We work towards a unifying paradigm for accelerating policy optimization methods in reinforcement learning (RL) by integrating foresight in the policy improvement step via optimistic and adaptive updates. Leveraging the connection between policy iteration and policy gradient methods, we view policy optimization algorithms as iteratively solving a sequence of surrogate objectives, local lower bounds on the original objective. We define optimism as predictive modelling of the future behavior of a policy, and adaptivity as taking immediate and anticipatory corrective actions to mitigate accumulating errors from overshooting predictions or delayed responses to change. We use this shared lens to jointly express other well-known algorithms, including model-based policy improvement based on forward search, and optimistic meta-learning algorithms. We analyze properties of this formulation, and show connections to other accelerated optimization algorithms. Then, we design an optimistic policy gradient algorithm, adaptive via meta-gradient learning, and empirically highlight several design choices pertaining to acceleration, in an illustrative task.

The integration of constrained optimization models as components in deep networks has led to promising advances on many specialized learning tasks. A central challenge in this setting is backpropagation through the solution of an optimization problem, which typically lacks a closed form. One typical strategy is algorithm unrolling, which relies on automatic differentiation through the operations of an iterative solver. While flexible and general, unrolling can encounter accuracy and efficiency issues in practice. These issues can be avoided by analytical differentiation of the optimization, but current frameworks impose rigid requirements on the optimization problem's form. This paper provides theoretical insights into the backward pass of unrolled optimization, leading to a system for generating efficiently solvable analytical models of backpropagation. Additionally, it proposes a unifying view of unrolling and analytical differentiation through optimization mappings. Experiments over various model-based learning tasks demonstrate the advantages of the approach both computationally and in terms of enhanced expressiveness.

We introduce the notion of self-concordant smoothing for minimizing the sum of two convex functions: the first is smooth and the second may be nonsmooth. Our framework results naturally from the smoothing approximation technique referred to as partial smoothing in which only a part of the nonsmooth function is smoothed. The key highlight of our approach is in a natural property of the resulting problem's structure which provides us with a variable-metric selection method and a step-length selection rule particularly suitable for proximal Newton-type algorithms. In addition, we efficiently handle specific structures promoted by the nonsmooth function, such as $\ell_1$-regularization and group-lasso penalties. We prove local quadratic convergence rates for two resulting algorithms: Prox-N-SCORE, a proximal Newton algorithm and Prox-GGN-SCORE, a proximal generalized Gauss-Newton (GGN) algorithm. The Prox-GGN-SCORE algorithm highlights an important approximation procedure which helps to significantly reduce most of the computational overhead associated with the inverse Hessian. This approximation is essentially useful for overparameterized machine learning models and in the mini-batch settings. Numerical examples on both synthetic and real datasets demonstrate the efficiency of our approach and its superiority over existing approaches.

In this paper, we investigate transfer learning in partially observable contextual bandits, where agents have limited knowledge from other agents and partial information about hidden confounders. We first convert the problem to identifying or partially identifying causal effects between actions and rewards through optimization problems. To solve these optimization problems, we discretize the original functional constraints of unknown distributions into linear constraints, and sample compatible causal models via sequentially solving linear programmings to obtain causal bounds with the consideration of estimation error. Our sampling algorithms provide desirable convergence results for suitable sampling distributions. We then show how causal bounds can be applied to improving classical bandit algorithms and affect the regrets with respect to the size of action sets and function spaces. Notably, in the task with function approximation which allows us to handle general context distributions, our method improves the order dependence on function space size compared with previous literatures. We formally prove that our causally enhanced algorithms outperform classical bandit algorithms and achieve orders of magnitude faster convergence rates. Finally, we perform simulations that demonstrate the efficiency of our strategy compared to the current state-of-the-art methods. This research has the potential to enhance the performance of contextual bandit agents in real-world applications where data is scarce and costly to obtain.

The issue of potential privacy leakage during centralized AI's model training has drawn intensive concern from the public. A Parallel and Distributed Computing (or PDC) scheme, termed Federated Learning (FL), has emerged as a new paradigm to cope with the privacy issue by allowing clients to perform model training locally, without the necessity to upload their personal sensitive data. In FL, the number of clients could be sufficiently large, but the bandwidth available for model distribution and re-upload is quite limited, making it sensible to only involve part of the volunteers to participate in the training process. The client selection policy is critical to an FL process in terms of training efficiency, the final model's quality as well as fairness. In this paper, we will model the fairness guaranteed client selection as a Lyapunov optimization problem and then a C2MAB-based method is proposed for estimation of the model exchange time between each client and the server, based on which we design a fairness guaranteed algorithm termed RBCS-F for problem-solving. The regret of RBCS-F is strictly bounded by a finite constant, justifying its theoretical feasibility. Barring the theoretical results, more empirical data can be derived from our real training experiments on public datasets.

This paper investigates quantile regression in the presence of non-convex and non-smooth sparse penalties, such as the minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD). The non-smooth and non-convex nature of these problems often leads to convergence difficulties for many algorithms. While iterative techniques like coordinate descent and local linear approximation can facilitate convergence, the process is often slow. This sluggish pace is primarily due to the need to run these approximation techniques until full convergence at each step, a requirement we term as a \emph{secondary convergence iteration}. To accelerate the convergence speed, we employ the alternating direction method of multipliers (ADMM) and introduce a novel single-loop smoothing ADMM algorithm with an increasing penalty parameter, named SIAD, specifically tailored for sparse-penalized quantile regression. We first delve into the convergence properties of the proposed SIAD algorithm and establish the necessary conditions for convergence. Theoretically, we confirm a convergence rate of $o\big({k^{-\frac{1}{4}}}\big)$ for the sub-gradient bound of augmented Lagrangian. Subsequently, we provide numerical results to showcase the effectiveness of the SIAD algorithm. Our findings highlight that the SIAD method outperforms existing approaches, providing a faster and more stable solution for sparse-penalized quantile regression.

Stationary graph process models are commonly used in the analysis and inference of data sets collected on irregular network topologies. While most of the existing methods represent graph signals with a single stationary process model that is globally valid on the entire graph, in many practical problems, the characteristics of the process may be subject to local variations in different regions of the graph. In this work, we propose a locally stationary graph process (LSGP) model that aims to extend the classical concept of local stationarity to irregular graph domains. We characterize local stationarity by expressing the overall process as the combination of a set of component processes such that the extent to which the process adheres to each component varies smoothly over the graph. We propose an algorithm for computing LSGP models from realizations of the process, and also study the approximation of LSGPs locally with WSS processes. Experiments on signal interpolation problems show that the proposed process model provides accurate signal representations competitive with the state of the art.

In this paper, we investigate the convergence properties of the stochastic gradient descent (SGD) method and its variants, especially in training neural networks built from nonsmooth activation functions. We develop a novel framework that assigns different timescales to stepsizes for updating the momentum terms and variables, respectively. Under mild conditions, we prove the global convergence of our proposed framework in both single-timescale and two-timescale cases. We show that our proposed framework encompasses a wide range of well-known SGD-type methods, including heavy-ball SGD, SignSGD, Lion, normalized SGD and clipped SGD. Furthermore, when the objective function adopts a finite-sum formulation, we prove the convergence properties for these SGD-type methods based on our proposed framework. In particular, we prove that these SGD-type methods find the Clarke stationary points of the objective function with randomly chosen stepsizes and initial points under mild assumptions. Preliminary numerical experiments demonstrate the high efficiency of our analyzed SGD-type methods.

This work is inspired by the problem of planning sequences of operations, as welding, in car manufacturing stations where multiple industrial robots cooperate. The goal is to minimize the station cycle time, \emph{i.e.} the time it takes for the last robot to finish its cycle. This is done by dispatching the tasks among the robots, and by routing and scheduling the robots in a collision-free way, such that they perform all predefined tasks. We propose an iterative and decoupled approach in order to cope with the high complexity of the problem. First, collisions among robots are neglected, leading to a min-max Multiple Generalized Traveling Salesman Problem (MGTSP). Then, when the sets of robot loads have been obtained and fixed, we sequence and schedule their tasks, with the aim to avoid conflicts. The first problem (min-max MGTSP) is solved by an exact branch and bound method, where different lower bounds are presented by combining the solutions of a min-max set partitioning problem and of a Generalized Traveling Salesman Problem (GTSP). The second problem is approached by assuming that robots move synchronously: a novel transformation of this synchronous problem into a GTSP is presented. Eventually, in order to provide complete robot solutions, we include path planning functionalities, allowing the robots to avoid collisions with the static environment and among themselves. These steps are iterated until a satisfying solution is obtained. Experimental results are shown for both problems and for their combination. We even show the results of the iterative method, applied to an industrial test case adapted from a stud welding station in a car manufacturing line.

Data-driven evolutionary algorithms usually aim to exploit the information behind a limited amount of data to perform optimization, which have proved to be successful in solving many complex real-world optimization problems. However, most data-driven evolutionary algorithms are centralized, causing privacy and security concerns. Existing federated Bayesian algorithms and data-driven evolutionary algorithms mainly protect the raw data on each client. To address this issue, this paper proposes a secure federated data-driven evolutionary multi-objective optimization algorithm to protect both the raw data and the newly infilled solutions obtained by optimizing the acquisition function conducted on the server. We select the query points on a randomly selected client at each round of surrogate update by calculating the acquisition function values of the unobserved points on this client, thereby reducing the risk of leaking the information about the solution to be sampled. In addition, since the predicted objective values of each client may contain sensitive information, we mask the objective values with Diffie-Hellmann-based noise, and then send only the masked objective values of other clients to the selected client via the server. Since the calculation of the acquisition function also requires both the predicted objective value and the uncertainty of the prediction, the predicted mean objective and uncertainty are normalized to reduce the influence of noise. Experimental results on a set of widely used multi-objective optimization benchmarks show that the proposed algorithm can protect privacy and enhance security with only negligible sacrifice in the performance of federated data-driven evolutionary optimization.