This paper is concerned with a lesser-studied problem in the context of model-based, uncertainty quantification (UQ), that of optimization/design/control under uncertainty. The solution of such problems is hindered not only by the usual difficulties encountered in UQ tasks (e.g. the high computational cost of each forward simulation, the large number of random variables) but also by the need to solve a nonlinear optimization problem involving large numbers of design variables and potentially constraints. We propose a framework that is suitable for a large class of such problems and is based on the idea of recasting them as probabilistic inference tasks. To that end, we propose a Variational Bayesian (VB) formulation and an iterative VB-Expectation-Maximization scheme that is also capable of identifying a low-dimensional set of directions in the design space, along which, the objective exhibits the largest sensitivity. We demonstrate the validity of the proposed approach in the context of two numerical examples involving $\mathcal{O}(10^3)$ random and design variables. In all cases considered the cost of the computations in terms of calls to the forward model was of the order $\mathcal{O}(10^2)$. The accuracy of the approximations provided is assessed by appropriate information-theoretic metrics.

In this era of large-scale data, distributed systems built on top of clusters of commodity hardware provide cheap and reliable storage and scalable processing of massive data. Here, we review recent work on developing and implementing randomized matrix algorithms in large-scale parallel and distributed environments. Randomized algorithms for matrix problems have received a great deal of attention in recent years, thus far typically either in theory or in machine learning applications or with implementations on a single machine. Our main focus is on the underlying theory and practical implementation of random projection and random sampling algorithms for very large very overdetermined (i.e., overconstrained) $\ell_1$ and $\ell_2$ regression problems. Randomization can be used in one of two related ways: either to construct sub-sampled problems that can be solved, exactly or approximately, with traditional numerical methods; or to construct preconditioned versions of the original full problem that are easier to solve with traditional iterative algorithms. Theoretical results demonstrate that in near input-sparsity time and with only a few passes through the data one can obtain very strong relative-error approximate solutions, with high probability. Empirical results highlight the importance of various trade-offs (e.g., between the time to construct an embedding and the conditioning quality of the embedding, between the relative importance of computation versus communication, etc.) and demonstrate that $\ell_1$ and $\ell_2$ regression problems can be solved to low, medium, or high precision in existing distributed systems on up to terabyte-sized data.

This paper presents a practical, and theoretically well-founded, approach to improve the speed of kernel manifold learning algorithms relying on spectral decomposition. Utilizing recent insights in kernel smoothing and learning with integral operators, we propose Reduced Set KPCA (RSKPCA), which also suggests an easy-to-implement method to remove or replace samples with minimal effect on the empirical operator. A simple data point selection procedure is given to generate a substitute density for the data, with accuracy that is governed by a user-tunable parameter . The effect of the approximation on the quality of the KPCA solution, in terms of spectral and operator errors, can be shown directly in terms of the density estimate error and as a function of the parameter . We show in experiments that RSKPCA can improve both training and evaluation time of KPCA by up to an order of magnitude, and compares favorably to the widely-used Nystrom and density-weighted Nystrom methods.

We introduce a novel semi-supervised version of the least squares classifier. This implicitly constrained least squares (ICLS) classifier minimizes the squared loss on the labeled data among the set of parameters implied by all possible labelings of the unlabeled data. Unlike other discriminative semi-supervised methods, our approach does not introduce explicit additional assumptions into the objective function, but leverages implicit assumptions already present in the choice of the supervised least squares classifier. We show this approach can be formulated as a quadratic programming problem and its solution can be found using a simple gradient descent procedure. We prove that, in a certain way, our method never leads to performance worse than the supervised classifier. Experimental results corroborate this theoretical result in the multidimensional case on benchmark datasets, also in terms of the error rate.

Invariance to geometric transformations is a highly desirable property of automatic classifiers in many image recognition tasks. Nevertheless, it is unclear to which extent state-of-the-art classifiers are invariant to basic transformations such as rotations and translations. This is mainly due to the lack of general methods that properly measure such an invariance. In this paper, we propose a rigorous and systematic approach for quantifying the invariance to geometric transformations of any classifier. Our key idea is to cast the problem of assessing a classifier's invariance as the computation of geodesics along the manifold of transformed images. We propose the Manitest method, built on the efficient Fast Marching algorithm to compute the invariance of classifiers. Our new method quantifies in particular the importance of data augmentation for learning invariance from data, and the increased invariance of convolutional neural networks with depth. We foresee that the proposed generic tool for measuring invariance to a large class of geometric transformations and arbitrary classifiers will have many applications for evaluating and comparing classifiers based on their invariance, and help improving the invariance of existing classifiers.

Symbolic Data Analysis is based on special descriptions of data - symbolic objects (SO). Such descriptions preserve more detailed information about units and their clusters than the usual representations with mean values. A special kind of symbolic object is a representation with frequency or probability distributions (modal values). This representation enables us to consider in the clustering process the variables of all measurement types at the same time. In the paper a clustering criterion function for SOs is proposed such that the representative of each cluster is again composed of distributions of variables' values over the cluster. The corresponding leaders clustering method is based on this result. It is also shown that for the corresponding agglomerative hierarchical method a generalized Ward's formula holds. Both methods are compatible - they are solving the same clustering optimization problem. The leaders method efficiently solves clustering problems with large number of units; while the agglomerative method can be applied alone on the smaller data set, or it could be applied on leaders, obtained with compatible nonhierarchical clustering method. Such a combination of two compatible methods enables us to decide upon the right number of clusters on the basis of the corresponding dendrogram. The proposed methods were applied on different data sets. In the paper, some results of clustering of ESS data are presented.

Most of machine learning deals with vector parameters. Ideally we would like to take higher order information into account and make use of matrix or even tensor parameters. However the resulting algorithms are usually inefficient. Here we address on-line learning with matrix parameters. It is often easy to obtain online algorithm with good generalization performance if you eigendecompose the current parameter matrix in each trial (at a cost of $O(n^3)$ per trial). Ideally we want to avoid the decompositions and spend $O(n^2)$ per trial, i.e. linear time in the size of the matrix data. There is a core trade-off between the running time and the generalization performance, here measured by the regret of the on-line algorithm (total gain of the best off-line predictor minus the total gain of the on-line algorithm). We focus on the key matrix problem of rank $k$ Principal Component Analysis in $\mathbb{R}^n$ where $k \ll n$. There are $O(n^3)$ algorithms that achieve the optimum regret but require eigendecompositions. We develop a simple algorithm that needs $O(kn^2)$ per trial whose regret is off by a small factor of $O(n^{1/4})$. The algorithm is based on the Follow the Perturbed Leader paradigm. It replaces full eigendecompositions at each trial by the problem finding $k$ principal components of the current covariance matrix that is perturbed by Gaussian noise.

One of the limiting factors of using support vector machines (SVMs) in large scale applications are their super-linear computational requirements in terms of the number of training samples. To address this issue, several approaches that train SVMs on many small chunks of large data sets separately have been proposed in the literature. So far, however, almost all these approaches have only been empirically investigated. In addition, their motivation was always based on computational requirements. In this work, we consider a localized SVM approach based upon a partition of the input space. For this local SVM, we derive a general oracle inequality. Then we apply this oracle inequality to least squares regression using Gaussian kernels and deduce local learning rates that are essentially minimax optimal under some standard smoothness assumptions on the regression function. This gives the first motivation for using local SVMs that is not based on computational requirements but on theoretical predictions on the generalization performance. We further introduce a data-dependent parameter selection method for our local SVM approach and show that this method achieves the same learning rates as before. Finally, we present some larger scale experiments for our localized SVM showing that it achieves essentially the same test performance as a global SVM for a fraction of the computational requirements. In addition, it turns out that the computational requirements for the local SVMs are similar to those of a vanilla random chunk approach, while the achieved test errors are significantly better.

Mixture models are powerful statistical models used in many applications ranging from density estimation to clustering and classification. When dealing with mixture models, there are many issues that the experimenter should be aware of and needs to solve. The MixEst toolbox is a powerful and user-friendly package for MATLAB that implements several state-of-the-art approaches to address these problems. Additionally, MixEst gives the possibility of using manifold optimization for fitting the density model, a feature specific to this toolbox. MixEst simplifies using and integration of mixture models in statistical models and applications. For developing mixture models of new densities, the user just needs to provide a few functions for that statistical distribution and the toolbox takes care of all the issues regarding mixture models. MixEst is available at visionlab.ut.ac.ir/mixest and is fully documented and is licensed under GPL.

We introduce incremental variational inference and apply it to latent Dirichlet allocation (LDA). Incremental variational inference is inspired by incremental EM and provides an alternative to stochastic variational inference. Incremental LDA can process massive document collections, does not require to set a learning rate, converges faster to a local optimum of the variational bound and enjoys the attractive property of monotonically increasing it. We study the performance of incremental LDA on large benchmark data sets. We further introduce a stochastic approximation of incremental variational inference which extends to the asynchronous distributed setting. The resulting distributed algorithm achieves comparable performance as single host incremental variational inference, but with a significant speed-up.