skip to main content
Explore Scholarly Publications and Datasets in the NSF-PAR

Title: Stochastic Variance-Reduced Hamilton Monte Carlo Methods
We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in stochastic optimization. We show that, to achieve $\epsilon$ accuracy in 2-Wasserstein distance, our algorithm achieves $\tilde O\big(n+\kappa^{2}d^{1/2}/\epsilon+\kappa^{4/3}d^{1/3}n^{2/3}/\epsilon^{2/3}%\wedge\frac{\kappa^2L^{-2}d\sigma^2}{\epsilon^2} \big)$ gradient complexity (i.e., number of component gradient evaluations), which outperforms the state-of-the-art HMC and stochastic gradient HMC methods in a wide regime. We also extend our algorithm for sampling from smooth and general log-concave distributions, and prove the corresponding gradient complexity as well. Experiments on both synthetic and real data demonstrate the superior performance of our algorithm.
Authors:
; ;
Award ID(s):
1652539 1618948 1717950
Publication Date:
NSF-PAR ID:
10063549
Journal Name:
International Conference on Machine Learning
Sponsoring Org:
National Science Foundation
More Like this
  1. ; ( , Approximation, Randomization, and Combinatorial Optimization. Algorithms and Techniques, APPROX/RANDOM 2019)
    The noise sensitivity of a Boolean function f: {0,1}^n - > {0,1} is one of its fundamental properties. For noise parameter delta, the noise sensitivity is denoted as NS_{delta}[f]. This quantity is defined as follows: First, pick x = (x_1,...,x_n) uniformly at random from {0,1}^n, then pick z by flipping each x_i independently with probability delta. NS_{delta}[f] is defined to equal Pr [f(x) != f(z)]. Much of the existing literature on noise sensitivity explores the following two directions: (1) Showing that functions with low noise-sensitivity are structured in certain ways. (2) Mathematically showing that certain classes of functions have lowmore »noise sensitivity. Combined, these two research directions show that certain classes of functions have low noise sensitivity and therefore have useful structure. The fundamental importance of noise sensitivity, together with this wealth of structural results, motivates the algorithmic question of approximating NS_{delta}[f] given an oracle access to the function f. We show that the standard sampling approach is essentially optimal for general Boolean functions. Therefore, we focus on estimating the noise sensitivity of monotone functions, which form an important subclass of Boolean functions, since many functions of interest are either monotone or can be simply transformed into a monotone function (for example the class of unate functions consists of all the functions that can be made monotone by reorienting some of their coordinates [O'Donnell, 2014]). Specifically, we study the algorithmic problem of approximating NS_{delta}[f] for monotone f, given the promise that NS_{delta}[f] >= 1/n^{C} for constant C, and for delta in the range 1/n <= delta <= 1/2. For such f and delta, we give a randomized algorithm performing O((min(1,sqrt{n} delta log^{1.5} n))/(NS_{delta}[f]) poly (1/epsilon)) queries and approximating NS_{delta}[f] to within a multiplicative factor of (1 +/- epsilon). Given the same constraints on f and delta, we also prove a lower bound of Omega((min(1,sqrt{n} delta))/(NS_{delta}[f] * n^{xi})) on the query complexity of any algorithm that approximates NS_{delta}[f] to within any constant factor, where xi can be any positive constant. Thus, our algorithm's query complexity is close to optimal in terms of its dependence on n. We introduce a novel descending-ascending view of noise sensitivity, and use it as a central tool for the analysis of our algorithm. To prove lower bounds on query complexity, we develop a technique that reduces computational questions about query complexity to combinatorial questions about the existence of "thin" functions with certain properties. The existence of such "thin" functions is proved using the probabilistic method. These techniques also yield new lower bounds on the query complexity of approximating other fundamental properties of Boolean functions: the total influence and the bias.« less
  2. ; ; ; ; ( , 31st International Symposium on Distributed Computing (DISC))
    We study local symmetry breaking problems in the Congest model, focusing on ruling set problems, which generalize the fundamental Maximal Independent Set (MIS) problem. The time (round) complexity of MIS (and ruling sets) have attracted much attention in the Local model. Indeed, recent results (Barenboim et al., FOCS 2012, Ghaffari SODA 2016) for the MIS problem have tried to break the long-standing O(log n)-round "barrier" achieved by Luby's algorithm, but these yield o(log n)-round complexity only when the maximum degree Delta is somewhat small relative to n. More importantly, these results apply only in the Local model. In fact, themore »best known time bound in the Congest model is still O(log n) (via Luby's algorithm) even for moderately small Delta (i.e., for Delta = Omega(log n) and Delta = o(n)). Furthermore, message complexity has been largely ignored in the context of local symmetry breaking. Luby's algorithm takes O(m) messages on m-edge graphs and this is the best known bound with respect to messages. Our work is motivated by the following central question: can we break the Theta(log n) time complexity barrier and the Theta(m) message complexity barrier in the Congest model for MIS or closely-related symmetry breaking problems? This paper presents progress towards this question for the distributed ruling set problem in the Congest model. A beta-ruling set is an independent set such that every node in the graph is at most beta hops from a node in the independent set. We present the following results: - Time Complexity: We show that we can break the O(log n) "barrier" for 2- and 3-ruling sets. We compute 3-ruling sets in O(log n/log log n) rounds with high probability (whp). More generally we show that 2-ruling sets can be computed in O(log Delta (log n)^(1/2 + epsilon) + log n/log log n) rounds for any epsilon > 0, which is o(log n) for a wide range of Delta values (e.g., Delta = 2^(log n)^(1/2-epsilon)). These are the first 2- and 3-ruling set algorithms to improve over the O(log n)-round complexity of Luby's algorithm in the Congest model. - Message Complexity: We show an Omega(n^2) lower bound on the message complexity of computing an MIS (i.e., 1-ruling set) which holds also for randomized algorithms and present a contrast to this by showing a randomized algorithm for 2-ruling sets that, whp, uses only O(n log^2 n) messages and runs in O(Delta log n) rounds. This is the first message-efficient algorithm known for ruling sets, which has message complexity nearly linear in n (which is optimal up to a polylogarithmic factor).« less
  3. ; ; ; ( , 45th International Colloquium on Automata, Languages, and Automata)
    We study the problem of testing identity against a given distribution with a focus on the high confidence regime. More precisely, given samples from an unknown distribution p over n elements, an explicitly given distribution q, and parameters 0< epsilon, delta < 1, we wish to distinguish, with probability at least 1-delta, whether the distributions are identical versus epsilon-far in total variation distance. Most prior work focused on the case that delta = Omega(1), for which the sample complexity of identity testing is known to be Theta(sqrt{n}/epsilon^2). Given such an algorithm, one can achieve arbitrarily small values of delta viamore »black-box amplification, which multiplies the required number of samples by Theta(log(1/delta)). We show that black-box amplification is suboptimal for any delta = o(1), and give a new identity tester that achieves the optimal sample complexity. Our new upper and lower bounds show that the optimal sample complexity of identity testing is Theta((1/epsilon^2) (sqrt{n log(1/delta)} + log(1/delta))) for any n, epsilon, and delta. For the special case of uniformity testing, where the given distribution is the uniform distribution U_n over the domain, our new tester is surprisingly simple: to test whether p = U_n versus d_{TV} (p, U_n) >= epsilon, we simply threshold d_{TV}({p^}, U_n), where {p^} is the empirical probability distribution. The fact that this simple "plug-in" estimator is sample-optimal is surprising, even in the constant delta case. Indeed, it was believed that such a tester would not attain sublinear sample complexity even for constant values of epsilon and delta. An important contribution of this work lies in the analysis techniques that we introduce in this context. First, we exploit an underlying strong convexity property to bound from below the expectation gap in the completeness and soundness cases. Second, we give a new, fast method for obtaining provably correct empirical estimates of the true worst-case failure probability for a broad class of uniformity testing statistics over all possible input distributions - including all previously studied statistics for this problem. We believe that our novel analysis techniques will be useful for other distribution testing problems as well.« less
  4. ; ; ( , Symposium on Discrete Algorithms)
    We study the menu complexity of optimal and approximately-optimal auctions in the context of the ``FedEx'' problem, a so-called ``one-and-a-half-dimensional'' setting where a single bidder has both a value and a deadline for receiving an item [FGKK 16]. The menu complexity of an auction is equal to the number of distinct (allocation, price) pairs that a bidder might receive [HN 13]. We show the following when the bidder has $n$ possible deadlines: 1) Exponential menu complexity is necessary to be exactly optimal: There exist instances where the optimal mechanism has menu complexity $\geq 2^n-1$. This matches exactly the upper boundmore »provided by Fiat et al.'s algorithm, and resolves one of their open questions [FGKK 16]. 2) Fully polynomial menu complexity is necessary and sufficient for approximation: For all instances, there exists a mechanism guaranteeing a multiplicative $(1-\epsilon)$-approximation to the optimal revenue with menu complexity $O(n^{3/2}\sqrt{\frac{\min\{n/\epsilon,\ln(v_{\max})\}}{\epsilon}}) = O(n^2/\epsilon)$, where $v_{\max}$ denotes the largest value in the support of integral distributions. \item There exist instances where any mechanism guaranteeing a multiplicative $(1-O(1/n^2))$-approximation to the optimal revenue requires menu complexity $\Omega(n^2)$. Our main technique is the polygon approximation of concave functions [Rote 91], and our results here should be of independent interest. We further show how our techniques can be used to resolve an open question of [DW 17] on the menu complexity of optimal auctions for a budget-constrained buyer.« less
  5. ; ; ; ; ; ( , Leibniz international proceedings in informatics)
    We give two new quantum algorithms for solving semidefinite programs (SDPs) providing quantum speed-ups. We consider SDP instances with m constraint matrices, each of dimension n, rank at most r, and sparsity s. The first algorithm assumes an input model where one is given access to an oracle to the entries of the matrices at unit cost. We show that it has run time O~(s^2 (sqrt{m} epsilon^{-10} + sqrt{n} epsilon^{-12})), with epsilon the error of the solution. This gives an optimal dependence in terms of m, n and quadratic improvement over previous quantum algorithms (when m ~~ n). The secondmore »algorithm assumes a fully quantum input model in which the input matrices are given as quantum states. We show that its run time is O~(sqrt{m}+poly(r))*poly(log m,log n,B,epsilon^{-1}), with B an upper bound on the trace-norm of all input matrices. In particular the complexity depends only polylogarithmically in n and polynomially in r. We apply the second SDP solver to learn a good description of a quantum state with respect to a set of measurements: Given m measurements and a supply of copies of an unknown state rho with rank at most r, we show we can find in time sqrt{m}*poly(log m,log n,r,epsilon^{-1}) a description of the state as a quantum circuit preparing a density matrix which has the same expectation values as rho on the m measurements, up to error epsilon. The density matrix obtained is an approximation to the maximum entropy state consistent with the measurement data considered in Jaynes' principle from statistical mechanics. As in previous work, we obtain our algorithm by "quantizing" classical SDP solvers based on the matrix multiplicative weight update method. One of our main technical contributions is a quantum Gibbs state sampler for low-rank Hamiltonians, given quantum states encoding these Hamiltonians, with a poly-logarithmic dependence on its dimension, which is based on ideas developed in quantum principal component analysis. We also develop a "fast" quantum OR lemma with a quadratic improvement in gate complexity over the construction of Harrow et al. [Harrow et al., 2017]. We believe both techniques might be of independent interest.« less
  • Citation Formats
  • MLA
  • APA
  • Chicago
  • BibTeX
  • Save / Share this Record
  • Send to Email