The amount of data available in the world is growing faster than our ability to deal with it. However, if we take advantage of the internal structure, data may become much smaller for machine learning purposes. In this paper we focus on one of the fundamental machine learning tasks, empirical risk minimization (ERM), and provide faster algorithms with the help from the clustering structure of the data. We introduce a simple notion of raw clustering that can be efficiently computed from the data, and propose two algorithms based on clustering information. Our accelerated algorithm ClusterACDM is built on a novel Haar transformation applied to the dual space of the ERM problem, and our variance-reduction based algorithm ClusterSVRG introduces a new gradient estimator using clustering. Our algorithms outperform their classical counterparts ACDM and SVRG respectively.

Neural Information Processing Systems http://nips.cc/

Neural Information Processing Systems http://nips.cc/

Neural Information Processing Systems http://nips.cc/

Fast algorithms for nearest neighbor (NN) search have in large part focused on 2 distance. Here we develop an approach for 1 distance that begins with an explicit and exactly distance-preserving embedding of the points into 22. We show how this can efficiently be combined with random-projection based methods for 2 NN search, such as locality-sensitive hashing (LSH) or random projection trees. We rigorously establish the correctness of the methodology and show by experimentation using LSH that it is competitive in practice with available alternatives.

Probabilistic techniques are central to data analysis, but different approaches can be challenging to apply, combine, and compare. This paper introduces composable generative population models (CGPMs), a computational abstraction that extends directed graphical models and can be used to describe and compose a broad class of probabilistic data analysis techniques. Examples include discriminative machine learning, hierarchical Bayesian models, multivariate kernel methods, clustering algorithms, and arbitrary probabilistic programs. We demonstrate the integration of CGPMs into BayesDB, a probabilistic programming platform that can express data analysis tasks using a modeling definition language and structured query language. The practical value is illustrated in two ways. First, the paper describes an analysis on a database of Earth satellites, which identifies records that probably violate Kepler's Third Law by composing causal probabilistic programs with nonparametric Bayes in 50 lines of probabilistic code. Second, it reports the lines of code and accuracy of CGPMs compared with baseline solutions from standard machine learning libraries.

Neural Information Processing Systems http://nips.cc/

Neural Information Processing Systems http://nips.cc/

We develop efficient solution methods for a robust empirical risk minimization problem designed to give calibrated confidence intervals on performance and provide optimal tradeoffs between bias and variance. Our methods apply to distributionally robust optimization problems proposed by Ben-Tal et al., which put more weight on observations inducing high loss via a worst-case approach over a non-parametric uncertainty set on the underlying data distribution. Our algorithm solves the resulting minimax problems with nearly the same computational cost of stochastic gradient descent through the use of several carefully designed data structures. For a sample of size n, the per-iteration cost of our method scales as O(logn), which allows us to give optimality certificates that distributionally robust optimization provides at little extra cost compared to empirical risk minimization and stochastic gradient methods.

Starting with the Thomspon sampling algorithm, recent years have seen a resurgence of interest in Bayesian algorithms for the Multi-armed Bandit (MAB) problem. These algorithms seek to exploit prior information on arm biases and while several have been shown to be regret optimal, their design has not emerged from a principled approach. In contrast, if one cared about Bayesian regret discounted over an infinite horizon at a fixed, pre-specified rate, the celebrated Gittins index theorem offers an optimal algorithm. Unfortunately, the Gittins analysis does not appear to carry over to minimizing Bayesian regret over all sufficiently large horizons and computing a Gittins index is onerous relative to essentially any incumbent index scheme for the Bayesian MAB problem. The present paper proposes a sequence of'optimistic' approximations to the Gittins index. We show that the use of these approximations in concert with the use of an increasing discount factor appears to offer a compelling alternative to state-of-the-art index schemes proposed for the Bayesian MAB problem in recent years by offering substantially improved performance with little to no additional computational overhead. In addition, we prove that the simplest of these approximations yields frequentist regret that matches the Lai-Robbins lower bound, including achieving matching constants.