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The paper sets out to obtain precise convergence rates for quasi-stochastic approximation (QSA), with applications to optimization and reinforcement learning.
Several decades ago, Profs. Sean Meyn and Lei Guo were postdoctoral fellows at ANU, where they shared interest in recursive algorithms. It seems fitting to celebrate Lei Guo's 60th birthday with a review of the ODE Method and its recent evolution. The method has been regarded as a technique for algorithm analysis. It is argued that this viewpoint is backwards: The original stochastic approximation method was surely motivated by an ODE, and tools for analysis came much later (based on establishing robustness of Euler approximations). The paper presents a brief survey of recent research in machine learning that shows the power of algorithm design in continuous time, following by careful approximation to obtain a practical recursive algorithm. While these methods are usually presented in a stochastic setting, this is not a prerequisite. In fact, recent theory shows that rates of convergence can be dramatically accelerated by applying techniques inspired by quasi Monte-Carlo. Subject to conditions, the optimal rate of convergence can be obtained by applying the averaging technique of Polyak and Ruppert. The conditions are not universal, but theory suggests alternatives to achieve acceleration. The theory is illustrated with applications to gradient-free optimization, and policy gradient algorithms for reinforcement learning.
We consider a continuous-valued simulation optimization (SO) problem, where a simulator is built to optimize an expected performance measure of a real-world system while parameters of the simulator are estimated from streaming data collected periodically from the system. At each period, a new batch of data is combined with the cumulative data and the parameters are re-estimated with higher precision. The system requires the decision variable to be selected in all periods. Therefore, it is sensible for the decision-maker to update the decision variable at each period by solving a more precise SO problem with the updated parameter estimate to reduce the performance loss with respect to the target system. We define this decision-making process as the multi-period SO problem and introduce a multi-period stochastic approximation (SA) framework that generates a sequence of solutions. Two algorithms are proposed: Re-start SA (ReSA) reinitializes the stepsize sequence in each period, whereas Warm-start SA (WaSA) carefully tunes the stepsizes, taking both fewer and shorter gradient-descent steps in later periods as parameter estimates become increasingly more precise. We show that under suitable strong convexity and regularity conditions, ReSA and WaSA achieve the best possible convergence rate in expected sub-optimality either when an unbiased or a simultaneous perturbation gradient estimator is employed, while WaSA accrues significantly lower computational cost as the number of periods increases. In addition, we present the regularized ReSA, which obviates the need to know the strong convexity constant and achieves the same convergence rate at the expense of additional computation.
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As renewable energy generation deployment increases, the operation of electrical grids becomes more complex. Economic dispatch is part of a grid operator's regular decision process where the amount of energy to generate is determined based on the number of available generators and the actual level of energy demand. Renewable generators are inherently stochastic due to the chaotic nature of weather patterns, and thus, real-time decisions of economic dispatch become increasingly complex. Modeling efforts to assist in these decisions in the highest fidelity typically take hours to days to solve on leadership-class computers; too long for the 5-minute operational time-frame demanded of operators. Alternatively, multi-fidelity approximations can be used to predict generation levels quickly and with sufficient accuracy to be used for real-time operations. We have developed a visualization tool to demonstrate the utility of multi-fidelity approximations by displaying contextual results of economic dispatch approximations, comparisons across fidelity levels of generation levels and possible failures to meet demand, and meta-data on the modeling setup.
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Deep unfolding networks have recently gained popularity for solving imaging inverse problems. However, the computational and memory complexity of data-consistency layers within traditional deep unfolding networks scales with the number of measurements, limiting their applicability to large-scale imaging inverse problems. We propose SGD-Net as a new methodology for improving the efficiency of deep unfolding through stochastic approximations of the data-consistency layers. Our theoretical analysis shows that SGD-Net can be trained to approximate batch deep unfolding networks to an arbitrary precision. Our simulations on intensity diffraction tomography and sparse-view computed tomography show that SGD-Net can match the performance of the traditional batch network at a fraction of training and testing complexity.Deep unfolding networks have recently gained popularity for solving imaging inverse problems. However, the computational and memory complexity of data-consistency layers within traditional deep unfolding networks scales with the number of measurements, limiting their applicability to large-scale imaging inverse problems. We propose SGD-Net as a new methodology for improving the efficiency of deep unfolding through stochastic approximations of the data-consistency layers. Our theoretical analysis shows that SGD-Net can be trained to approximate batch deep unfolding networks to an arbitrary precision. Our simulations on intensity diffraction tomography and sparse-view computed tomography show that SGD-Net can match the performance of the traditional batch network at a fraction of training and testing complexity.
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Whittle index policy is a heuristic to the intractable restless multi-armed bandits (RMAB) problem. Although it is provably asymptotically optimal, finding Whittle indices remains difficult. In this paper, we present Neural-Q-Whittle, a Whittle index based Q-learning algorithm for RMAB with neural network function approximation, which is an example of nonlinear two-timescale stochastic approximation with Q-function values updated on a faster timescale and Whittle indices on a slower timescale. Despite the empirical success of deep Q-learning, the non-asymptotic convergence rate of Neural-Q-Whittle, which couples neural networks with two-timescale Q-learning largely remains unclear. This paper provides a finite-time analysis of Neural-Q-Whittle, where data are generated from a Markov chain, and Q-function is approximated by a ReLU neural network. Our analysis leverages a Lyapunov drift approach to capture the evolution of two coupled parameters, and the nonlinearity in value function approximation further requires us to characterize the approximation error. Combing these provide Neural-Q-Whittle with convergence rate, where is the number of iterations.
Here, we consider unconstrained stochastic optimization problems with no available gradient information. Such problems arise in settings from derivative-free simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients using finite differences of stochastic function evaluations within a common random number framework. We develop modified versions of a norm test and an inner product quasi-Newton test to control the sample sizes used in the stochastic approximations and provide global convergence results to the neighborhood of a locally optimal solution. We present numerical experiments on simulation optimization problems to illustrate the performance of the proposed algorithm. When compared with classical zeroth-order stochastic gradient methods, we observe that our strategies of adapting the sample sizes significantly improve performance in terms of the number of stochastic function evaluations required.
Since the dawn of quantum computing (QC), theoretical developments like Shor's algorithm proved the conceptual superiority of QC over traditional computing. However, such quantum supremacy claims are difficult to achieve in practice because of the technical challenges of realizing noiseless qubits. In the near future, QC applications will need to rely on noisy quantum devices that offload part of their work to classical devices. One way to achieve this is by using parameterized quantum circuits in optimization or even in machine learning tasks. The energy requirements of quantum algorithms have not yet been studied extensively. Here in this article, we explore several optimization algorithms using both theoretical insights and numerical experiments to understand their impact on energy consumption. Specifically, we highlight why and how algorithms like quantum natural gradient descent, simultaneous perturbation stochastic approximations or circuit learning methods, are at least 2x to 4x more energy efficient than their classical counterparts; why feedback-based quantum optimization is energy-inefficient; and how techniques like Rosalin can improve the energy efficiency of other algorithms by a factor of ≥2 0 x. Finally, we use the NchooseK high-level programming model to run optimization problems on both gate-based quantum computers and quantum annealers. Empirical data indicate that these optimization problems run faster, have better success rates, and consume less energy on quantum annealers than on their gate-based counterparts.
Here, the present work addresses the issue of accurate stochastic approximations in high-dimensional parametric space using tools from uncertainty quantification (UQ). The basis adaptation method and its accelerated algorithm in polynomial chaos expansions (PCE) were recently proposed to construct low-dimensional approximations adapted to specific quantities of interest (QoI). The present paper addresses one difficulty with these adaptations, namely their reliance on quadrature point sampling, which limits the reusability of potentially expensive samples. Projection pursuit (PP) is a statistical tool to find the “interesting” projections in high-dimensional data and thus bypass the curse-of-dimensionality. In the present work, we combine the fundamental ideas of basis adaptation and projection pursuit regression (PPR) to propose a novel method to simultaneously learn the optimal low-dimensional spaces and PCE representation from given data. While this projection pursuit adaptation (PPA) can be entirely data-driven, the constructed approximation exhibits mean-square convergence to the solution of an underlying governing equation and thus captures the supports and probability distributions associated with the physics constraints. The proposed approach is demonstrated on a borehole problem and a structural dynamics problem, demonstrating the versatility of the method and its ability to discover low-dimensional manifolds with high accuracy with limited data. In addition, the method can learn surrogate models for different quantities of interest while reusing the same data set.
Spatial geostatistical interpolation of point measurements of streambed attributes in the hyporheic zone may be constrained by the streambed anisotropy, and data density and spatial distribution may significantly impact the results. Spatial clustering and low spatial data density can be caused by bedrock outcropping at the streambed limiting installation of in-stream piezometers. This study examines parameter error variability of the geostatistical interpolation using anisotropic interpolation methods and increasing the data density by adding left censored values (i.e., data below measurement limit) to locations where measurements were limited by exposed bedrock lining the streambed. The reduction in relative standard error of the interpolation was determined for the spatial distributions of streambed attributes including hydraulic conductivity, seepage flux, and mercury solute flux measured in two different years along a study reach in East Fork Poplar Creek, Tennessee, USA. Here, two methods to impute the left censored values were compared including the conventional half the detection limit substitution method, and the Stochastic Approximation of Expectation-Maximization (SAEM) algorithm, which both had comparable results. Imputing left censored data increased the data density to recommended ranges, reduced data clustering, increased the spatial dependence for some attributes, and reduced the standard error for each of the three attributes. For the reach considered herein, addition of the left censored values resulted in a larger error reduction than the consideration of anisotropy within the interpolation, which confirms the benefit of data addition to increase data density within data-limited river corridors.
We present new stellarator equilibria that have been optimized for reduced turbulent transport using nonlinear gyrokinetic simulations within the optimization loop. The optimization routine involves coupling the pseudo-spectral GPU-native gyrokinetic code GX with the stellarator equilibrium and optimization code DESC . Since using GX allows for fast nonlinear simulations, we directly optimize for reduced nonlinear heat fluxes. To handle the noisy heat flux traces returned by these simulations, we employ the simultaneous perturbation stochastic approximation (SPSA) method that only uses two objective function evaluations for a simple estimate of the gradient. We show several examples that optimize for both reduced heat fluxes and good quasi-symmetry as a proxy for low neoclassical transport. Finally, we run full transport simulations using the T3D stellarator transport code to evaluate the changes in the macroscopic profiles.
In this paper, we present a novel derivative-free framework for solving unconstrained stochastic optimization problems. Many problems in fields ranging from simulation optimization to reinforcement learning to quantum computing involve settings where only stochastic function values are obtained via a zeroth-order oracle, which has no available gradient information and necessitates the usage of derivative-free optimization methodologies. Our approach includes estimating gradients using stochastic function evaluations and integrating adaptive sampling techniques to control the accuracy in these stochastic approximations. Our framework encapsulates several gradient estimation techniques, including standard finite-difference, Gaussian smoothing, sphere smoothing, randomized coordinate finite-difference, and randomized subspace finite-difference methods. We provide theoretical convergence guarantees for our framework and analyze the worst-case iteration and sample complexities associated with each gradient estimation method. Finally, we demonstrate the empirical performance of the methods on logistic regression and nonlinear least squares problems.
Quantum state preparation involves preparing a target state from an initial system, a process integral to applications such as quantum machine learning and solving systems of linear equations. Recently, there has been a growing interest in qumodes due to advancements in the field and their potential applications. However there is a notable gap in the literature specifically addressing this area. This paper aims to bridge this gap by providing performance benchmarks of various optimizers used in state preparation with Variational Quantum Algorithms. We conducted extensive testing across multiple scenarios, including different target states, both ideal and sampling simulations, and varying numbers of basis gate layers. Our evaluations offer insights into the complexity of learning each type of target state and demonstrate that some optimizers perform better than others in this context. Notably, the Powell optimizer was found to be exceptionally robust against sampling errors, making it a preferred choice in scenarios prone to such inaccuracies. Additionally, the Simultaneous Perturbation Stochastic Approximation optimizer was distinguished for its efficiency and ability to handle increased parameter dimensionality effectively.
Bayesian experimental design (BED) is to answer the question that how to choose designs that maximize the information gathering. For implicit models, where the likelihood is intractable but sampling is possible, conventional BED methods have difficulties in efficiently estimating the posterior distribution and maximizing the mutual information (MI) between data and parameters. Recent work proposed the use of gradient ascent to maximize a lower bound on MI to deal with these issues. However, the approach requires a sampling path to compute the pathwise gradient of the MI lower bound with respect to the design variables, and such a pathwise gradient is usually inaccessible for implicit models. In this paper, we propose a novel approach that leverages recent advances in stochastic approximate gradient ascent incorporated with a smoothed variational MI estimator for efficient and robust BED. Without the necessity of pathwise gradients, our approach allows the design process to be achieved through a unified procedure with an approximate gradient for implicit models. Several experiments show that our approach outperforms baseline methods, and significantly improves the scalability of BED in high-dimensional problems.
Traffic simulation serves as a powerful tool for pre-evaluating policies and technologies. In this context, simulation-based Dynamic traffic assignment (DTA) models are capable of capturing traffic dynamics. They are well-known as critical tools in controlling and predicting traffic situations. The reliability of simulation results heavily depends on the calibration process. Most studies in the literature formulate and calibrate simulators based on a single source of collected data or multiple data sets with the same spatiotemporal characteristics. However, in practice, traffic data is collected by various tools with usually different spatial and temporal resolutions. This study introduces a novel approach to taking into account diverse input data from a variety of sources. An iterative bi-level solution is proposed. to equally treat traffic flow and speed data. The upper level solves flow calibration with the exact solution method, and the lower level calibrates the speed with the simultaneous perturbation stochastic approximation (SPSA) algorithm. Subsequently, the effectiveness of the proposed model is investigated using data from a six-mile section of Nashville's I-24 highway in Tennessee. The results demonstrate that our proposed model creates an effective feedback loop between the optimizer and the simulator for calibrating flow and speed to reduce the error between simulated and real data.