Adaptive Client Sampling in Federated Learning via Online Learning with Bandit Feedback

In federated learning (FL) problems, client sampling plays a key role in the convergence speed of training algorithm. However, while being an important problem in FL, client sampling is lack of study. In this paper, we propose an online learning with bandit feedback framework to understand the client sampling problem in FL. By adapting an Online Stochastic Mirror Descent algorithm to minimize the variance of gradient estimation, we propose a new adaptive client sampling algorithm. Besides, we use online ensemble method and doubling trick to automatically choose the tuning parameters in the algorithm. Theoretically, we show dynamic regret bound with comparator as the theoretically optimal sampling sequence; we also include the total variation of this sequence in our upper bound, which is a natural measure of the intrinsic difficulty of the problem. To the best of our knowledge, these theoretical contributions are novel to existing literature. Moreover, by implementing both synthetic and real data experiments, we show empirical evidence of the advantages of our proposed algorithms over widely-used uniform sampling and also other online learning based sampling strategies in previous studies. We also examine its robustness to the choice of tuning parameters. Finally, we discuss its possible extension to sampling without replacement and personalized FL objective. While the original goal is to solve client sampling problem, this work has more general applications on stochastic gradient descent and stochastic coordinate descent methods.

Dynamic Regret Minimization for Control of Non-stationary Linear Dynamical Systems

We consider the problem of controlling a Linear Quadratic Regulator (LQR) system over a finite horizon $T$ with fixed and known cost matrices $Q,R$, but unknown and non-stationary dynamics $\{A_t, B_t\}$. The sequence of dynamics matrices can be arbitrary, but with a total variation, $V_T$, assumed to be $o(T)$ and unknown to the controller. Under the assumption that a sequence of stabilizing, but potentially sub-optimal controllers is available for all $t$, we present an algorithm that achieves the optimal dynamic regret of $\tilde{\mathcal{O}}\left(V_T^{2/5}T^{3/5}\right)$. With piece-wise constant dynamics, our algorithm achieves the optimal regret of $\tilde{\mathcal{O}}(\sqrt{ST})$ where $S$ is the number of switches. The crux of our algorithm is an adaptive non-stationarity detection strategy, which builds on an approach recently developed for contextual Multi-armed Bandit problems. We also argue that non-adaptive forgetting (e.g., restarting or using sliding window learning with a static window size) may not be regret optimal for the LQR problem, even when the window size is optimally tuned with the knowledge of $V_T$. The main technical challenge in the analysis of our algorithm is to prove that the ordinary least squares (OLS) estimator has a small bias when the parameter to be estimated is non-stationary. Our analysis also highlights that the key motif driving the regret is that the LQR problem is in spirit a bandit problem with linear feedback and locally quadratic cost. This motif is more universal than the LQR problem itself, and therefore we believe our results should find wider application.

Joint Gaussian Graphical Model Estimation: A Survey

Graphs from complex systems often share a partial underlying structure across domains while retaining individual features. Thus, identifying common structures can shed light on the underlying signal, for instance, when applied to scientific discoveries or clinical diagnoses. Furthermore, growing evidence shows that the shared structure across domains boosts the estimation power of graphs, particularly for high-dimensional data. However, building a joint estimator to extract the common structure may be more complicated than it seems, most often due to data heterogeneity across sources. This manuscript surveys recent work on statistical inference of joint Gaussian graphical models, identifying model structures that fit various data generation processes. Simulations under different data generation processes are implemented with detailed discussions on the choice of models.

Inequality Constrained Stochastic Nonlinear Optimization via Active-Set Sequential Quadratic Programming

We study nonlinear optimization problems with stochastic objective and deterministic equality and inequality constraints, which emerge in numerous applications including finance, manufacturing, power systems and, recently, deep neural networks. We propose an active-set stochastic sequential quadratic programming algorithm, using a differentiable exact augmented Lagrangian as the merit function. The algorithm adaptively selects the penalty parameters of augmented Lagrangian and performs stochastic line search to decide the stepsize. The global convergence is established: for any initialization, the "liminf" of the KKT residuals converges to zero almost surely. Our algorithm and analysis further develop the prior work \cite{Na2021Adaptive} by allowing nonlinear inequality constraints. We demonstrate the performance of the algorithm on a subset of nonlinear problems collected in the CUTEst test set.

Local AdaGrad-Type Algorithm for Stochastic Convex-Concave Minimax Problems

Large scale convex-concave minimax problems arise in numerous applications, including game theory, robust training, and training of generative adversarial networks. Despite their wide applicability, solving such problems efficiently and effectively is challenging in the presence of large amounts of data using existing stochastic minimax methods. We study a class of stochastic minimax methods and develop a communication-efficient distributed stochastic extragradient algorithm, LocalAdaSEG, with an adaptive learning rate suitable for solving convex-concave minimax problem in the Parameter-Server model. LocalAdaSEG has three main features: (i) periodic communication strategy reduces the communication cost between workers and the server; (ii) an adaptive learning rate that is computed locally and allows for tuning-free implementation; and (iii) theoretically, a nearly linear speed-up with respect to the dominant variance term, arising from estimation of the stochastic gradient, is proven in both the smooth and nonsmooth convex-concave settings. LocalAdaSEG is used to solve a stochastic bilinear game, and train generative adversarial network. We compare LocalAdaSEG against several existing optimizers for minimax problems and demonstrate its efficacy through several experiments in both the homogeneous and heterogeneous settings.

Robust Inference for High-Dimensional Linear Models via Residual Randomization

We propose a residual randomization procedure designed for robust Lasso-based inference in the high-dimensional setting. Compared to earlier work that focuses on sub-Gaussian errors, the proposed procedure is designed to work robustly in settings that also include heavy-tailed covariates and errors. Moreover, our procedure can be valid under clustered errors, which is important in practice, but has been largely overlooked by earlier work. Through extensive simulations, we illustrate our method's wider range of applicability as suggested by theory. In particular, we show that our method outperforms state-of-art methods in challenging, yet more realistic, settings where the distribution of covariates is heavy-tailed or the sample size is small, while it remains competitive in standard, ``well behaved" settings previously studied in the literature.

High-dimensional Functional Graphical Model Structure Learning via Neighborhood Selection Approach

Undirected graphical models have been widely used to model the conditional independence structure of high-dimensional random vector data for years. In many modern applications such as EEG and fMRI data, the observations are multivariate random functions rather than scalars. To model the conditional independence of this type of data, functional graphical models are proposed and have attracted an increasing attention in recent years. In this paper, we propose a neighborhood selection approach to estimate Gaussian functional graphical models. We first estimate the neighborhood of all nodes via function-on-function regression, and then we can recover the whole graph structure based on the neighborhood information. By estimating conditional structure directly, we can circumvent the need of a well-defined precision operator which generally does not exist. Besides, we can better explore the effect of the choice of function basis for dimension reduction. We give a criterion for choosing the best function basis and motivate two practically useful choices, which we justified by both theory and experiments and show that they are better than expanding each function onto its own FPCA basis as in previous literature. In addition, the neighborhood selection approach is computationally more efficient than fglasso as it is more easy to do parallel computing. The statistical consistency of our proposed methods in high-dimensional setting are supported by both theory and experiment.

Instrumental Variable Value Iteration for Causal Offline Reinforcement Learning

In offline reinforcement learning (RL) an optimal policy is learnt solely from a priori collected observational data. However, in observational data, actions are often confounded by unobserved variables. Instrumental variables (IVs), in the context of RL, are the variables whose influence on the state variables are all mediated through the action. When a valid instrument is present, we can recover the confounded transition dynamics through observational data. We study a confounded Markov decision process where the transition dynamics admit an additive nonlinear functional form. Using IVs, we derive a conditional moment restriction (CMR) through which we can identify transition dynamics based on observational data. We propose a provably efficient IV-aided Value Iteration (IVVI) algorithm based on a primal-dual reformulation of CMR. To the best of our knowledge, this is the first provably efficient algorithm for instrument-aided offline RL.

Personalized Federated Learning: A Unified Framework and Universal Optimization Techniques

We study the optimization aspects of personalized Federated Learning (FL). We develop a universal optimization theory applicable to all convex personalized FL models in the literature. In particular, we propose a general personalized objective capable of recovering essentially any existing personalized FL objective as a special case. We design several optimization techniques to minimize the general objective, namely a tailored variant of Local SGD and variants of accelerated coordinate descent/accelerated SVRCD. We demonstrate the practicality and/or optimality of our methods both in terms of communication and local computation. Lastly, we argue about the implications of our general optimization theory when applied to solve specific personalized FL objectives.

An Adaptive Stochastic Sequential Quadratic Programming with Differentiable Exact Augmented Lagrangians

We consider the problem of solving nonlinear optimization programs with stochastic objective and deterministic equality constraints. We assume for the objective that the function evaluation, the gradient, and the Hessian are inaccessible, while one can compute their stochastic estimates by, for example, subsampling. We propose a stochastic algorithm based on sequential quadratic programming (SQP) that uses a differentiable exact augmented Lagrangian as the merit function. To motivate our algorithm, we revisit an old SQP method \citep{Lucidi1990Recursive} developed for deterministic programs. We simplify that method and derive an adaptive SQP, which serves as the skeleton of our stochastic algorithm. Based on the derived algorithm, we then propose a non-adaptive SQP for optimizing stochastic objectives, where the gradient and the Hessian are replaced by stochastic estimates but the stepsize is deterministic and prespecified. Finally, we incorporate a recent stochastic line search procedure \citep{Paquette2020Stochastic} into our non-adaptive stochastic SQP to arrive at an adaptive stochastic SQP. To our knowledge, the proposed algorithm is the first stochastic SQP that allows a line search procedure and the first stochastic line search procedure that allows the constraints. The global convergence for all proposed SQP methods is established, while numerical experiments on nonlinear problems in the CUTEst test set demonstrate the superiority of the proposed algorithm.