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Published work

34 published item(s)

preprint2026arXiv

Queryable LoRA: Instruction-Regularized Routing Over Shared Low-Rank Update Atoms

We present a data-adaptive method for parameter-efficient fine-tuning of large neural networks. Standard low-rank adaptation methods improve efficiency by restricting each layer update to a fixed low-rank form, but this static parameterization can be too rigid when the appropriate correction depends on the input and on the evolving depth-wise computation of the network. Our approach replaces a purely layer-local adapter with a shared queryable memory of low-rank update atoms. For each block of layers, the model forms a query from the current low-rank state and a running summary of previous blocks, uses this query to retrieve a content-dependent combination of shared update components via attention, and applies the resulting routed operator within the low-rank bottleneck. In this way, the method retains the efficiency and scalability of low-rank adaptation while allowing the effective update to vary across inputs and to share reusable structure across layers. The resulting architecture provides a principled middle ground between static LoRA-style updates and fully generated parameter updates: it remains compact and parameter-efficient while supporting dynamic, context-sensitive adaptation. Further, we incorporate instruction-regularization by augmenting routing logits with a language-induced prior over update atoms, thereby biasing the selection of low-rank transformations toward semantically relevant directions without generating unconstrained parameter updates. Experiments on noisy non-linear regression tasks and LLM fine-tuning suggest that this queryable update-memory formulation can improve final test performance and training stability compared to standard low-rank adaptation, while using a comparable number of trainable parameters.

preprint2023arXiv

Energy-Based Sliced Wasserstein Distance

The sliced Wasserstein (SW) distance has been widely recognized as a statistically effective and computationally efficient metric between two probability measures. A key component of the SW distance is the slicing distribution. There are two existing approaches for choosing this distribution. The first approach is using a fixed prior distribution. The second approach is optimizing for the best distribution which belongs to a parametric family of distributions and can maximize the expected distance. However, both approaches have their limitations. A fixed prior distribution is non-informative in terms of highlighting projecting directions that can discriminate two general probability measures. Doing optimization for the best distribution is often expensive and unstable. Moreover, designing the parametric family of the candidate distribution could be easily misspecified. To address the issues, we propose to design the slicing distribution as an energy-based distribution that is parameter-free and has the density proportional to an energy function of the projected one-dimensional Wasserstein distance. We then derive a novel sliced Wasserstein metric, energy-based sliced Waserstein (EBSW) distance, and investigate its topological, statistical, and computational properties via importance sampling, sampling importance resampling, and Markov Chain methods. Finally, we conduct experiments on point-cloud gradient flow, color transfer, and point-cloud reconstruction to show the favorable performance of the EBSW.

preprint2023arXiv

Markovian Sliced Wasserstein Distances: Beyond Independent Projections

Sliced Wasserstein (SW) distance suffers from redundant projections due to independent uniform random projecting directions. To partially overcome the issue, max K sliced Wasserstein (Max-K-SW) distance ($K\geq 1$), seeks the best discriminative orthogonal projecting directions. Despite being able to reduce the number of projections, the metricity of Max-K-SW cannot be guaranteed in practice due to the non-optimality of the optimization. Moreover, the orthogonality constraint is also computationally expensive and might not be effective. To address the problem, we introduce a new family of SW distances, named Markovian sliced Wasserstein (MSW) distance, which imposes a first-order Markov structure on projecting directions. We discuss various members of MSW by specifying the Markov structure including the prior distribution, the transition distribution, and the burning and thinning technique. Moreover, we investigate the theoretical properties of MSW including topological properties (metricity, weak convergence, and connection to other distances), statistical properties (sample complexity, and Monte Carlo estimation error), and computational properties (computational complexity and memory complexity). Finally, we compare MSW distances with previous SW variants in various applications such as gradient flows, color transfer, and deep generative modeling to demonstrate the favorable performance of MSW.

preprint2023arXiv

Projection Robust Wasserstein Distance and Riemannian Optimization

Projection robust Wasserstein (PRW) distance, or Wasserstein projection pursuit (WPP), is a robust variant of the Wasserstein distance. Recent work suggests that this quantity is more robust than the standard Wasserstein distance, in particular when comparing probability measures in high-dimensions. However, it is ruled out for practical application because the optimization model is essentially non-convex and non-smooth which makes the computation intractable. Our contribution in this paper is to revisit the original motivation behind WPP/PRW, but take the hard route of showing that, despite its non-convexity and lack of nonsmoothness, and even despite some hardness results proved by~\citet{Niles-2019-Estimation} in a minimax sense, the original formulation for PRW/WPP \textit{can} be efficiently computed in practice using Riemannian optimization, yielding in relevant cases better behavior than its convex relaxation. More specifically, we provide three simple algorithms with solid theoretical guarantee on their complexity bound (one in the appendix), and demonstrate their effectiveness and efficiency by conducing extensive experiments on synthetic and real data. This paper provides a first step into a computational theory of the PRW distance and provides the links between optimal transport and Riemannian optimization.

preprint2022arXiv

A Diffusion Process Perspective on Posterior Contraction Rates for Parameters

We analyze the posterior contraction rates of parameters in Bayesian models via the Langevin diffusion process, in particular by controlling moments of the stochastic process and taking limits. Analogous to the non-asymptotic analysis of statistical M-estimators and stochastic optimization algorithms, our contraction rates depend on the structure of the population log-likelihood function, and stochastic perturbation bounds between the population and sample log-likelihood functions. Convergence rates are determined by a non-linear equation that relates the population-level structure to stochastic perturbation terms, along with a term characterizing the diffusive behavior. Based on this technique, we also prove non-asymptotic versions of a Bernstein-von-Mises guarantee for the posterior. We illustrate this general theory by deriving posterior convergence rates for various concrete examples, as well as approximate posterior distributions computed using Langevin sampling procedures.

preprint2022arXiv

Architecture Agnostic Federated Learning for Neural Networks

With growing concerns regarding data privacy and rapid increase in data volume, Federated Learning(FL) has become an important learning paradigm. However, jointly learning a deep neural network model in a FL setting proves to be a non-trivial task because of the complexities associated with the neural networks, such as varied architectures across clients, permutation invariance of the neurons, and presence of non-linear transformations in each layer. This work introduces a novel Federated Heterogeneous Neural Networks (FedHeNN) framework that allows each client to build a personalised model without enforcing a common architecture across clients. This allows each client to optimize with respect to local data and compute constraints, while still benefiting from the learnings of other (potentially more powerful) clients. The key idea of FedHeNN is to use the instance-level representations obtained from peer clients to guide the simultaneous training on each client. The extensive experimental results demonstrate that the FedHeNN framework is capable of learning better performing models on clients in both the settings of homogeneous and heterogeneous architectures across clients.

preprint2022arXiv

Bayesian Consistency with the Supremum Metric

We present simple conditions for Bayesian consistency in the supremum metric. The key to the technique is a triangle inequality which allows us to explicitly use weak convergence, a consequence of the standard Kullback--Leibler support condition for the prior. A further condition is to ensure that smoothed versions of densities are not too far from the original density, thus dealing with densities which could track the data too closely. A key result of the paper is that we demonstrate supremum consistency using weaker conditions compared to those currently used to secure $\mathbb{L}_1$ consistency.

preprint2022arXiv

Beyond EM Algorithm on Over-specified Two-Component Location-Scale Gaussian Mixtures

The Expectation-Maximization (EM) algorithm has been predominantly used to approximate the maximum likelihood estimation of the location-scale Gaussian mixtures. However, when the models are over-specified, namely, the chosen number of components to fit the data is larger than the unknown true number of components, EM needs a polynomial number of iterations in terms of the sample size to reach the final statistical radius; this is computationally expensive in practice. The slow convergence of EM is due to the missing of the locally strong convexity with respect to the location parameter on the negative population log-likelihood function, i.e., the limit of the negative sample log-likelihood function when the sample size goes to infinity. To efficiently explore the curvature of the negative log-likelihood functions, by specifically considering two-component location-scale Gaussian mixtures, we develop the Exponential Location Update (ELU) algorithm. The idea of the ELU algorithm is that we first obtain the exact optimal solution for the scale parameter and then perform an exponential step-size gradient descent for the location parameter. We demonstrate theoretically and empirically that the ELU iterates converge to the final statistical radius of the models after a logarithmic number of iterations. To the best of our knowledge, it resolves the long-standing open question in the literature about developing an optimization algorithm that has optimal statistical and computational complexities for solving parameter estimation even under some specific settings of the over-specified Gaussian mixture models.

preprint2022arXiv

Convergence Rates for Gaussian Mixtures of Experts

We provide a theoretical treatment of over-specified Gaussian mixtures of experts with covariate-free gating networks. We establish the convergence rates of the maximum likelihood estimation (MLE) for these models. Our proof technique is based on a novel notion of \emph{algebraic independence} of the expert functions. Drawing on optimal transport theory, we establish a connection between the algebraic independence and a certain class of partial differential equations (PDEs). Exploiting this connection allows us to derive convergence rates and minimax lower bounds for parameter estimation.

preprint2022arXiv

Efficient Forecasting of Large Scale Hierarchical Time Series via Multilevel Clustering

We propose a novel approach to the problem of clustering hierarchically aggregated time-series data, which has remained an understudied problem though it has several commercial applications. We first group time series at each aggregated level, while simultaneously leveraging local and global information. The proposed method can cluster hierarchical time series (HTS) with different lengths and structures. For common two-level hierarchies, we employ a combined objective for local and global clustering over spaces of discrete probability measures, using Wasserstein distance coupled with Soft-DTW divergence. For multi-level hierarchies, we present a bottom-up procedure that progressively leverages lower-level information for higher-level clustering. Our final goal is to improve both the accuracy and speed of forecasts for a larger number of HTS needed for a real-world application. To attain this goal, each time series is first assigned the forecast for its cluster representative, which can be considered as a "shrinkage prior" for the set of time series it represents. Then this base forecast can be quickly fine-tuned to adjust to the specifics of that time series. We empirically show that our method substantially improves performance in terms of both speed and accuracy for large-scale forecasting tasks involving much HTS.

preprint2022arXiv

Entropic Gromov-Wasserstein between Gaussian Distributions

We study the entropic Gromov-Wasserstein and its unbalanced version between (unbalanced) Gaussian distributions with different dimensions. When the metric is the inner product, which we refer to as inner product Gromov-Wasserstein (IGW), we demonstrate that the optimal transportation plans of entropic IGW and its unbalanced variant are (unbalanced) Gaussian distributions. Via an application of von Neumann's trace inequality, we obtain closed-form expressions for the entropic IGW between these Gaussian distributions. Finally, we consider an entropic inner product Gromov-Wasserstein barycenter of multiple Gaussian distributions. We prove that the barycenter is a Gaussian distribution when the entropic regularization parameter is small. We further derive a closed-form expression for the covariance matrix of the barycenter.

preprint2022arXiv

Federated Self-supervised Learning for Heterogeneous Clients

Federated Learning has become an important learning paradigm due to its privacy and computational benefits. As the field advances, two key challenges that still remain to be addressed are: (1) system heterogeneity - variability in the compute and/or data resources present on each client, and (2) lack of labeled data in certain federated settings. Several recent developments have tried to overcome these challenges independently. In this work, we propose a unified and systematic framework, \emph{Heterogeneous Self-supervised Federated Learning} (Hetero-SSFL) for enabling self-supervised learning with federation on heterogeneous clients. The proposed framework allows collaborative representation learning across all the clients without imposing architectural constraints or requiring presence of labeled data. The key idea in Hetero-SSFL is to let each client train its unique self-supervised model and enable the joint learning across clients by aligning the lower dimensional representations on a common dataset. The entire training procedure could be viewed as self and peer-supervised as both the local training and the alignment procedures do not require presence of any labeled data. As in conventional self-supervised learning, the obtained client models are task independent and can be used for varied end-tasks. We provide a convergence guarantee of the proposed framework for non-convex objectives in heterogeneous settings and also empirically demonstrate that our proposed approach outperforms the state of the art methods by a significant margin.

preprint2022arXiv

Fixed-Support Wasserstein Barycenters: Computational Hardness and Fast Algorithm

We study the fixed-support Wasserstein barycenter problem (FS-WBP), which consists in computing the Wasserstein barycenter of $m$ discrete probability measures supported on a finite metric space of size $n$. We show first that the constraint matrix arising from the standard linear programming (LP) representation of the FS-WBP is \textit{not totally unimodular} when $m \geq 3$ and $n \geq 3$. This result resolves an open question pertaining to the relationship between the FS-WBP and the minimum-cost flow (MCF) problem since it proves that the FS-WBP in the standard LP form is not an MCF problem when $m \geq 3$ and $n \geq 3$. We also develop a provably fast \textit{deterministic} variant of the celebrated iterative Bregman projection (IBP) algorithm, named \textsc{FastIBP}, with a complexity bound of $\tilde{O}(mn^{7/3}\varepsilon^{-4/3})$, where $\varepsilon \in (0, 1)$ is the desired tolerance. This complexity bound is better than the best known complexity bound of $\tilde{O}(mn^2\varepsilon^{-2})$ for the IBP algorithm in terms of $\varepsilon$, and that of $\tilde{O}(mn^{5/2}\varepsilon^{-1})$ from accelerated alternating minimization algorithm or accelerated primal-dual adaptive gradient algorithm in terms of $n$. Finally, we conduct extensive experiments with both synthetic data and real images and demonstrate the favorable performance of the \textsc{FastIBP} algorithm in practice.

preprint2022arXiv

Improving Computational Complexity in Statistical Models with Second-Order Information

It is known that when the statistical models are singular, i.e., the Fisher information matrix at the true parameter is degenerate, the fixed step-size gradient descent algorithm takes polynomial number of steps in terms of the sample size $n$ to converge to a final statistical radius around the true parameter, which can be unsatisfactory for the application. To further improve that computational complexity, we consider the utilization of the second-order information in the design of optimization algorithms. Specifically, we study the normalized gradient descent (NormGD) algorithm for solving parameter estimation in parametric statistical models, which is a variant of gradient descent algorithm whose step size is scaled by the maximum eigenvalue of the Hessian matrix of the empirical loss function of statistical models. When the population loss function, i.e., the limit of the empirical loss function when $n$ goes to infinity, is homogeneous in all directions, we demonstrate that the NormGD iterates reach a final statistical radius around the true parameter after a logarithmic number of iterations in terms of $n$. Therefore, for fixed dimension $d$, the NormGD algorithm achieves the optimal overall computational complexity $\mathcal{O}(n)$ to reach the final statistical radius. This computational complexity is cheaper than that of the fixed step-size gradient descent algorithm, which is of the order $\mathcal{O}(n^τ)$ for some $τ> 1$, to reach the same statistical radius. We illustrate our general theory under two statistical models: generalized linear models and mixture models, and experimental results support our prediction with general theory.

preprint2022arXiv

Improving Mini-batch Optimal Transport via Partial Transportation

Mini-batch optimal transport (m-OT) has been widely used recently to deal with the memory issue of OT in large-scale applications. Despite their practicality, m-OT suffers from misspecified mappings, namely, mappings that are optimal on the mini-batch level but are partially wrong in the comparison with the optimal transportation plan between the original measures. Motivated by the misspecified mappings issue, we propose a novel mini-batch method by using partial optimal transport (POT) between mini-batch empirical measures, which we refer to as mini-batch partial optimal transport (m-POT). Leveraging the insight from the partial transportation, we explain the source of misspecified mappings from the m-OT and motivate why limiting the amount of transported masses among mini-batches via POT can alleviate the incorrect mappings. Finally, we carry out extensive experiments on various applications such as deep domain adaptation, partial domain adaptation, deep generative model, color transfer, and gradient flow to demonstrate the favorable performance of m-POT compared to current mini-batch methods.

preprint2022arXiv

Improving Transformers with Probabilistic Attention Keys

Multi-head attention is a driving force behind state-of-the-art transformers, which achieve remarkable performance across a variety of natural language processing (NLP) and computer vision tasks. It has been observed that for many applications, those attention heads learn redundant embedding, and most of them can be removed without degrading the performance of the model. Inspired by this observation, we propose Transformer with a Mixture of Gaussian Keys (Transformer-MGK), a novel transformer architecture that replaces redundant heads in transformers with a mixture of keys at each head. These mixtures of keys follow a Gaussian mixture model and allow each attention head to focus on different parts of the input sequence efficiently. Compared to its conventional transformer counterpart, Transformer-MGK accelerates training and inference, has fewer parameters, and requires fewer FLOPs to compute while achieving comparable or better accuracy across tasks. Transformer-MGK can also be easily extended to use with linear attention. We empirically demonstrate the advantage of Transformer-MGK in a range of practical applications, including language modeling and tasks that involve very long sequences. On the Wikitext-103 and Long Range Arena benchmark, Transformer-MGKs with 4 heads attain comparable or better performance to the baseline transformers with 8 heads.

preprint2022arXiv

Instability, Computational Efficiency and Statistical Accuracy

Many statistical estimators are defined as the fixed point of a data-dependent operator, with estimators based on minimizing a cost function being an important special case. The limiting performance of such estimators depends on the properties of the population-level operator in the idealized limit of infinitely many samples. We develop a general framework that yields bounds on statistical accuracy based on the interplay between the deterministic convergence rate of the algorithm at the population level, and its degree of (in)stability when applied to an empirical object based on $n$ samples. Using this framework, we analyze both stable forms of gradient descent and some higher-order and unstable algorithms, including Newton's method and its cubic-regularized variant, as well as the EM algorithm. We provide applications of our general results to several concrete classes of models, including Gaussian mixture estimation, non-linear regression models, and informative non-response models. We exhibit cases in which an unstable algorithm can achieve the same statistical accuracy as a stable algorithm in exponentially fewer steps -- namely, with the number of iterations being reduced from polynomial to logarithmic in sample size $n$.

preprint2022arXiv

On Integral Theorems and their Statistical Properties

We introduce a class of integral theorems based on cyclic functions and Riemann sums approximating integrals. The Fourier integral theorem, derived as a combination of a transform and inverse transform, arises as a special case. The integral theorems provide natural estimators of density functions via Monte Carlo methods. Assessments of the quality of the density estimators can be used to obtain optimal cyclic functions, alternatives to the sin function, which minimize square integrals. Our proof techniques rely on a variational approach in ordinary differential equations and the Cauchy residue theorem in complex analysis.

preprint2022arXiv

On Label Shift in Domain Adaptation via Wasserstein Distance

We study the label shift problem between the source and target domains in general domain adaptation (DA) settings. We consider transformations transporting the target to source domains, which enable us to align the source and target examples. Through those transformations, we define the label shift between two domains via optimal transport and develop theory to investigate the properties of DA under various DA settings (e.g., closed-set, partial-set, open-set, and universal settings). Inspired from the developed theory, we propose Label and Data Shift Reduction via Optimal Transport (LDROT) which can mitigate the data and label shifts simultaneously. Finally, we conduct comprehensive experiments to verify our theoretical findings and compare LDROT with state-of-the-art baselines.

preprint2022arXiv

On Multimarginal Partial Optimal Transport: Equivalent Forms and Computational Complexity

We study the multi-marginal partial optimal transport (POT) problem between $m$ discrete (unbalanced) measures with at most $n$ supports. We first prove that we can obtain two equivalence forms of the multimarginal POT problem in terms of the multimarginal optimal transport problem via novel extensions of cost tensor. The first equivalence form is derived under the assumptions that the total masses of each measure are sufficiently close while the second equivalence form does not require any conditions on these masses but at the price of more sophisticated extended cost tensor. Our proof techniques for obtaining these equivalence forms rely on novel procedures of moving mass in graph theory to push transportation plan into appropriate regions. Finally, based on the equivalence forms, we develop optimization algorithm, named ApproxMPOT algorithm, that builds upon the Sinkhorn algorithm for solving the entropic regularized multimarginal optimal transport. We demonstrate that the ApproxMPOT algorithm can approximate the optimal value of multimarginal POT problem with a computational complexity upper bound of the order $\tilde{\mathcal{O}}(m^3(n+1)^{m}/ \varepsilon^2)$ where $\varepsilon > 0$ stands for the desired tolerance.

preprint2022arXiv

On Structured Filtering-Clustering: Global Error Bound and Optimal First-Order Algorithms

The filtering-clustering models, including trend filtering and convex clustering, have become an important source of ideas and modeling tools in machine learning and related fields. The statistical guarantee of optimal solutions in these models has been extensively studied yet the investigations on the computational aspect have remained limited. In particular, practitioners often employ the first-order algorithms in real-world applications and are impressed by their superior performance regardless of ill-conditioned structures of difference operator matrices, thus leaving open the problem of understanding the convergence property of first-order algorithms. This paper settles this open problem and contributes to the broad interplay between statistics and optimization by identifying a \textit{global error bound} condition, which is satisfied by a large class of dual filtering-clustering problems, and designing a class of \textit{generalized dual gradient ascent} algorithm, which is \textit{optimal} first-order algorithms in deterministic, finite-sum and online settings. Our results are new and help explain why the filtering-clustering models can be efficiently solved by first-order algorithms. We also provide the detailed convergence rate analysis for the proposed algorithms in different settings, shedding light on their potential to solve the filtering-clustering models efficiently. We also conduct experiments on real datasets and the numerical results demonstrate the effectiveness of our algorithms.

preprint2022arXiv

On the Efficiency of Entropic Regularized Algorithms for Optimal Transport

We present several new complexity results for the entropic regularized algorithms that approximately solve the optimal transport (OT) problem between two discrete probability measures with at most $n$ atoms. First, we improve the complexity bound of a greedy variant of Sinkhorn, known as \textit{Greenkhorn}, from $\widetilde{O}(n^2\varepsilon^{-3})$ to $\widetilde{O}(n^2\varepsilon^{-2})$. Notably, our result can match the best known complexity bound of Sinkhorn and help clarify why Greenkhorn significantly outperforms Sinkhorn in practice in terms of row/column updates as observed by~\citet{Altschuler-2017-Near}. Second, we propose a new algorithm, which we refer to as \textit{APDAMD} and which generalizes an adaptive primal-dual accelerated gradient descent (APDAGD) algorithm~\citep{Dvurechensky-2018-Computational} with a prespecified mirror mapping $ϕ$. We prove that APDAMD achieves the complexity bound of $\widetilde{O}(n^2\sqrtδ\varepsilon^{-1})$ in which $δ>0$ stands for the regularity of $ϕ$. In addition, we show by a counterexample that the complexity bound of $\widetilde{O}(\min\{n^{9/4}\varepsilon^{-1}, n^2\varepsilon^{-2}\})$ proved for APDAGD before is invalid and give a refined complexity bound of $\widetilde{O}(n^{5/2}\varepsilon^{-1})$. Further, we develop a \textit{deterministic} accelerated variant of Sinkhorn via appeal to estimated sequence and prove the complexity bound of $\widetilde{O}(n^{7/3}\varepsilon^{-4/3})$. As such, we see that accelerated variant of Sinkhorn outperforms Sinkhorn and Greenkhorn in terms of $1/\varepsilon$ and APDAGD and accelerated alternating minimization (AAM)~\citep{Guminov-2021-Combination} in terms of $n$. Finally, we conduct the experiments on synthetic and real data and the numerical results show the efficiency of Greenkhorn, APDAMD and accelerated Sinkhorn in practice.

preprint2022arXiv

On Transportation of Mini-batches: A Hierarchical Approach

Mini-batch optimal transport (m-OT) has been successfully used in practical applications that involve probability measures with a very high number of supports. The m-OT solves several smaller optimal transport problems and then returns the average of their costs and transportation plans. Despite its scalability advantage, the m-OT does not consider the relationship between mini-batches which leads to undesirable estimation. Moreover, the m-OT does not approximate a proper metric between probability measures since the identity property is not satisfied. To address these problems, we propose a novel mini-batch scheme for optimal transport, named Batch of Mini-batches Optimal Transport (BoMb-OT), that finds the optimal coupling between mini-batches and it can be seen as an approximation to a well-defined distance on the space of probability measures. Furthermore, we show that the m-OT is a limit of the entropic regularized version of the BoMb-OT when the regularized parameter goes to infinity. Finally, we carry out experiments on various applications including deep generative models, deep domain adaptation, approximate Bayesian computation, color transfer, and gradient flow to show that the BoMb-OT can be widely applied and performs well in various applications.

preprint2022arXiv

Probabilistic Best Subset Selection via Gradient-Based Optimization

In high-dimensional statistics, variable selection recovers the latent sparse patterns from all possible covariate combinations. This paper proposes a novel optimization method to solve the exact L0-regularized regression problem, which is also known as the best subset selection. We reformulate the optimization problem from a discrete space to a continuous one via probabilistic reparameterization. The new objective function is differentiable but its gradient often cannot be computed in a closed form. Then we propose a family of unbiased gradient estimators to optimize the best subset selection objectives by the stochastic gradient descent. Within this family, we identify the estimator with uniformly minimum variance. Theoretically, we study the general conditions under which the method is guaranteed to converge to the ground truth in expectation. The proposed method can find the true regression model from thousands of covariates in seconds. In a wide variety of synthetic and semi-synthetic data, the proposed method outperforms existing variable selection tools based on the relaxed penalties, coordinate descent, and mixed integer optimization in both sparse pattern recovery and out-of-sample prediction.

preprint2022arXiv

Refined Convergence Rates for Maximum Likelihood Estimation under Finite Mixture Models

We revisit the classical problem of deriving convergence rates for the maximum likelihood estimator (MLE) in finite mixture models. The Wasserstein distance has become a standard loss function for the analysis of parameter estimation in these models, due in part to its ability to circumvent label switching and to accurately characterize the behaviour of fitted mixture components with vanishing weights. However, the Wasserstein distance is only able to capture the worst-case convergence rate among the remaining fitted mixture components. We demonstrate that when the log-likelihood function is penalized to discourage vanishing mixing weights, stronger loss functions can be derived to resolve this shortcoming of the Wasserstein distance. These new loss functions accurately capture the heterogeneity in convergence rates of fitted mixture components, and we use them to sharpen existing pointwise and uniform convergence rates in various classes of mixture models. In particular, these results imply that a subset of the components of the penalized MLE typically converge significantly faster than could have been anticipated from past work. We further show that some of these conclusions extend to the traditional MLE. Our theoretical findings are supported by a simulation study to illustrate these improved convergence rates.

preprint2022arXiv

Transformer with Fourier Integral Attentions

Multi-head attention empowers the recent success of transformers, the state-of-the-art models that have achieved remarkable success in sequence modeling and beyond. These attention mechanisms compute the pairwise dot products between the queries and keys, which results from the use of unnormalized Gaussian kernels with the assumption that the queries follow a mixture of Gaussian distribution. There is no guarantee that this assumption is valid in practice. In response, we first interpret attention in transformers as a nonparametric kernel regression. We then propose the FourierFormer, a new class of transformers in which the dot-product kernels are replaced by the novel generalized Fourier integral kernels. Different from the dot-product kernels, where we need to choose a good covariance matrix to capture the dependency of the features of data, the generalized Fourier integral kernels can automatically capture such dependency and remove the need to tune the covariance matrix. We theoretically prove that our proposed Fourier integral kernels can efficiently approximate any key and query distributions. Compared to the conventional transformers with dot-product attention, FourierFormers attain better accuracy and reduce the redundancy between attention heads. We empirically corroborate the advantages of FourierFormers over the baseline transformers in a variety of practical applications including language modeling and image classification.

preprint2021arXiv

On the computational and statistical complexity of over-parameterized matrix sensing

We consider solving the low rank matrix sensing problem with Factorized Gradient Descend (FGD) method when the true rank is unknown and over-specified, which we refer to as over-parameterized matrix sensing. If the ground truth signal $\mathbf{X}^* \in \mathbb{R}^{d*d}$ is of rank $r$, but we try to recover it using $\mathbf{F} \mathbf{F}^\top$ where $\mathbf{F} \in \mathbb{R}^{d*k}$ and $k>r$, the existing statistical analysis falls short, due to a flat local curvature of the loss function around the global maxima. By decomposing the factorized matrix $\mathbf{F}$ into separate column spaces to capture the effect of extra ranks, we show that $\|\mathbf{F}_t \mathbf{F}_t - \mathbf{X}^*\|_{F}^2$ converges to a statistical error of $\tilde{\mathcal{O}} ({k d σ^2/n})$ after $\tilde{\mathcal{O}}(\frac{σ_{r}}σ\sqrt{\frac{n}{d}})$ number of iterations where $\mathbf{F}_t$ is the output of FGD after $t$ iterations, $σ^2$ is the variance of the observation noise, $σ_{r}$ is the $r$-th largest eigenvalue of $\mathbf{X}^*$, and $n$ is the number of sample. Our results, therefore, offer a comprehensive picture of the statistical and computational complexity of FGD for the over-parameterized matrix sensing problem.

preprint2021arXiv

On the Minimax Optimality of the EM Algorithm for Learning Two-Component Mixed Linear Regression

We study the convergence rates of the EM algorithm for learning two-component mixed linear regression under all regimes of signal-to-noise ratio (SNR). We resolve a long-standing question that many recent results have attempted to tackle: we completely characterize the convergence behavior of EM, and show that the EM algorithm achieves minimax optimal sample complexity under all SNR regimes. In particular, when the SNR is sufficiently large, the EM updates converge to the true parameter $θ^{*}$ at the standard parametric convergence rate $\mathcal{O}((d/n)^{1/2})$ after $\mathcal{O}(\log(n/d))$ iterations. In the regime where the SNR is above $\mathcal{O}((d/n)^{1/4})$ and below some constant, the EM iterates converge to a $\mathcal{O}({\rm SNR}^{-1} (d/n)^{1/2})$ neighborhood of the true parameter, when the number of iterations is of the order $\mathcal{O}({\rm SNR}^{-2} \log(n/d))$. In the low SNR regime where the SNR is below $\mathcal{O}((d/n)^{1/4})$, we show that EM converges to a $\mathcal{O}((d/n)^{1/4})$ neighborhood of the true parameters, after $\mathcal{O}((n/d)^{1/2})$ iterations. Notably, these results are achieved under mild conditions of either random initialization or an efficiently computable local initialization. By providing tight convergence guarantees of the EM algorithm in middle-to-low SNR regimes, we fill the remaining gap in the literature, and significantly, reveal that in low SNR, EM changes rate, matching the $n^{-1/4}$ rate of the MLE, a behavior that previous work had been unable to show.

preprint2020arXiv

Fast Algorithms for Computational Optimal Transport and Wasserstein Barycenter

We provide theoretical complexity analysis for new algorithms to compute the optimal transport (OT) distance between two discrete probability distributions, and demonstrate their favorable practical performance over state-of-art primal-dual algorithms and their capability in solving other problems in large-scale, such as the Wasserstein barycenter problem for multiple probability distributions. First, we introduce the \emph{accelerated primal-dual randomized coordinate descent} (APDRCD) algorithm for computing the OT distance. We provide its complexity upper bound $\bigOtil(\frac{n^{5/2}}{\varepsilon})$ where $n$ stands for the number of atoms of these probability measures and $\varepsilon > 0$ is the desired accuracy. This complexity bound matches the best known complexities of primal-dual algorithms for the OT problems, including the adaptive primal-dual accelerated gradient descent (APDAGD) and the adaptive primal-dual accelerated mirror descent (APDAMD) algorithms. Then, we demonstrate the better performance of the APDRCD algorithm over the APDAGD and APDAMD algorithms through extensive experimental studies, and further improve its practical performance by proposing a greedy version of it, which we refer to as \emph{accelerated primal-dual greedy coordinate descent} (APDGCD). Finally, we generalize the APDRCD and APDGCD algorithms to distributed algorithms for computing the Wasserstein barycenter for multiple probability distributions.

preprint2020arXiv

Flow-based Alignment Approaches for Probability Measures in Different Spaces

Gromov-Wasserstein (GW) is a powerful tool to compare probability measures whose supports are in different metric spaces. GW suffers however from a computational drawback since it requires to solve a complex non-convex quadratic program. We consider in this work a specific family of cost metrics, namely \textit{tree metrics} for a space of supports of each probability measure, and aim for developing efficient and scalable discrepancies between the probability measures. By leveraging a tree structure, we propose to align \textit{flows} from a root to each support instead of pair-wise tree metrics of supports, i.e., flows from a support to another, in GW. Consequently, we propose a novel discrepancy, named Flow-based Alignment (\FlowAlign), by matching the flows of the probability measures. We show that \FlowAlign~shares a similar structure as a univariate optimal transport distance. Therefore, \FlowAlign~is fast for computation and scalable for large-scale applications. By further exploring tree structures, we propose a variant of \FlowAlign, named Depth-based Alignment (\DepthAlign), by aligning the flows hierarchically along each depth level of the tree structures. Theoretically, we prove that both \FlowAlign~and \DepthAlign~are pseudo-distances. Moreover, we also derive tree-sliced variants, computed by averaging the corresponding \FlowAlign~/ \DepthAlign~using random tree metrics, built adaptively in spaces of supports. Empirically, we test our proposed discrepancies against other baselines on some benchmark tasks.

preprint2020arXiv

Multivariate Smoothing via the Fourier Integral Theorem and Fourier Kernel

Starting with the Fourier integral theorem, we present natural Monte Carlo estimators of multivariate functions including densities, mixing densities, transition densities, regression functions, and the search for modes of multivariate density functions (modal regression). Rates of convergence are established and, in many cases, provide superior rates to current standard estimators such as those based on kernels, including kernel density estimators and kernel regression functions. Numerical illustrations are presented.

preprint2020arXiv

Singularity, Misspecification, and the Convergence Rate of EM

A line of recent work has analyzed the behavior of the Expectation-Maximization (EM) algorithm in the well-specified setting, in which the population likelihood is locally strongly concave around its maximizing argument. Examples include suitably separated Gaussian mixture models and mixtures of linear regressions. We consider over-specified settings in which the number of fitted components is larger than the number of components in the true distribution. Such misspecified settings can lead to singularity in the Fisher information matrix, and moreover, the maximum likelihood estimator based on $n$ i.i.d. samples in $d$ dimensions can have a non-standard $\mathcal{O}((d/n)^{\frac{1}{4}})$ rate of convergence. Focusing on the simple setting of two-component mixtures fit to a $d$-dimensional Gaussian distribution, we study the behavior of the EM algorithm both when the mixture weights are different (unbalanced case), and are equal (balanced case). Our analysis reveals a sharp distinction between these two cases: in the former, the EM algorithm converges geometrically to a point at Euclidean distance of $\mathcal{O}((d/n)^{\frac{1}{2}})$ from the true parameter, whereas in the latter case, the convergence rate is exponentially slower, and the fixed point has a much lower $\mathcal{O}((d/n)^{\frac{1}{4}})$ accuracy. Analysis of this singular case requires the introduction of some novel techniques: in particular, we make use of a careful form of localization in the associated empirical process, and develop a recursive argument to progressively sharpen the statistical rate.

preprint2020arXiv

Tree-Wasserstein Barycenter for Large-Scale Multilevel Clustering and Scalable Bayes

We study in this paper a variant of Wasserstein barycenter problem, which we refer to as tree-Wasserstein barycenter, by leveraging a specific class of ground metrics, namely tree metrics, for Wasserstein distance. Drawing on the tree structure, we propose an efficient algorithmic approach to solve the tree-Wasserstein barycenter and its variants. The proposed approach is not only fast for computation but also efficient for memory usage. Exploiting the tree-Wasserstein barycenter and its variants, we scale up multi-level clustering and scalable Bayes, especially for large-scale applications where the number of supports in probability measures is large. Empirically, we test our proposed approach against other baselines on large-scale synthetic and real datasets.

preprint2020arXiv

Uniform Convergence Rates for Maximum Likelihood Estimation under Two-Component Gaussian Mixture Models

We derive uniform convergence rates for the maximum likelihood estimator and minimax lower bounds for parameter estimation in two-component location-scale Gaussian mixture models with unequal variances. We assume the mixing proportions of the mixture are known and fixed, but make no separation assumption on the underlying mixture components. A phase transition is shown to exist in the optimal parameter estimation rate, depending on whether or not the mixture is balanced. Key to our analysis is a careful study of the dependence between the parameters of location-scale Gaussian mixture models, as captured through systems of polynomial equalities and inequalities whose solution set drives the rates we obtain. A simulation study illustrates the theoretical findings of this work.