We present the elliptical processes-a new family of stochastic processes that subsumes the Gaussian process and the Student-t process. This generalization retains computational tractability while substantially increasing the range of tail behaviors that can be modeled. We base the elliptical processes on a representation of elliptical distributions as mixtures of Gaussian distributions and derive closed-form expressions for the marginal and conditional distributions. We perform an in-depth study of a particular elliptical process, where the mixture distribution is piecewise constant, and show some of its advantages over the Gaussian process through a number of experiments on robust regression. Looking forward, we believe there are several settings, e.g. when the likelihood is not Gaussian or when accurate tail modeling is critical, where the elliptical processes could become the stochastic processes of choice.

Options have been shown to be an effective tool in reinforcement learning, facilitating improved exploration and learning. In this paper, we present an approach based on spectral graph theory and derive an algorithm that systematically discovers options without access to a specific reward or task assignment. As opposed to the common practice used in previous methods, our algorithm makes full use of the spectrum of the graph Laplacian. Incorporating modes associated with higher graph frequencies unravels domain subtleties, which are shown to be useful for option discovery. Using geometric and manifold-based analysis, we present a theoretical justification for the algorithm. In addition, we showcase its performance in several domains, demonstrating clear improvements compared to competing methods.

We propose a novel method for comparing non-aligned graphs of different sizes, based on the Wasserstein distance between graph signal distributions induced by the respective graph Laplacian matrices. Specifically, we cast a new formulation for the one-to-many graph alignment problem, which aims at matching a node in the smaller graph with one or more nodes in the larger graph. By integrating optimal transport in our graph comparison framework, we generate both a structurally-meaningful graph distance, and a signal transportation plan that models the structure of graph data. The resulting alignment problem is solved with stochastic gradient descent, where we use a novel Dykstra operator to ensure that the solution is a one-to-many (soft) assignment matrix. We demonstrate the performance of our novel framework on graph alignment and graph classification, and we show that our method leads to significant improvements with respect to the state-of-the-art algorithms for each of these tasks.

The concept of a random process has been recently extended to graph signals, whereby random graph processes are a class of multivariate stochastic processes whose coefficients are matrices with a \textit{graph-topological} structure. The system identification problem of a random graph process therefore revolves around determining its underlying topology, or mathematically, the graph shift operators (GSOs) i.e. an adjacency matrix or a Laplacian matrix. In the same work that introduced random graph processes, a \textit{batch} optimization method to solve for the GSO was also proposed for the random graph process based on a \textit{causal} vertex-time autoregressive model. To this end, the online version of this optimization problem was proposed via the framework of adaptive filtering. The modified stochastic gradient projection method was employed on the regularized least squares objective to create the filter. The recursion is divided into 3 regularized sub-problems to address issues like multi-convexity, sparsity, commutativity and bias. A discussion on convergence analysis is also included. Finally, experiments are conducted to illustrate the performance of the proposed algorithm, from traditional MSE measure to successful recovery rate regardless correct values, all of which to shed light on the potential, the limit and the possible research attempt of this work.

Modern technology has not only allowed the collection of data sets of unprecedented size, but has also facilitated the real-time monitoring of many types of evolving processes of interest. Wearable health devices, astronomical survey telescopes, self-driving cars and transport network load-tracking systems are just a few examples of new technologies that collect large quantities of streaming data, and that provide new challenges and opportunities for statisticians. Very often, a key feature of interest in the monitoring of a data stream is a changepoint; that is, a moment in time at which the data generating mechanism undergoes a change. Such times often represent events of interest, e.g. a change in heart function, and moreover, the accurate identification of changepoints often facilitates the decomposition of a data stream into stationary segments. Historically, it has tended to be univariate time series that have been monitored and studied, within the well-established field of statistical process control (e.g.

Withand without-replacement sampling of the individual component functions are regarded as some of the most popular variants of SGD. During SGD with replacement sampling, the stochastic gradient is equal to g(x, ξ i) f ξi (x) and ξ i is a uniform number in {1,..., n}, i.e., a with-replacement sample from the set of gradients f 1,..., f n . In the case of without-replacement sapling, the stochastic gradient is equal to g(x, ξ i) f ξi (x) and ξ i is the i-th ordered element in a random permutation of the numbers in {1,..., n}, i.e., a without-replacement sample. In practice, SGD without replacement is much more widely used compared to its with-replacement counterpart, as it can empirically converge significantly faster [1, 2, 3]. However, in the land of theoretical guarantees, with-replacement SGD has been the focal point of convergence analyses. The reason for this is that analyzing stochastic gradients born with replacement is significantly more tractable for a simple reason: in expectation, the stochastic gradient is equal to the "true" gradient of F, i.e., E ξi f ξi (x) F (x). This makes SGD amenable to analyses very similar to that of vanilla gradient descent (GD), which has been extensively studied under a large variety of function classes and geometric assumptions, e.g., see [4]. Unfortunately, the same cannot be said for SGD without replacement, which has long resisted nonvacuous convergence guaranteess.

Bio: Pier Paolo Ippolito is a final year MSc Artificial Intelligence student at The University of Southampton. He is an AI Enthusiast, Data Scientist and RPA Developer.

This paper targets solving distributed machine learning problems such as federated learning in a communication-efficient fashion. A class of new stochastic gradient descent (SGD) approaches have been developed, which can be viewed as the stochastic generalization to the recently developed lazily aggregated gradient (LAG) method --- justifying the name LASG. LAG adaptively predicts the contribution of each round of communication and chooses only the significant ones to perform. It saves communication while also maintains the rate of convergence. However, LAG only works with deterministic gradients, and applying it to stochastic gradients yields poor performance. The key components of LASG are a set of new rules tailored for stochastic gradients that can be implemented either to save download, upload, or both. The new algorithms adaptively choose between fresh and stale stochastic gradients and have convergence rates comparable to the original SGD. LASG achieves impressive empirical performance --- it typically saves total communication by an order of magnitude.

Normalizing flows transform a simple base distribution into a complex target distribution and have proved to be powerful models for data generation and density estimation. In this work, we propose a novel type of normalizing flow driven by a differential deformation of the continuous-time Wiener process. As a result, we obtain a rich time series model whose observable process inherits many of the appealing properties of its base process, such as efficient computation of likelihoods and marginals. Furthermore, our continuous treatment provides a natural framework for irregular time series with an independent arrival process, including straightforward interpolation. We illustrate the desirable properties of the proposed model on popular stochastic processes and demonstrate its superior flexibility to variational RNN and latent ODE baselines in a series of experiments on synthetic and real-world data.

We propose a statistical adaptive procedure called SALSA for automatically scheduling the learning rate (step size) in stochastic gradient methods. SALSA first uses a smoothed stochastic line-search procedure to gradually increase the learning rate, then automatically switches to a statistical method to decrease the learning rate. The line search procedure ``warms up'' the optimization process, reducing the need for expensive trial and error in setting an initial learning rate. The method for decreasing the learning rate is based on a new statistical test for detecting stationarity when using a constant step size. Unlike in prior work, our test applies to a broad class of stochastic gradient algorithms without modification. The combined method is highly robust and autonomous, and it matches the performance of the best hand-tuned learning rate schedules in our experiments on several deep learning tasks.