Stochastic Gradient Descent has been widely studied with classification accuracy as a performance measure. However, these stochastic algorithms cannot be directly used when non-decomposable pairwise performance measures are used such as Area under the ROC curve (AUC) which is a common performance metric when the classes are imbalanced. There have been several algorithms proposed for optimizing AUC as a performance metric, and one of the recent being a stochastic proximal gradient algorithm (SPAM). But the downside of the stochastic methods is that they suffer from high variance leading to slower convergence. To combat this issue, several variance reduced methods have been proposed with faster convergence guarantees than vanilla stochastic gradient descent. Again, these variance reduced methods are not directly applicable when non-decomposable performance measures are used. In this paper, we develop a Variance Reduced Stochastic Proximal algorithm for AUC Maximization (\textsc{VRSPAM}) and perform a theoretical analysis as well as empirical analysis to show that our algorithm converges faster than SPAM which is the previous state-of-the-art for the AUC maximization problem.

We introduce a distributionally robust minimium mean square error estimation model with a Wasserstein ambiguity set to recover an unknown signal from a noisy observation. The proposed model can be viewed as a zero-sum game between a statistician choosing an estimator---that is, a measurable function of the observation---and a fictitious adversary choosing a prior---that is, a pair of signal and noise distributions ranging over independent Wasserstein balls---with the goal to minimize and maximize the expected squared estimation error, respectively. We show that if the Wasserstein balls are centered at normal distributions, then the zero-sum game admits a Nash equilibrium, where the players' optimal strategies are given by an {\em affine} estimator and a {\em normal} prior, respectively. We further prove that this Nash equilibrium can be computed by solving a tractable convex program. Finally, we develop a Frank-Wolfe algorithm that can solve this convex program orders of magnitude faster than state-of-the-art general purpose solvers. We show that this algorithm enjoys a linear convergence rate and that its direction-finding subproblems can be solved in quasi-closed form.

We introduce a training method for both better word representation and performance, which we call GROVER (Gradual Rumination On the Vector with maskERs). The method is to gradually and iteratively add random noises to word embeddings while training a model. GROVER first starts from conventional training process, and then extracts the fine-tuned representations. Next, we gradually add random noises to the word representations and repeat the training process from scratch, but initialize with the noised word representations. Through the re-training process, we can mitigate some noises to be compensated and utilize other noises to learn better representations. As a result, we can get word representations further fine-tuned and specialized on the task. When we experiment with our method on 5 text classification datasets, our method improves model performances on most of the datasets. Moreover, we show that our method can be combined with other regularization techniques, further improving the model performance.

Convex clustering is a recent stable alternative to hierarchical clustering. It formulates the recovery of progressively coalescing clusters as a regularized convex problem. While convex clustering was originally designed for handling Euclidean distances between data points, in a growing number of applications, the data is directly characterized by a similarity matrix or weighted graph. In this paper, we extend the robust hierarchical clustering approach to these broader classes of similarities. Having defined an appropriate convex objective, the crux of this adaptation lies in our ability to provide: (a) an efficient recovery of the regularization path and (b) an empirical demonstration of the use of our method. We address the first challenge through a proximal dual algorithm, for which we characterize both the theoretical efficiency as well as the empirical performance on a set of experiments. Finally, we highlight the potential of our method by showing its application to several real-life datasets, thus providing a natural extension to the current scope of applications of convex clustering.

Deep generative priors offer powerful models for complex-structured data, such as images, audio, and text. Using these priors in inverse problems typically requires estimating the input and/or hidden signals in a multi-layer deep neural network from observation of its output. While these approaches have been successful in practice, rigorous performance analysis is complicated by the non-convex nature of the underlying optimization problems. This paper presents a novel algorithm, Multi-Layer Vector Approximate Message Passing (ML-VAMP), for inference in multi-layer stochastic neural networks. ML-VAMP can be configured to compute maximum a priori (MAP) or approximate minimum mean-squared error (MMSE) estimates for these networks. We show that the performance of ML-VAMP can be exactly predicted in a certain high-dimensional random limit. Furthermore, under certain conditions, ML-VAMP yields estimates that achieve the minimum (i.e., Bayes-optimal) MSE as predicted by the replica method. In this way, ML-VAMP provides a computationally efficient method for multi-layer inference with an exact performance characterization and testable conditions for optimality in the large-system limit.

Privacy concerns have led to the development of privacy-preserving approaches for learning models from sensitive data. Yet, in practice, even models learned with privacy guarantees can inadvertently memorize unique training examples or leak sensitive features. To identify such privacy violations, existing model auditing techniques use finite adversaries defined as machine learning models with (a) access to some finite side information (e.g., a small auditing dataset), and (b) finite capacity (e.g., a fixed neural network architecture). Our work investigates the requirements under which an unsuccessful attempt to identify privacy violations by a finite adversary implies that no stronger adversary can succeed at such a task. We do so via parameters that quantify the capabilities of the finite adversary, including the size of the neural network employed by such an adversary and the amount of side information it has access to as well as the regularity of the (perhaps privacy-guaranteeing) audited model.

Learning generative models that span multiple data modalities, such as vision and language, is often motivated by the desire to learn more useful, generalisable representations that faithfully capture common underlying factors between the modalities. In this work, we characterise successful learning of such models as the fulfillment of four criteria: i) implicit latent decomposition into shared and private subspaces, ii) coherent joint generation over all modalities, iii) coherent cross-generation across individual modalities, and iv) improved model learning for individual modalities through multi-modal integration. Here, we propose a mixture-of-experts multimodal variational autoencoder (MMVAE) to learn generative models on different sets of modalities, including a challenging image-language dataset, and demonstrate its ability to satisfy all four criteria, both qualitatively and quantitatively.

In order to improve the efficiency and sustainability of electricity systems, most countries worldwide are deploying advanced metering infrastructures, and in particular household smart meters, in the residential sector. This technology is able to record electricity load time series at a very high frequency rates, information that can be exploited to develop new clustering models to group individual households by similar consumptions patterns. To this end, in this work we propose three hierarchical clustering methodologies that allow capturing different characteristics of the time series. These are based on a set of "dissimilarity" measures computed over different features: quantile auto-covariances, and simple and partial autocorrelations. The main advantage is that they allow summarizing each time series in a few representative features so that they are computationally efficient, robust against outliers, easy to automatize, and scalable to hundreds of thousands of smart meters series. We evaluate the performance of each clustering model in a real-world smart meter dataset with thousands of half-hourly time series. The results show how the obtained clusters identify relevant consumption behaviors of households and capture part of their geo-demographic segmentation. Moreover, we apply a supervised classification procedure to explore which features are more relevant to define each cluster.

--Thermal dynamics modeling has been a critical issue in building heating, ventilation, and air-conditioning (HV AC) systems, which can significantly affect the control and maintenance strategies. Due to the uniqueness of each specific building, traditional thermal dynamics modeling approaches heavily depending on physics knowledge cannot generalize well. This study proposes a deep supervised domain adaptation (DSDA) method for thermal dynamics modeling of building indoor temperature evolution and energy consumption. A long short term memory network based Sequence to Sequence scheme is pre-trained based on a large amount of data collected from a building and then adapted to another building which has a limited amount of data by applying the model fine-tuning. We use four publicly available datasets: SML and AHU for temperature evolution, long-term datasets from two different commercial buildings, termed as Building 1 and Building 2 for energy consumption. We show that the deep supervised domain adaptation is effective to adapt the pre-trained model from one building to another building and has better predictive performance than learning from scratch with only a limited amount of data.

The growing number of low-power smart devices in the Internet of Things is coupled with the concept of "Edge Computing", that is moving some of the intelligence, especially machine learning, towards the edge of the network. Enabling machine learning algorithms to run on resource-constrained hardware, typically on low-power smart devices, is challenging in terms of hardware (optimized and energy-efficient integrated circuits), algorithmic and firmware implementations. This paper presents FANN-on-MCU, an open-source toolkit built upon the Fast Artificial Neural Network (FANN) library to run lightweight and energy-efficient neural networks on microcontrollers based on both the ARM Cortex-M series and the novel RISC-V-based Parallel Ultra-Low-Power (PULP) platform. The toolkit takes multi-layer perceptrons trained with FANN and generates code targeted at execution on low-power microcontrollers either with a floating-point unit (i.e., ARM Cortex-M4F and M7F) or without (i.e., ARM Cortex M0-M3 or PULP-based processors). This paper also provides an architectural performance evaluation of neural networks on the most popular ARM Cortex-M family and the parallel RISC-V processor called Mr. Wolf. The evaluation includes experimental results for three different applications using a self-sustainable wearable multi-sensor bracelet. Experimental results show a measured latency in the order of only a few microseconds and a power consumption of few milliwatts while keeping the memory requirements below the limitations of the targeted microcontrollers. In particular, the parallel implementation on the octa-core RISC-V platform reaches a speedup of 22x and a 69% reduction in energy consumption with respect to a single-core implementation on Cortex-M4 for continuous real-time classification.