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1. Subsampling to Enhance Efficiency in Input Uncertainty Quantification

   https://doi.org/10.1287/opre.2021.2168  

   Lam, Henry; Qian, Huajie (January 2021, Operations Research)

   In stochastic simulation, input uncertainty refers to the output variability arising from the statistical noise in specifying the input models. This uncertainty can be measured by a variance contribution in the output, which, in the nonparametric setting, is commonly estimated via the bootstrap. However, due to the convolution of the simulation noise and the input noise, the bootstrap consists of a two-layer sampling and typically requires substantial simulation effort. This paper investigates a subsampling framework to reduce the required effort, by leveraging the form of the variance and its estimation error in terms of the data size and the sampling requirement in each layer. We show how the total required effort can be reduced from an order bigger than the data size in the conventional approach to an order independent of the data size in subsampling. We explicitly identify the procedural specifications in our framework that guarantee relative consistency in the estimation and the corresponding optimal simulation budget allocations. We substantiate our theoretical results with numerical examples. 

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2. Momentum-Based Variance Reduction in Non-Convex SGD

   Cutkosky, Ashok; Orabona, Francesco (January 2019, Advances in neural information processing systems)

   Wallach, H.; Larochelle, H.; Beygelzimer, A.; d'Alché-Buc, F.; Fox, E.; Garnett, R. (Ed.)

   Variance reduction has emerged in recent years as a strong competitor to stochastic gradient descent in non-convex problems, providing the first algorithms to improve upon the converge rate of stochastic gradient descent for finding first-order critical points. However, variance reduction techniques typically require carefully tuned learning rates and willingness to use excessively large "mega-batches" in order to achieve their improved results. We present a new algorithm, STORM, that does not require any batches and makes use of adaptive learning rates, enabling simpler implementation and less hyperparameter tuning. Our technique for removing the batches uses a variant of momentum to achieve variance reduction in non-convex optimization. On smooth losses $$F$$, STORM finds a point $$\boldsymbol{x}$$ with $$E[\|\nabla F(\boldsymbol{x})\|]\le O(1/\sqrt{T}+\sigma^{1/3}/T^{1/3})$$ in $$T$$ iterations with $$\sigma^2$$ variance in the gradients, matching the optimal rate and without requiring knowledge of $$\sigma$$. 

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3. Adaptive Bayesian inference of Markov transition rates

   https://doi.org/10.1098/rspa.2022.0453  

   Barendregt, Nicholas W.; Webb, Emily G.; Kilpatrick, Zachary P. (February 2023, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences)

   Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past observations, adaptive approaches adjust sampling constraints online as model parameter estimates are refined, continually maximizing expected information gained or variance reduced. We apply adaptive Bayesian inference to estimate transition rates of Markov chains, a common class of models for stochastic processes in nature. Unlike most previous studies, our sequential Bayesian optimal design is updated with each observation and can be simply extended beyond two-state models to birth–death processes and multistate models. By iteratively finding the best time to obtain each sample, our adaptive algorithm maximally reduces variance, resulting in lower overall error in ground truth parameter estimates across a wide range of Markov chain parameterizations and conformations. 

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4. Marginalized Stochastic Natural Gradients for Black-Box Variational Inference

   Ji, Geng; Sujono, Debora; Sudderth, Erik B. (July 2021, International Conference on Machine Learning)

   Meila, Marina; Zhang, Tong (Ed.)

   Black-box variational inference algorithms use stochastic sampling to analyze diverse statistical models, like those expressed in probabilistic programming languages, without model-specific derivations. While the popular score-function estimator computes unbiased gradient estimates, its variance is often unacceptably large, especially in models with discrete latent variables. We propose a stochastic natural gradient estimator that is as broadly applicable and unbiased, but improves efficiency by exploiting the curvature of the variational bound, and provably reduces variance by marginalizing discrete latent variables. Our marginalized stochastic natural gradients have intriguing connections to classic coordinate ascent variational inference, but allow parallel updates of variational parameters, and provide superior convergence guarantees relative to naive Monte Carlo approximations. We integrate our method with the probabilistic programming language Pyro and evaluate real-world models of documents, images, networks, and crowd-sourcing. Compared to score-function estimators, we require far fewer Monte Carlo samples and consistently convergence orders of magnitude faster. 

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5. Projected Stochastic Gradient Langevin Algorithms for Constrained Sampling and Non-Convex Learning

   Lamperski, A. (August 2021, Proceedings of Thirty Fourth Conference on Learning Theory)

   Belkin, M.; Kpotufe, S. (Ed.)

   Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov Chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex optimization and learning problems have been studied widely in the last few years. Other work has examined projected Langevin algorithms for sampling from log-concave distributions restricted to convex compact sets. For learning and optimization, log-concave distributions correspond to convex losses. In this paper, we analyze the case of non-convex losses with compact convex constraint sets and IID external data variables. We term the resulting method the projected stochastic gradient Langevin algorithm (PSGLA). We show the algorithm achieves a deviation of 𝑂(𝑇−1/4(𝑙𝑜𝑔𝑇)1/2) from its target distribution in 1-Wasserstein distance. For optimization and learning, we show that the algorithm achieves 𝜖-suboptimal solutions, on average, provided that it is run for a time that is polynomial in 𝜖 and slightly super-exponential in the problem dimension. 

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