order. To the best of our knowledge, ours are the only algorithms which can do this. We test our algorithms on sparse synthetic data and compare them to multiple other methods. We also apply one of our algorithms to a real dense 38 GB tensor representing a video and use the resulting decomposition to correctly classify frames containing disturbances.

We analyze a compression scheme for large data sets that randomly keeps a small percentage of the components of each data sample. The benefit is that the output is a sparse matrix, and therefore, subsequent processing, such as principal component analysis (PCA) or K-means, is significantly faster, especially in a distributed-data setting. Furthermore, the sampling is single-pass and applicable to streaming data. The sampling mechanism is a variant of previous methods proposed in the literature combined with a randomized preconditioning to smooth the data. We provide guarantees for PCA in terms of the covariance matrix, and guarantees for K-means in terms of the error in the center estimators at a given step. We present numerical evidence to show both that our bounds are nearly tight and that our algorithms provide a real benefit when applied to standard test data sets, as well as providing certain benefits over related sampling approaches.

The study of property elicitation is gaining ground in statistics and machine learning as a way to view and reason about the expressive power of emiprical risk minimization (ERM). Yet beyond a widening frontier of special cases, the two most fundamental questions in this area remain open: which statistics are elicitable (computable via ERM), and which loss functions elicit them? Moreover, recent work suggests a complementary line of questioning: given a statistic, how many ERM parameters are needed to compute it? We give concrete instantiations of these important questions, which have numerous applications to machine learning and related fields.

Choosing a distance preserving measure or metric is fundamental to many signal processing algorithms, such as k-means, nearest neighbor searches, hashing, and compressive sensing. In virtually all these applications, the efficiency of the signal processing algorithm depends on how fast we can evaluate the learned metric. Moreover, storing the chosen metric can create space bottlenecks in high dimensional signal processing problems. As a result, we consider data dependent metric learning with rank as well as sparsity constraints. We propose a new non-convex algorithm and empirically demonstrate its performance on various datasets; a side benefit is that it is also much faster than existing approaches. The added sparsity constraints significantly improve the speed of multiplying with the learned metrics without sacrificing their quality.

Most learning methods with rank or sparsity constraints use convex relaxations, which lead to optimization with the nuclear norm or the \ell_1-norm. However, several important learning applications cannot benefit from this approach as they feature these convex norms as constraints in addition to the non-convex rank and sparsity constraints. In this setting, we derive efficient sparse projections onto the simplex and its extension, and illustrate how to use them to solve high-dimensional learning problems in quantum tomography, sparse density estimation and portfolio selection with non-convex constraints.

Compressed sensing (CS) is a topic of tremendous interest because it provides theoretical guarantees and computationally tractable algorithms to fully recover signals sampled at a rate close to its information content. This paper presents the design of the first physically realized fully-integrated CS based Analog-to-Information (A2I) pre-processor known as the Random-Modulation Pre-Integrator (RMPI) [1]. The RMPI achieves 2GHz bandwidth while digitizing samples at a rate 12.5× lower than the Nyquist rate. The success of this implementation is due to a coherent theory/algorithm/hardware co-design approach. This paper addresses key aspects of the design, presents simulation and hardware measurements, and discusses limiting factors in performance.

We describe efficient implementations of the proximity calculation for a useful class of functions; the implementations exploit the piece-wise linear nature of the dual problem. The second part of the paper applies the previous result to acceleration of convex minimization problems, and leads to an elegant quasi-Newton method. The optimization method compares favorably against state-of-the-art alternatives. The algorithm has extensive applications including signal processing, sparse regression and recovery, and machine learning and classification.

Accurate signal recovery or image reconstruction from indirect and possibly undersampled data is a topic of considerable interest; for example, the literature in the recent field of compressed sensing is already quite immense. This paper applies a smoothing technique and an accelerated first-order algorithm, both from Nesterov [Math. Program. Ser. A, 103 (2005), pp. 127–152], and demonstrates that this approach is ideally suited for solving large-scale compressed sensing reconstruction problems as (1) it is computationally efficient, (2) it is accurate and returns solutions with several correct digits, (3) it is flexible and amenable to many kinds of reconstruction problems, and (4) it is robust in the sense that its excellent performance across a wide range of problems does not depend on the fine tuning of several parameters. Comprehensive numerical experiments on realistic signals exhibiting a large dynamic range show that this algorithm compares favorably with recently proposed state-of-the-art methods. We also apply the algorithm to solve other problems for which there are fewer alternatives, such as total-variation minimization and convex programs seeking to minimize the $\ell_1$ norm of $Wx$ under constraints, in which W is not diagonal. The code is available online as a free package in the MATLAB language.