High-dimensional time series prediction is needed in applications as diverse as demand forecasting and climatology. Often, such applications require methods that are both highly scalable, and deal with noisy data in terms of corruptions or missing values. Classical time series methods usually fall short of handling both these issues. In this paper, we propose to adapt matrix matrix completion approaches that have previously been successfully applied to large scale noisy data, but which fail to adequately model high-dimensional time series due to temporal dependencies. We present a novel temporal regularized matrix factorization (TRMF) framework which supports data-driven temporal dependency learning and enables forecasting ability to our new matrix factorization approach. TRMF is highly general, and subsumes many existing matrix factorization approaches for time series data. We make interesting connections to graph regularized matrix factorization methods in the context of learning the dependencies. Experiments on both real and synthetic data show that TRMF outperforms several existing approaches for common time series tasks.

The paper considers the problem of global optimization in the setup of stochastic process bandits. We introduce an UCB algorithm which builds a cascade of discretization trees based on generic chaining in order to render possible his operability over a continuous domain. The theoretical framework applies to functions under weak probabilistic smoothness assumptions and also extends significantly the spectrum of application of UCB strategies. Moreover generic regret bounds are derived which are then specialized to Gaussian processes indexed on infinite-dimensional spaces as well as to quadratic forms of Gaussian processes. Lower bounds are also proved in the case of Gaussian processes to assess the optimality of the proposed algorithm.

Driven by the opportunity to harvest the flexibility related to building climate control for demand response applications, this work presents a data-driven control approach building upon recent advancements in reinforcement learning. More specifically, model assisted batch reinforcement learning is applied to the setting of building climate control subjected to a dynamic pricing. The underlying sequential decision making problem is cast on a markov decision problem, after which the control algorithm is detailed. In this work, fitted Q-iteration is used to construct a policy from a batch of experimental tuples. In those regions of the state space where the experimental sample density is low, virtual support samples are added using an artificial neural network. Finally, the resulting policy is shaped using domain knowledge. The control approach has been evaluated quantitatively using a simulation and qualitatively in a living lab. From the quantitative analysis it has been found that the control approach converges in approximately 20 days to obtain a control policy with a performance within 90% of the mathematical optimum. The experimental analysis confirms that within 10 to 20 days sensible policies are obtained that can be used for different outside temperature regimes.

We study an original problem of pure exploration in a strategic bandit model motivated by Monte Carlo Tree Search. It consists in identifying the best action in a game, when the player may sample random outcomes of sequentially chosen pairs of actions. We propose two strategies for the fixed-confidence setting: Maximin-LUCB, based on lower-and upper-confidence bounds; and Maximin-Racing, which operates by successively eliminating the sub-optimal actions. We discuss the sample complexity of both methods and compare their performance empirically. We sketch a lower bound analysis, and possible connections to an optimal algorithm.

We demonstrate how quantum computation can provide non-trivial improvements in the computational and statistical complexity of the perceptron model. We develop two quantum algorithms for perceptron learning. The first algorithm exploits quantum information processing to determine a separating hyperplane using a number of steps sublinear in the number of data points $N$, namely $O(\sqrt{N})$. The second algorithm illustrates how the classical mistake bound of $O(\frac{1}{\gamma^2})$ can be further improved to $O(\frac{1}{\sqrt{\gamma}})$ through quantum means, where $\gamma$ denotes the margin. Such improvements are achieved through the application of quantum amplitude amplification to the version space interpretation of the perceptron model.

Privacy concern has been increasingly important in many machine learning (ML) problems. We study empirical risk minimization (ERM) problems under secure multi-party computation (MPC) frameworks. Main technical tools for MPC have been developed based on cryptography. One of limitations in current cryptographically private ML is that it is computationally intractable to evaluate non-linear functions such as logarithmic functions or exponential functions. Therefore, for a class of ERM problems such as logistic regression in which non-linear function evaluations are required, one can only obtain approximate solutions. In this paper, we introduce a novel cryptographically private tool called secure approximation guarantee (SAG) method. The key property of SAG method is that, given an arbitrary approximate solution, it can provide a non-probabilistic assumption-free bound on the approximation quality under cryptographically secure computation framework. We demonstrate the benefit of the SAG method by applying it to several problems including a practical privacy-preserving data analysis task on genomic and clinical information.

We propose randomized least-squares value iteration (RLSVI) -- a new reinforcement learning algorithm designed to explore and generalize efficiently via linearly parameterized value functions. We explain why versions of least-squares value iteration that use Boltzmann or epsilon-greedy exploration can be highly inefficient, and we present computational results that demonstrate dramatic efficiency gains enjoyed by RLSVI. Further, we establish an upper bound on the expected regret of RLSVI that demonstrates near-optimality in a tabula rasa learning context. More broadly, our results suggest that randomized value functions offer a promising approach to tackling a critical challenge in reinforcement learning: synthesizing efficient exploration and effective generalization.

We explore the question of whether the representations learned by classifiers can be used to enhance the quality of generative models. Our conjecture is that labels correspond to characteristics of natural data which are most salient to humans: identity in faces, objects in images, and utterances in speech. We propose to take advantage of this by using the representations from discriminative classifiers to augment the objective function corresponding to a generative model. In particular we enhance the objective function of the variational autoencoder, a popular generative model, with a discriminative regularization term. We show that enhancing the objective function in this way leads to samples that are clearer and have higher visual quality than the samples from the standard variational autoencoders.

We consider the ability of deep neural networks to represent data that lies near a low-dimensional manifold in a high-dimensional space. We show that deep networks can efficiently extract the intrinsic, low-dimensional coordinates of such data. We first show that the first two layers of a deep network can exactly embed points lying on a monotonic chain, a special type of piecewise linear manifold, mapping them to a low-dimensional Euclidean space. Remarkably, the network can do this using an almost optimal number of parameters. We also show that this network projects nearby points onto the manifold and then embeds them with little error. We then extend these results to more general manifolds.

From social science to biology, numerous applications often rely on graphlets for intuitive and meaningful characterization of networks at both the global macro-level as well as the local micro-level. While graphlets have witnessed a tremendous success and impact in a variety of domains, there has yet to be a fast and efficient approach for computing the frequencies of these subgraph patterns. However, existing methods are not scalable to large networks with millions of nodes and edges, which impedes the application of graphlets to new problems that require large-scale network analysis. To address these problems, we propose a fast, efficient, and parallel algorithm for counting graphlets of size k={3,4}-nodes that take only a fraction of the time to compute when compared with the current methods used. The proposed graphlet counting algorithms leverages a number of proven combinatorial arguments for different graphlets. For each edge, we count a few graphlets, and with these counts along with the combinatorial arguments, we obtain the exact counts of others in constant time. On a large collection of 300+ networks from a variety of domains, our graphlet counting strategies are on average 460x faster than current methods. This brings new opportunities to investigate the use of graphlets on much larger networks and newer applications as we show in the experiments. To the best of our knowledge, this paper provides the largest graphlet computations to date as well as the largest systematic investigation on over 300+ networks from a variety of domains.