Identifying a set of homogeneous clusters in a heterogeneous dataset is one of the most important classes of problems in statistical modeling. In the realm of unsupervised partitional clustering, k-means is a very important algorithm for this. In this technical report, we develop a new k-means variant called Augmented k-means, which is a hybrid of k-means and logistic regression. During each iteration, logistic regression is used to predict the current cluster labels, and the cluster belonging probabilities are used to control the subsequent re-estimation of cluster means. Observations which can't be firmly identified into clusters are excluded from the re-estimation step. This can be valuable when the data exhibit many characteristics of real datasets such as heterogeneity, non-sphericity, substantial overlap, and high scatter. Augmented k-means frequently outperforms k-means by more accurately classifying observations into known clusters and / or converging in fewer iterations. We demonstrate this on both simulated and real datasets. Our algorithm is implemented in Python and will be available with this report.

Various problems in data analysis and statistical genetics call for recovery of a column-sparse, low-rank matrix from noisy observations. We propose ReFACTor, a simple variation of the classical Truncated Singular Value Decomposition (TSVD) algorithm. In contrast to previous sparse principal component analysis (PCA) algorithms, our algorithm can provably reveal a low-rank signal matrix better, and often significantly better, than the widely used TSVD, making it the algorithm of choice whenever column-sparsity is suspected. Empirically, we observe that ReFACTor consistently outperforms TSVD even when the underlying signal is not sparse, suggesting that it is generally safe to use ReFACTor instead of TSVD and PCA. The algorithm is extremely simple to implement and its running time is dominated by the runtime of PCA, making it as practical as standard principal component analysis.

A data filtering method for cluster analysis is proposed, based on minimizing a least squares function with a weighted $\ell_0$-norm penalty. To overcome the discontinuity of the objective function, smooth non-convex functions are employed to approximate the $\ell_0$-norm. The convergence of the global minimum points of the approximating problems towards global minimum points of the original problem is stated. The proposed method also exploits a suitable technique to choose the penalty parameter. Numerical results on synthetic and real data sets are finally provided, showing how some existing clustering methods can take advantages from the proposed filtering strategy.

We study the worst-case adaptive optimization problem with budget constraint that is useful for modeling various practical applications in artificial intelligence and machine learning. We investigate the near-optimality of greedy algorithms for this problem with both modular and non-modular cost functions. In both cases, we prove that two simple greedy algorithms are not near-optimal but the best between them is near-optimal if the utility function satisfies pointwise submodularity and pointwise cost-sensitive submodularity respectively. This implies a combined algorithm that is near-optimal with respect to the optimal algorithm that uses half of the budget. We discuss applications of our theoretical results and also report experiments comparing the greedy algorithms on the active learning problem.

We use differential equations based approaches to provide some {\it \textbf{physics}} insights into analyzing the dynamics of popular optimization algorithms in machine learning. In particular, we study gradient descent, proximal gradient descent, coordinate gradient descent, proximal coordinate gradient, and Newton's methods as well as their Nesterov's accelerated variants in a unified framework motivated by a natural connection of optimization algorithms to physical systems. Our analysis is applicable to more general algorithms and optimization problems {\it \textbf{beyond}} convexity and strong convexity, e.g. Polyak-\L ojasiewicz and error bound conditions (possibly nonconvex).

Construction of ambiguity set in robust optimization relies on the choice of divergences between probability distributions. In distribution learning, choosing appropriate probability distributions based on observed data is critical for approximating the true distribution. To improve the performance of machine learning models, there has recently been interest in designing objective functions based on Lp-Wasserstein distance rather than the classical Kullback-Leibler (KL) divergence. In this paper, we derive concentration and asymptotic results using Bregman divergence. We propose a novel asymmetric statistical divergence called Wasserstein-Bregman divergence as a generalization of L2-Wasserstein distance. We discuss how these results can be applied to the construction of ambiguity set in robust optimization.

We propose an L-BFGS optimization algorithm on Riemannian manifolds using minibatched stochastic variance reduction techniques for fast convergence with constant step sizes, without resorting to linesearch methods designed to satisfy Wolfe conditions. We provide a new convergence proof for strongly convex functions without using curvature conditions on the manifold, as well as a convergence discussion for nonconvex functions. We discuss a couple of ways to obtain the correction pairs used to calculate the product of the gradient with the inverse Hessian, and empirically demonstrate their use in synthetic experiments on computation of Karcher means for symmetric positive definite matrices and leading eigenvalues of large scale data matrices. We compare our method to VR-PCA for the latter experiment, along with Riemannian SVRG for both cases, and show strong convergence results for a range of datasets.

There is a widespread need for techniques that can discover structure from time series data. Recently introduced techniques such as Automatic Bayesian Covariance Discovery (ABCD) provide a way to find structure within a single time series by searching through a space of covariance kernels that is generated using a simple grammar. While ABCD can identify a broad class of temporal patterns, it is difficult to extend and can be brittle in practice. This paper shows how to extend ABCD by formulating it in terms of probabilistic program synthesis. The key technical ideas are to (i) represent models using abstract syntax trees for a domain-specific probabilistic language, and (ii) represent the time series model prior, likelihood, and search strategy using probabilistic programs in a sufficiently expressive language. The final probabilistic program is written in under 70 lines of probabilistic code in Venture. The paper demonstrates an application to time series clustering that involves a non-parametric extension to ABCD, experiments for interpolation and extrapolation on real-world econometric data, and improvements in accuracy over both non-parametric and standard regression baselines.

We study unsupervised generative modeling in terms of the optimal transport (OT) problem between true (but unknown) data distribution $P_X$ and the latent variable model distribution $P_G$. We show that the OT problem can be equivalently written in terms of probabilistic encoders, which are constrained to match the posterior and prior distributions over the latent space. When relaxed, this constrained optimization problem leads to a penalized optimal transport (POT) objective, which can be efficiently minimized using stochastic gradient descent by sampling from $P_X$ and $P_G$. We show that POT for the 2-Wasserstein distance coincides with the objective heuristically employed in adversarial auto-encoders (AAE) (Makhzani et al., 2016), which provides the first theoretical justification for AAEs known to the authors. We also compare POT to other popular techniques like variational auto-encoders (VAE) (Kingma and Welling, 2014). Our theoretical results include (a) a better understanding of the commonly observed blurriness of images generated by VAEs, and (b) establishing duality between Wasserstein GAN (Arjovsky and Bottou, 2017) and POT for the 1-Wasserstein distance.

We propose a novel approximate inference algorithm that approximates a target distribution by amortising the dynamics of a user-selected MCMC sampler. The idea is to initialise MCMC using samples from an approximation network, apply the MCMC operator to improve these samples, and finally use the samples to update the approximation network thereby improving its quality. This provides a new generic framework for approximate inference, allowing us to deploy highly complex, or implicitly defined approximation families with intractable densities, including approximations produced by warping a source of randomness through a deep neural network. Experiments consider image modelling with deep generative models as a challenging test for the method. Deep models trained using amortised MCMC are shown to generate realistic looking samples as well as producing diverse imputations for images with regions of missing pixels.