Training Gaussian Mixture Models at Scale via Coresets

How can we train a statistical mixture model on a massive data set? In this work we show how to construct coresets for mixtures of Gaussians. A coreset is a weighted subset of the data, which guarantees that models fitting the coreset also provide a good fit for the original data set. We show that, perhaps surprisingly, Gaussian mixtures admit coresets of size polynomial in dimension and the number of mixture components, while being independent of the data set size. Hence, one can harness computationally intensive algorithms to compute a good approximation on a significantly smaller data set. More importantly, such coresets can be efficiently constructed both in distributed and streaming settings and do not impose restrictions on the data generating process. Our results rely on a novel reduction of statistical estimation to problems in computational geometry and new combinatorial complexity results for mixtures of Gaussians. Empirical evaluation on several real-world datasets suggests that our coreset-based approach enables significant reduction in training-time with negligible approximation error.

Online Distributed Sensor Selection

A key problem in sensor networks is to decide which sensors to query when, in order to obtain the most useful information (e.g., for performing accurate prediction), subject to constraints (e.g., on power and bandwidth). In many applications the utility function is not known a priori, must be learned from data, and can even change over time. Furthermore for large sensor networks solving a centralized optimization problem to select sensors is not feasible, and thus we seek a fully distributed solution. In this paper, we present Distributed Online Greedy (DOG), an efficient, distributed algorithm for repeatedly selecting sensors online, only receiving feedback about the utility of the selected sensors. We prove very strong theoretical no-regret guarantees that apply whenever the (unknown) utility function satisfies a natural diminishing returns property called submodularity. Our algorithm has extremely low communication requirements, and scales well to large sensor deployments. We extend DOG to allow observation-dependent sensor selection. We empirically demonstrate the effectiveness of our algorithm on several real-world sensing tasks.