09,24,2021

News Blog Paper China
Good and Bad Optimization Models: Insights from Rockafellians2021-05-13   ${\displaystyle \cong }$
A basic requirement for a mathematical model is often that its solution (output) shouldn't change much if the model's parameters (input) are perturbed. This is important because the exact values of parameters may not be known and one would like to avoid being mislead by an output obtained using incorrect values. Thus, it's rarely enough to address an application by formulating a model, solving the resulting optimization problem and presenting the solution as the answer. One would need to confirm that the model is suitable, i.e., "good," and this can, at least in part, be achieved by considering a family of optimization problems constructed by perturbing parameters of concern. The resulting sensitivity analysis uncovers troubling situations with unstable solutions, which we referred to as "bad" models, and indicates better model formulations. Embedding an actual problem of interest within a family of problems is also a primary path to optimality conditions as well as computationally attractive, alternative problems, which under ideal circumstances, and when properly tuned, may even furnish the minimum value of the actual problem. The tuning of these alternative problems turns out to be intimately tied to finding multipliers in optimality conditions and thus emerges as a main component of several optimization algorithms. In fact, the tuning amounts to solving certain dual optimization problems. In this tutorial, we'll discuss the opportunities and insights afforded by this broad perspective.
 
Automatically Learning Compact Quality-aware Surrogates for Optimization Problems2020-06-18   ${\displaystyle \cong }$
Solving optimization problems with unknown parameters often requires learning a predictive model to predict the values of the unknown parameters and then solving the problem using these values. Recent work has shown that including the optimization problem as a layer in the model training pipeline results in predictions of the unobserved parameters that lead to higher decision quality. Unfortunately, this process comes at a large computational cost because the optimization problem must be solved and differentiated through in each training iteration; furthermore, it may also sometimes fail to improve solution quality due to non-smoothness issues that arise when training through a complex optimization layer. To address these shortcomings, we learn a low-dimensional surrogate model of a large optimization problem by representing the feasible space in terms of meta-variables, each of which is a linear combination of the original variables. By training a low-dimensional surrogate model end-to-end, and jointly with the predictive model, we achieve: i) a large reduction in training and inference time; and ii) improved performance by focusing attention on the more important variables in the optimization and learning in a smoother space. Empirically, we demonstrate these improvements on a non-convex adversary modeling task, a submodular recommendation task and a convex portfolio optimization task.
 
Learning Convex Optimization Models2020-06-18   ${\displaystyle \cong }$
A convex optimization model predicts an output from an input by solving a convex optimization problem. The class of convex optimization models is large, and includes as special cases many well-known models like linear and logistic regression. We propose a heuristic for learning the parameters in a convex optimization model given a dataset of input-output pairs, using recently developed methods for differentiating the solution of a convex optimization problem with respect to its parameters. We describe three general classes of convex optimization models, maximum a posteriori (MAP) models, utility maximization models, and agent models, and present a numerical experiment for each.
 
Oracle-Based Robust Optimization via Online Learning2014-02-25   ${\displaystyle \cong }$
Robust optimization is a common framework in optimization under uncertainty when the problem parameters are not known, but it is rather known that the parameters belong to some given uncertainty set. In the robust optimization framework the problem solved is a min-max problem where a solution is judged according to its performance on the worst possible realization of the parameters. In many cases, a straightforward solution of the robust optimization problem of a certain type requires solving an optimization problem of a more complicated type, and in some cases even NP-hard. For example, solving a robust conic quadratic program, such as those arising in robust SVM, ellipsoidal uncertainty leads in general to a semidefinite program. In this paper we develop a method for approximately solving a robust optimization problem using tools from online convex optimization, where in every stage a standard (non-robust) optimization program is solved. Our algorithms find an approximate robust solution using a number of calls to an oracle that solves the original (non-robust) problem that is inversely proportional to the square of the target accuracy.
 
Learning the Solution Manifold in Optimization and Its Application in Motion Planning2020-07-24   ${\displaystyle \cong }$
Optimization is an essential component for solving problems in wide-ranging fields. Ideally, the objective function should be designed such that the solution is unique and the optimization problem can be solved stably. However, the objective function used in a practical application is usually non-convex, and sometimes it even has an infinite set of solutions. To address this issue, we propose to learn the solution manifold in optimization. We train a model conditioned on the latent variable such that the model represents an infinite set of solutions. In our framework, we reduce this problem to density estimation by using importance sampling, and the latent representation of the solutions is learned by maximizing the variational lower bound. We apply the proposed algorithm to motion-planning problems, which involve the optimization of high-dimensional parameters. The experimental results indicate that the solution manifold can be learned with the proposed algorithm, and the trained model represents an infinite set of homotopic solutions for motion-planning problems.
 
Optimizing Wireless Systems Using Unsupervised and Reinforced-Unsupervised Deep Learning2020-01-03   ${\displaystyle \cong }$
Resource allocation and transceivers in wireless networks are usually designed by solving optimization problems subject to specific constraints, which can be formulated as variable or functional optimization. If the objective and constraint functions of a variable optimization problem can be derived, standard numerical algorithms can be applied for finding the optimal solution, which however incur high computational cost when the dimension of the variable is high. To reduce the on-line computational complexity, learning the optimal solution as a function of the environment's status by deep neural networks (DNNs) is an effective approach. DNNs can be trained under the supervision of optimal solutions, which however, is not applicable to the scenarios without models or for functional optimization where the optimal solutions are hard to obtain. If the objective and constraint functions are unavailable, reinforcement learning can be applied to find the solution of a functional optimization problem, which is however not tailored to optimization problems in wireless networks. In this article, we introduce unsupervised and reinforced-unsupervised learning frameworks for solving both variable and functional optimization problems without the supervision of the optimal solutions. When the mathematical model of the environment is completely known and the distribution of environment's status is known or unknown, we can invoke unsupervised learning algorithm. When the mathematical model of the environment is incomplete, we introduce reinforced-unsupervised learning algorithms that learn the model by interacting with the environment. Our simulation results confirm the applicability of these learning frameworks by taking a user association problem as an example.
 
Learning to Optimize Under Constraints with Unsupervised Deep Neural Networks2021-01-03   ${\displaystyle \cong }$
In this paper, we propose a machine learning (ML) method to learn how to solve a generic constrained continuous optimization problem. To the best of our knowledge, the generic methods that learn to optimize, focus on unconstrained optimization problems and those dealing with constrained problems are not easy-to-generalize. This approach is quite useful in optimization tasks where the problem's parameters constantly change and require resolving the optimization task per parameter update. In such problems, the computational complexity of optimization algorithms such as gradient descent or interior point method preclude near-optimal designs in real-time applications. In this paper, we propose an unsupervised deep learning (DL) solution for solving constrained optimization problems in real-time by relegating the main computation load to offline training phase. This paper's main contribution is proposing a method for enforcing the equality and inequality constraints to the DL-generated solutions for generic optimization tasks.
 
Parameter Tuning for Self-optimizing Software at Scale2019-09-09   ${\displaystyle \cong }$
Efficiency of self-optimizing systems is heavily dependent on their optimization strategies, e.g., choosing exact or approximate solver. A choice of such a strategy, in turn, is influenced by numerous factors, such as re-optimization time, size of the problem, optimality constraints, etc. Exact solvers are domain-independent and can guarantee optimality but suffer from scaling, while approximate solvers offer a "good-enough" solution in exchange for a lack of generality and parameter-dependence. In this paper we discuss the trade-offs between exact and approximate optimizers for solving a quality-based software selection and hardware mapping problem from the scalability perspective. We show that even a simple heuristic can compete with thoroughly developed exact solvers under condition of an effective parameter tuning. Moreover, we discuss robustness of the obtained algorithm's configuration. Last but not least, we present a software product line for parameter tuning, which comprise the main features of this process and can serve as a platform for further research in the area of parameter tuning.
 
Warm Starting Bayesian Optimization2016-08-11   ${\displaystyle \cong }$
We develop a framework for warm-starting Bayesian optimization, that reduces the solution time required to solve an optimization problem that is one in a sequence of related problems. This is useful when optimizing the output of a stochastic simulator that fails to provide derivative information, for which Bayesian optimization methods are well-suited. Solving sequences of related optimization problems arises when making several business decisions using one optimization model and input data collected over different time periods or markets. While many gradient-based methods can be warm started by initiating optimization at the solution to the previous problem, this warm start approach does not apply to Bayesian optimization methods, which carry a full metamodel of the objective function from iteration to iteration. Our approach builds a joint statistical model of the entire collection of related objective functions, and uses a value of information calculation to recommend points to evaluate.
 
Augmenting High-dimensional Nonlinear Optimization with Conditional GANs2021-02-20   ${\displaystyle \cong }$
Many mathematical optimization algorithms fail to sufficiently explore the solution space of high-dimensional nonlinear optimization problems due to the curse of dimensionality. This paper proposes generative models as a complement to optimization algorithms to improve performance in problems with high dimensionality. To demonstrate this method, a conditional generative adversarial network (C-GAN) is used to augment the solutions produced by a genetic algorithm (GA) for a 311-dimensional nonconvex multi-objective mixed-integer nonlinear optimization. The C-GAN, composed of two networks with three fully connected hidden layers, is trained on solutions generated by the GA, and then given sets of desired labels (i.e., objective function values), generates complementary solutions corresponding to those labels. Six experiments are conducted to evaluate the capabilities of the proposed method. The generated complementary solutions are compared to the original solutions in terms of optimality and diversity. The generative model generates solutions with objective functions up to 100% better, and with hypervolumes up to 100% higher, than the original solutions. These findings show that a C-GAN with even a simple training approach and simple architecture can highly improve the diversity and optimality of solutions found by an optimization algorithm for a high-dimensional nonlinear optimization problem.
 
Slowly Varying Regression under Sparsity2021-02-21   ${\displaystyle \cong }$
We consider the problem of parameter estimation in slowly varying regression models with sparsity constraints. We formulate the problem as a mixed integer optimization problem and demonstrate that it can be reformulated exactly as a binary convex optimization problem through a novel exact relaxation. The relaxation utilizes a new equality on Moore-Penrose inverses that convexifies the non-convex objective function while coinciding with the original objective on all feasible binary points. This allows us to solve the problem significantly more efficiently and to provable optimality using a cutting plane-type algorithm. We develop a highly optimized implementation of such algorithm, which substantially improves upon the asymptotic computational complexity of a straightforward implementation. We further develop a heuristic method that is guaranteed to produce a feasible solution and, as we empirically illustrate, generates high quality warm-start solutions for the binary optimization problem. We show, on both synthetic and real-world datasets, that the resulting algorithm outperforms competing formulations in comparable times across a variety of metrics including out-of-sample predictive performance, support recovery accuracy, and false positive rate. The algorithm enables us to train models with 10,000s of parameters, is robust to noise, and able to effectively capture the underlying slowly changing support of the data generating process.
 
Neural Process for Black-Box Model Optimization Under Bayesian Framework2021-04-03   ${\displaystyle \cong }$
There are a large number of optimization problems in physical models where the relationships between model parameters and outputs are unknown or hard to track. These models are named as black-box models in general because they can only be viewed in terms of inputs and outputs, without knowledge of the internal workings. Optimizing the black-box model parameters has become increasingly expensive and time consuming as they have become more complex. Hence, developing effective and efficient black-box model optimization algorithms has become an important task. One powerful algorithm to solve such problem is Bayesian optimization, which can effectively estimates the model parameters that lead to the best performance, and Gaussian Process (GP) has been one of the most widely used surrogate model in Bayesian optimization. However, the time complexity of GP scales cubically with respect to the number of observed model outputs, and GP does not scale well with large parameter dimension either. Consequently, it has been challenging for GP to optimize black-box models that need to query many observations and/or have many parameters. To overcome the drawbacks of GP, in this study, we propose a general Bayesian optimization algorithm that employs a Neural Process (NP) as the surrogate model to perform black-box model optimization, namely, Neural Process for Bayesian Optimization (NPBO). In order to validate the benefits of NPBO, we compare NPBO with four benchmark approaches on a power system parameter optimization problem and a series of seven benchmark Bayesian optimization problems. The results show that the proposed NPBO performs better than the other four benchmark approaches on the power system parameter optimization problem and competitively on the seven benchmark problems.
 
Randomized Stochastic Variance-Reduced Methods for Stochastic Bilevel Optimization2021-05-05   ${\displaystyle \cong }$
In this paper, we consider non-convex stochastic bilevel optimization (SBO) problems that have many applications in machine learning. Although numerous studies have proposed stochastic algorithms for solving these problems, they are limited in two perspectives: (i) their sample complexities are high, which do not match the state-of-the-art result for non-convex stochastic optimization; (ii) their algorithms are tailored to problems with only one lower-level problem. When there are many lower-level problems, it could be prohibitive to process all these lower-level problems at each iteration. To address these limitations, this paper proposes fast randomized stochastic algorithms for non-convex SBO problems. First, we present a stochastic method for non-convex SBO with only one lower problem and establish its sample complexity of $O(1/?^3)$ for finding an $?$-stationary point under appropriate conditions, matching the lower bound for stochastic smooth non-convex optimization. Second, we present a randomized stochastic method for non-convex SBO with $m>1$ lower level problems by processing only one lower problem at each iteration, and establish its sample complexity no worse than $O(m/?^3)$, which could have a better complexity than simply processing all $m$ lower problems at each iteration. To the best of our knowledge, this is the first work considering SBO with many lower level problems and establishing state-of-the-art sample complexity.
 
Differentially Private Convex Optimization with Feasibility Guarantees2020-06-22   ${\displaystyle \cong }$
This paper develops a novel differentially private framework to solve convex optimization problems with sensitive optimization data and complex physical or operational constraints. Unlike standard noise-additive algorithms, that act primarily on the problem data, objective or solution, and disregard the problem constraints, this framework requires the optimization variables to be a function of the noise and exploits a chance-constrained problem reformulation with formal feasibility guarantees. The noise is calibrated to provide differential privacy for identity and linear queries on the optimization solution. For many applications, including resource allocation problems, the proposed framework provides a trade-off between the expected optimality loss and the variance of optimization results.
 
Algorithms for solving optimization problems arising from deep neural net models: nonsmooth problems2018-06-30   ${\displaystyle \cong }$
Machine Learning models incorporating multiple layered learning networks have been seen to provide effective models for various classification problems. The resulting optimization problem to solve for the optimal vector minimizing the empirical risk is, however, highly nonconvex. This alone presents a challenge to application and development of appropriate optimization algorithms for solving the problem. However, in addition, there are a number of interesting problems for which the objective function is non- smooth and nonseparable. In this paper, we summarize the primary challenges involved, the state of the art, and present some numerical results on an interesting and representative class of problems.
 
Integration of AI and mechanistic modeling in generative adversarial networks for stochastic inverse problems2020-09-17   ${\displaystyle \cong }$
The problem of finding distributions of input parameters for deterministic mechanistic models to match distributions of model outputs to stochastic observations, i.e., the "Stochastic Inverse Problem" (SIP), encompasses a range of common tasks across a variety of scientific disciplines. Here, we demonstrate that SIP could be reformulated as a constrained optimization problem and adapted for applications in intervention studies to simultaneously infer model input parameters for two sets of observations, under control conditions and under an intervention. In the constrained optimization problem, the solution of SIP is enforced to accommodate the prior knowledge on the model input parameters and to produce outputs consistent with given observations by minimizing the divergence between the inferred distribution of input parameters and the prior. Unlike in standard SIP, the prior incorporates not only knowledge about model input parameters for objects in each set, but also information on the joint distribution or the deterministic map between the model input parameters in two sets of observations. To solve standard and intervention SIP, we employed conditional generative adversarial networks (GANs) and designed novel GANs that incorporate multiple generators and discriminators and have structures that reflect the underlying constrained optimization problems. This reformulation allows us to build computationally scalable solutions to tackle complex model input parameter inference scenarios, which appear routinely in physics, biophysics, economics and other areas, and which currently could not be handled with existing methods.
 
Parameterless Stochastic Natural Gradient Method for Discrete Optimization and its Application to Hyper-Parameter Optimization for Neural Network2018-09-17   ${\displaystyle \cong }$
Black box discrete optimization (BBDO) appears in wide range of engineering tasks. Evolutionary or other BBDO approaches have been applied, aiming at automating necessary tuning of system parameters, such as hyper parameter tuning of machine learning based systems when being installed for a specific task. However, automation is often jeopardized by the need of strategy parameter tuning for BBDO algorithms. An expert with the domain knowledge must undergo time-consuming strategy parameter tuning. This paper proposes a parameterless BBDO algorithm based on information geometric optimization, a recent framework for black box optimization using stochastic natural gradient. Inspired by some theoretical implications, we develop an adaptation mechanism for strategy parameters of the stochastic natural gradient method for discrete search domains. The proposed algorithm is evaluated on commonly used test problems. It is further extended to two examples of simultaneous optimization of the hyper parameters and the connection weights of deep learning models, leading to a faster optimization than the existing approaches without any effort of parameter tuning.
 
Principal Component Analysis Applied to Gradient Fields in Band Gap Optimization Problems for Metamaterials2021-04-04   ${\displaystyle \cong }$
A promising technique for the spectral design of acoustic metamaterials is based on the formulation of suitable constrained nonlinear optimization problems. Unfortunately, the straightforward application of classical gradient-based iterative optimization algorithms to the numerical solution of such problems is typically highly demanding, due to the complexity of the underlying physical models. Nevertheless, supervised machine learning techniques can reduce such a computational effort, e.g., by replacing the original objective functions of such optimization problems with more-easily computable approximations. In this framework, the present article describes the application of a related unsupervised machine learning technique, namely, principal component analysis, to approximate the gradient of the objective function of a band gap optimization problem for an acoustic metamaterial, with the aim of making the successive application of a gradient-based iterative optimization algorithm faster. Numerical results show the effectiveness of the proposed method.
 
A Kernel Mean Embedding Approach to Reducing Conservativeness in Stochastic Programming and Control2020-04-22   ${\displaystyle \cong }$
We apply kernel mean embedding methods to sample-based stochastic optimization and control. Specifically, we use the reduced-set expansion method as a way to discard sampled scenarios. The effect of such constraint removal is improved optimality and decreased conservativeness. This is achieved by solving a distributional-distance-regularized optimization problem. We demonstrated this optimization formulation is well-motivated in theory, computationally tractable and effective in numerical algorithms.
 
Training Auto-encoder-based Optimizers for Terahertz Image Reconstruction2019-10-29   ${\displaystyle \cong }$
Terahertz (THz) sensing is a promising imaging technology for a wide variety of different applications. Extracting the interpretable and physically meaningful parameters for such applications, however, requires solving an inverse problem in which a model function determined by these parameters needs to be fitted to the measured data. Since the underlying optimization problem is nonconvex and very costly to solve, we propose learning the prediction of suitable parameters from the measured data directly. More precisely, we develop a model-based autoencoder in which the encoder network predicts suitable parameters and the decoder is fixed to a physically meaningful model function, such that we can train the encoding network in an unsupervised way. We illustrate numerically that the resulting network is more than 140 times faster than classical optimization techniques while making predictions with only slightly higher objective values. Using such predictions as starting points of local optimization techniques allows us to converge to better local minima about twice as fast as optimization without the network-based initialization.