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A primal-dual method for conic constrained distributed optimization problems

Neural Information Processing Systems

We consider cooperative multi-agent consensus optimization problems over anundirected network of agents, where only those agents connected by an edgecan directly communicate. The objective is to minimize the sum of agent-specific composite convex functions over agent-specific private conic constraintsets; hence, the optimal consensus decision should lie in the intersection of theseprivate sets. We provide convergence rates in sub-optimality, infeasibility andconsensus violation; examine the effect of underlying network topology on theconvergence rates of the proposed decentralized algorithms; and show how to ex-tend these methods to handle time-varying communication networks.


Understanding Probabilistic Sparse Gaussian Process Approximations

Neural Information Processing Systems

Good sparse approximations are essential for practical inference in Gaussian Processes as the computational cost of exact methods is prohibitive for large datasets. The Fully Independent Training Conditional (FITC) and the Variational Free Energy (VFE) approximations are two recent popular methods. Despite superficial similarities, these approximations have surprisingly different theoretical properties and behave differently in practice. We thoroughly investigate the two methods for regression both analytically and through illustrative examples, and draw conclusions to guide practical application.





Learning Sparse Gaussian Graphical Models with Overlapping Blocks

Neural Information Processing Systems

Second, GRAB blocks (Figa priorioruseasequential fixed. Thefirsttwo terms,logdet ( ) trace (S ), in Eq (3) correspondtologP(X| ), thelog-likelihoodof GGM givenaparticularparameter (i.e., anestimateof 1), asdescribedin Section 2.1.