Multi-Step Stochastic ADMM in High Dimensions: Applications to Sparse Optimization and Noisy Matrix Decomposition

We propose an efficient ADMM method with guarantees for high-dimensional problems. We provide explicit bounds for the sparse optimization problem and the noisy matrix decomposition problem. For sparse optimization, we establish that the modified ADMM method has an optimal convergence rate of $\mathcal{O}(s\log d/T)$, where $s$ is the sparsity level, $d$ is the data dimension and $T$ is the number of steps. This matches with the minimax lower bounds for sparse estimation. For matrix decomposition into sparse and low rank components, we provide the first guarantees for any online method, and prove a convergence rate of $\tilde{\mathcal{O}}((s+r)\beta^2(p) /T) + \mathcal{O}(1/p)$ for a $p\times p$ matrix, where $s$ is the sparsity level, $r$ is the rank and $\Theta(\sqrt{p})\leq \beta(p)\leq \Theta(p)$. Our guarantees match the minimax lower bound with respect to $s,r$ and $T$. In addition, we match the minimax lower bound with respect to the matrix dimension $p$, i.e. $\beta(p)=\Theta(\sqrt{p})$, for many important statistical models including the independent noise model, the linear Bayesian network and the latent Gaussian graphical model under some conditions. Our ADMM method is based on epoch-based annealing and consists of inexpensive steps which involve projections on to simple norm balls. Experiments show that for both sparse optimization and matrix decomposition problems, our algorithm outperforms the state-of-the-art methods. In particular, we reach higher accuracy with same time complexity.

Statistical Structure Learning, Towards a Robust Smart Grid

Robust control and maintenance of the grid relies on accurate data. Both PMUs and state estimators are prone to false data injection attacks. Thus, it is crucial to have a mechanism for fast and accurate detection of an agent maliciously tampering with the data---for both preventing attacks that may lead to blackouts, and for routine monitoring and control tasks of current and future grids. We propose a decentralized false data injection detection scheme based on Markov graph of the bus phase angles. We utilize the Conditional Covariance Test (CCT) to learn the structure of the grid. Using the DC power flow model, we show that under normal circumstances, and because of walk-summability of the grid graph, the Markov graph of the voltage angles can be determined by the power grid graph. Therefore, a discrepancy between calculated Markov graph and learned structure should trigger the alarm. Local grid topology is available online from the protection system and we exploit it to check for mismatch. Should a mismatch be detected, we use correlation anomaly score to detect the set of attacked nodes. Our method can detect the most recent stealthy deception attack on the power grid that assumes knowledge of bus-branch model of the system and is capable of deceiving the state estimator, damaging power network observatory, control, monitoring, demand response and pricing schemes. Specifically, under the stealthy deception attack, the Markov graph of phase angles changes. In addition to detect a state of attack, our method can detect the set of attacked nodes. To the best of our knowledge, our remedy is the first to comprehensively detect this sophisticated attack and it does not need additional hardware. Moreover, our detection scheme is successful no matter the size of the attacked subset. Simulation of various power networks confirms our claims.