Active Information Acquisition for Linear Optimization
We consider partially-specified optimization problems where the goal is to actively, but efficiently, acquire missing information about the problem in order to solve it. An algo- rithm designer wishes to solve a linear pro- gram (LP), maxcT x s.t. Ax ≤ b,x ≥ 0, but does not initially know some of the pa- rameters. The algorithm can iteratively choose an unknown parameter and gather information in the form of a noisy sample centered at the parameter’s (unknown) value. The goal is to find an approximately feasible and optimal so- lution to the underlying LP with high proba- bility while drawing a small number of sam- ples. We focus on two cases. (1) When the parameters b of the constraints are initially un- known, we propose an efficient algorithm com- bining techniques from the ellipsoid method for LP and confidence-bound approaches from bandit algorithms. The algorithm adaptively gathers information about constraints only as needed in order to make progress. We give sample complexity bounds for the algorithm and demonstrate its improvement over a naive approach via simulation. (2) When the param- eters c of the objective are initially unknown, we take an information-theoretic approach and give roughly matching upper and lower more »
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NSF-PAR ID:
10075966
Journal Name:
Uncertainty in artificial intelligence
ISSN:
1525-3384
1. Several well-studied models of access to data samples, including statistical queries, local differential privacy and low-communication algorithms rely on queries that provide information about a function of a single sample. (For example, a statistical query (SQ) gives an estimate of $\E_{x\sim D}[q(x)]$ for any choice of the query function $q:X\rightarrow \R$, where $D$ is an unknown data distribution.) Yet some data analysis algorithms rely on properties of functions that depend on multiple samples. Such algorithms would be naturally implemented using $k$-wise queries each of which is specified by a function $q:X^k\rightarrow \R$. Hence it is natural to ask whether algorithms using $k$-wise queries can solve learning problems more efficiently and by how much. Blum, Kalai, Wasserman~\cite{blum2003noise} showed that for any weak PAC learning problem over a fixed distribution, the complexity of learning with $k$-wise SQs is smaller than the (unary) SQ complexity by a factor of at most $2^k$. We show that for more general problems over distributions the picture is substantially richer. For every $k$, the complexity of distribution-independent PAC learning with $k$-wise queries can be exponentially larger than learning with $(k+1)$-wise queries. We then give two approaches for simulating a $k$-wise query using unary queries. The first approachmore »