Estimation of Markov Random Field and covariance models from high-dimensional data represents a canonical problem that has received a lot of attention in the literature. A key assumption, widely employed, is that of sparsity of the underlying model. In this paper, we study the problem of estimating such models exhibiting a more intricate structure comprising simultaneously of sparse, structured sparse and dense components. Such structures naturally arise in several scientific fields, including molecular biology, finance and political science. We introduce a general framework based on a novel structured norm that enables us to estimate such complex structures from high-dimensional data. The resulting optimization problem is convex and we introduce a linearized multi-block alternating direction method of multipliers (ADMM) algorithm to solve it efficiently. We illustrate the superior performance of the proposed framework on a number of synthetic data sets generated from both random and structured networks. Further, we apply the method to a number of real data sets and discuss the results.
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Rényi Differentially Private ADMM for Non-Smooth Regularized Optimization
In this paper we consider the problem of minimizing composite objective functions consisting of a convex differentiable loss function plus a non-smooth regularization term, such as $L_1$ norm or nuclear norm, under Rényi differential privacy (RDP). To solve the problem, we propose two stochastic alternating direction method of multipliers (ADMM) algorithms: ssADMM based on gradient perturbation and mpADMM based on output perturbation. Both algorithms decompose the original problem into sub-problems that have closed-form solutions. The first algorithm, ssADMM, applies the recent privacy amplification result for RDP to reduce the amount of noise to add. The second algorithm, mpADMM, numerically computes the sensitivity of ADMM variable updates and releases the updated parameter vector at the end of each epoch. We compare the performance of our algorithms with several baseline algorithms on both real and simulated datasets. Experimental results show that, in high privacy regimes (small ε), ssADMM and mpADMM outperform baseline algorithms in terms of classification and feature selection performance, respectively.
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- Award ID(s):
- 1943046
- NSF-PAR ID:
- 10215646
- Date Published:
- Journal Name:
- CODASPY '20: Proceedings of the Tenth ACM Conference on Data and Application Security and Privacy
- Page Range / eLocation ID:
- 319 to 328
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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SUMMARY Repeatedly recording seismic data over a period of months or years is one way to identify trapped oil and gas and to monitor CO2 injection in underground storage reservoirs and saline aquifers. This process of recording data over time and then differencing the images assumes the recording of the data over a particular subsurface region is repeatable. In other words, the hope is that one can recover changes in the Earth when the survey parameters are held fixed between data collection times. Unfortunately, perfect experimental repeatability almost never occurs. Acquisition inconsistencies such as changes in weather (currents, wind) for marine seismic data are inevitable, resulting in source and receiver location differences between surveys at the very least. Thus, data processing aimed at improving repeatability between baseline and monitor surveys is extremely useful. One such processing tool is regularization (or binning) that aligns multiple surveys with different source or receiver configurations onto a common grid. Data binned onto a regular grid can be stored in a high-dimensional data structure called a tensor with, for example, x and y receiver coordinates and time as indices of the tensor. Such a higher-order data structure describing a subsection of the Earth often exhibits redundancies which one can exploit to fill in gaps caused by sampling the surveys onto the common grid. In fact, since data gaps and noise increase the rank of the tensor, seeking to recover the original data by reducing the rank (low-rank tensor-based completion) successfully fills in gaps caused by binning. The tensor nuclear norm (TNN) is defined by the tensor singular value decomposition (tSVD) which generalizes the matrix SVD. In this work we complete missing time-lapse data caused by binning using the alternating direction method of multipliers (or ADMM) to minimize the TNN. For a synthetic experiment with three parabolic events in which the time-lapse difference involves an amplitude increase in one of these events between baseline and monitor data sets, the binning and reconstruction algorithm (TNN-ADMM) correctly recovers this time-lapse change. We also apply this workflow of binning and TNN-ADMM reconstruction to a real marine survey from offshore Western Australia in which the binning onto a regular grid results in significant data gaps. The data after reconstruction varies continuously without the large gaps caused by the binning process.
- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.1145/3374664.3375733
