We study the problem of least squares linear regression where the datapoints are dependent and are sampled from a Markov chain. We establish sharp information theoretic minimax lower bounds for this problem in terms of $\tmix$, the mixing time of the underlying Markov chain, under different noise settings. Our results establish that in general, optimization with Markovian data is strictly harder than optimization with independent data and a trivial algorithm (SGD-DD) that works with only one in every $\tmix$ samples, which are approximately independent, is minimax optimal. In fact, it is strictly better than the popular Stochastic Gradient Descent (SGD) method with constant step-size which is otherwise minimax optimal in the regression with independent data setting. Beyond a worst case analysis, we investigate whether structured datasets seen in practice such as Gaussian auto-regressive dynamics can admit more efficient optimization schemes. Surprisingly, even in this specific and natural setting, Stochastic Gradient Descent (SGD) with constant step-size is still no better than SGD-DD. Instead, we propose an algorithm based on experience replay--a popular reinforcement learning technique--that achieves a significantly better error rate. Our improved rate serves as one of the first results where an algorithm outperforms SGD-DD on an interesting Markov chain and also provides one of the first theoretical analyses to support the use of experience replay in practice.

Modern neural recording techniques allow neuroscientists to observe the spiking activity of many neurons simultaneously. Although previous work has illustrated how activity within and between known populations of neurons can be summarized by low-dimensional latent vectors, in many cases what determines a unique population may be unclear. Neurons differ in their anatomical location, but also, in their cell types and response properties. Moreover, multiple distinct populations may not be well described by a single low-dimensional, linear representation.To tackle these challenges, we develop a clustering method based on a mixture of dynamic Poisson factor analyzers (DPFA) model, with the number of clusters treated as an unknown parameter. To do the analysis of DPFA model, we propose a novel Markov chain Monte Carlo (MCMC) algorithm to efficiently sample its posterior distribution. Validating our proposed MCMC algorithm with simulations, we find that it can accurately recover the true clustering and latent states and is insensitive to the initial cluster assignments. We then apply the proposed mixture of DPFA model to multi-region experimental recordings, where we find that the proposed method can identify novel, reliable clusters of neurons based on their activity, and may, thus, be a useful tool for neural data analysis.

This work proposes a novel analysis of stochastic gradient descent (SGD) for non-convex and smooth optimization.

Communication cost is one major bottleneck for the scalability for distributed learning. One approach to reduce the communication cost is to compress the gradient during communication. However, directly compressing the gradient decelerates the convergence speed, and the resulting algorithm may diverge for biased compression. Recent work addressed this problem for stochastic gradient descent by adding back the compression error from the previous step. This idea was further extended to one class of variance reduced algorithms, where the variance of the stochastic gradient is reduced by taking a moving average over all history gradients. However, our analysis shows that just adding the previous step's compression error, as done in existing work, does not fully compensate the compression error. So, we propose ErrorCompensateX, which uses the compression error from the previous two steps. We show that ErrorCompensateX can achieve the same asymptotic convergence rate with the training without compression. Moreover, we provide a unified theoretical analysis framework for this class of variance reduced algorithms, with or without error compensation.

Federated learning (FL) faces challenges of intermittent client availability and computation/communication efficiency. As a result, only a small subset of clients can participate in FL at a given time. It is important to understand how partial client participation affects convergence, but most existing works have either considered idealized participation patterns or obtained results with non-zero optimality error for generic patterns. In this paper, we provide a unified convergence analysis for FL with arbitrary client participation. We first introduce a generalized version of federated averaging (FedAvg) that amplifies parameter updates at an interval of multiple FL rounds. Then, we present a novel analysis that captures the effect of client participation in a single term. By analyzing this term, we obtain convergence upper bounds for a wide range of participation patterns, including both non-stochastic and stochastic cases, which match either the lower bound of stochastic gradient descent (SGD) or the state-of-the-art results in specific settings. We also discuss various insights, recommendations, and experimental results.

Monte Carlo integration is a key technique for designing randomized approximation schemes for counting problems, with applications, e.g., in machine learning and statistical physics. The technique typically enables massively parallel computation, however, with the risk that some of the delegated computations contain spontaneous or adversarial errors. We present an orchestration of the computations such that the outcome is accompanied with a proof of correctness that can be verified with substantially less computational resources than it takes to run the computations from scratch with state-of-the-art algorithms. Specifically, we adopt an algebraic proof system developed in computational complexity theory, in which the proof is represented by a polynomial; evaluating the polynomial at a random point amounts to a verification of the proof with probabilistic guarantees. We give examples of known Monte Carlo estimators that admit verifiable extensions with moderate computational overhead: for the permanent of zero--one matrices, for the model count of disjunctive normal form formulas, and for the gradient of logistic regression models. We also discuss the prospects and challenges of engineering efficient verifiable approximation schemes more generally.

Owing to their stability and convergence speed, extragradient methods have become a staple for solving large-scale saddle-point problems in machine learning. The basic premise of these algorithms is the use of an extrapolation step before performing an update; thanks to this exploration step, extra-gradient methods overcome many of the non-convergence issues that plague gradient descent/ascent schemes. On the other hand, as we show in this paper, running vanilla extragradient with stochastic gradients may jeopardize its convergence, even in simple bilinear models. To overcome this failure, we investigate a double stepsize extragradient algorithm where the exploration step evolves at a more aggressive time-scale compared to the update step. We show that this modification allows the method to converge even with stochastic gradients, and we derive sharp convergence rates under an error bound condition.

In this paper, we study k-means++ and k-means||, the two most popular algorithms for the classic k-means clustering problem. We provide novel analyses and show improved approximation and bi-criteria approximation guarantees for k-means++ and k-means||. Our results give a better theoretical justification for why these algorithms perform extremely well in practice.

The loss terrains of over-parameterized neural networks have multiple global minima. However, it is well known that stochastic gradient descent (SGD) can stably converge only to minima that are sufficiently flat w.r.t.

The mean-field Langevin dynamics (MFLD) is a nonlinear generalization of the Langevin dynamics that incorporates a distribution-dependent drift, and it naturally arises from the optimization of two-layer neural networks via (noisy) gradient descent. Recent works have shown that MFLD globally minimizes an entropy-regularized convex functional in the space of measures. However, all prior analyses assumed the infinite-particle or continuous-time limit, and cannot handle stochastic gradient updates. We provide a general framework to prove a uniform-in-time propagation of chaos for MFLD that takes into account the errors due to finite-particle approximation, time-discretization, and stochastic gradient. To demonstrate the wide applicability of our framework, we establish quantitative convergence rate guarantees to the regularized global optimal solution for $(i)$ a wide range of learning problems such as mean-field neural network and MMD minimization, and $(ii)$ different gradient estimators including SGD and SVRG. Despite the generality of our results, we achieve an improved convergence rate in both the SGD and SVRG settings when specialized to the standard Langevin dynamics.