Motivated by the poor performance of cross-validation in settings where data are scarce, we propose a novel estimator of the out-of-sample performance of a policy in data-driven optimization.Our approach exploits the optimization problem's sensitivity analysis to estimate the gradient of the optimal objective value with respect to the amount of noise in the data and uses the estimated gradient to debias the policy's in-sample performance. Unlike cross-validation techniques, our approach avoids sacrificing data for a test set, utilizes all data when training and, hence, is well-suited to settings where data are scarce. We prove bounds on the bias and variance of our estimator for optimization problems with uncertain linear objectives but known, potentially non-convex, feasible regions. For more specialized optimization problems where the feasible region is "weakly-coupled" in a certain sense, we prove stronger results. Specifically, we provide explicit high-probability bounds on the error of our estimator that hold uniformly over a policy class and depends on the problem's dimension and policy class's complexity. Our bounds show that under mild conditions, the error of our estimator vanishes as the dimension of the optimization problem grows, even if the amount of available data remains small and constant. Said differently, we prove our estimator performs well in the small-data, large-scale regime. Finally, we numerically compare our proposed method to state-of-the-art approaches through a case-study on dispatching emergency medical response services using real data. Our method provides more accurate estimates of out-of-sample performance and learns better-performing policies.

We consider a popular family of constrained optimization problems arising in machine learning that involve optimizing a non-decomposable evaluation metric with a certain thresholded form, while constraining another metric of interest. Examples of such problems include optimizing the false negative rate at a fixed false positive rate, optimizing precision at a fixed recall, optimizing the area under the precision-recall or ROC curves, etc. Our key idea is to formulate a rate-constrained optimization that expresses the threshold parameter as a function of the model parameters via the Implicit Function theorem. We show how the resulting optimization problem can be solved using standard gradient based methods. Experiments on benchmark datasets demonstrate the effectiveness of our proposed method over existing state-of-the art approaches for these problems. The code for the proposed method is available at https://github.com/google-research/google-research/tree/master/implicit_constrained_optimization .

Recently introduced distributed zeroth-order optimization (ZOO) algorithms have shown their utility in distributed reinforcement learning (RL). Unfortunately, in the gradient estimation process, almost all of them require random samples with the same dimension as the global variable and/or require evaluation of the global cost function, which may induce high estimation variance for large-scale networks. In this paper, we propose a novel distributed zeroth-order algorithm by leveraging the network structure inherent in the optimization objective, which allows each agent to estimate its local gradient by local cost evaluation independently, without use of any consensus protocol. The proposed algorithm exhibits an asynchronous update scheme, and is designed for stochastic non-convex optimization with a possibly non-convex feasible domain based on the block coordinate descent method. The algorithm is later employed as a distributed model-free RL algorithm for distributed linear quadratic regulator design, where a learning graph is designed to describe the required interaction relationship among agents in distributed learning. We provide an empirical validation of the proposed algorithm to benchmark its performance on convergence rate and variance against a centralized ZOO algorithm.

This paper tackles the short-term hydro-power unit commitment problem in a multi-reservoir system - a cascade-based operation scenario. For this, we propose a new mathematical modelling in which the goal is to maximize the total energy production of the hydro-power plant in a sub-daily operation, and, simultaneously, to maximize the total water content (volume) of reservoirs. For solving the problem, we discuss the Multi-objective Evolutionary Swarm Hybridization (MESH) algorithm, a recently proposed multi-objective swarm intelligence-based optimization method which has obtained very competitive results when compared to existing evolutionary algorithms in specific applications. The MESH approach has been applied to find the optimal water discharge and the power produced at the maximum reservoir volume for all possible combinations of turbines in a hydro-power plant. The performance of MESH has been compared with that of well-known evolutionary approaches such as NSGA-II, NSGA-III, SPEA2, and MOEA/D in a realistic problem considering data from a hydro-power energy system with two cascaded hydro-power plants in Brazil. Results indicate that MESH showed a superior performance than alternative multi-objective approaches in terms of efficiency and accuracy, providing a profit of \$412,500 per month in a projection analysis carried out.

We present a framework for the unsupervised learning of neurosymbolic encoders, i.e., encoders obtained by composing neural networks with symbolic programs from a domain-specific language. Such a framework can naturally incorporate symbolic expert knowledge into the learning process and lead to more interpretable and factorized latent representations than fully neural encoders. Also, models learned this way can have downstream impact, as many analysis workflows can benefit from having clean programmatic descriptions. We ground our learning algorithm in the variational autoencoding (VAE) framework, where we aim to learn a neurosymbolic encoder in conjunction with a standard decoder. Our algorithm integrates standard VAE-style training with modern program synthesis techniques. We evaluate our method on learning latent representations for real-world trajectory data from animal biology and sports analytics. We show that our approach offers significantly better separation than standard VAEs and leads to practical gains on downstream tasks.

Advanced tensor decomposition, such as Tensor train (TT) and Tensor ring (TR), has been widely studied for deep neural network (DNN) model compression, especially for recurrent neural networks (RNNs). However, compressing convolutional neural networks (CNNs) using TT/TR always suffers significant accuracy loss. In this paper, we propose a systematic framework for tensor decomposition-based model compression using Alternating Direction Method of Multipliers (ADMM). By formulating TT decomposition-based model compression to an optimization problem with constraints on tensor ranks, we leverage ADMM technique to systemically solve this optimization problem in an iterative way. During this procedure, the entire DNN model is trained in the original structure instead of TT format, but gradually enjoys the desired low tensor rank characteristics. We then decompose this uncompressed model to TT format and fine-tune it to finally obtain a high-accuracy TT-format DNN model. Our framework is very general, and it works for both CNNs and RNNs, and can be easily modified to fit other tensor decomposition approaches. We evaluate our proposed framework on different DNN models for image classification and video recognition tasks. Experimental results show that our ADMM-based TT-format models demonstrate very high compression performance with high accuracy. Notably, on CIFAR-100, with 2.3X and 2.4X compression ratios, our models have 1.96% and 2.21% higher top-1 accuracy than the original ResNet-20 and ResNet-32, respectively. For compressing ResNet-18 on ImageNet, our model achieves 2.47X FLOPs reduction without accuracy loss.

While clients' sampling is a central operation of current state-of-the-art federated learning (FL) approaches, the impact of this procedure on the convergence and speed of FL remains to date under-investigated. In this work we introduce a novel decomposition theorem for the convergence of FL, allowing to clearly quantify the impact of client sampling on the global model update. Contrarily to previous convergence analyses, our theorem provides the exact decomposition of a given convergence step, thus enabling accurate considerations about the role of client sampling and heterogeneity. First, we provide a theoretical ground for previously reported results on the relationship between FL convergence and the variance of the aggregation weights. Second, we prove for the first time that the quality of FL convergence is also impacted by the resulting covariance between aggregation weights. Third, we establish that the sum of the aggregation weights is another source of slow-down and should be equal to 1 to improve FL convergence speed. Our theory is general, and is here applied to Multinomial Distribution (MD) and Uniform sampling, the two default client sampling in FL, and demonstrated through a series of experiments in non-iid and unbalanced scenarios. Our results suggest that MD sampling should be used as default sampling scheme, due to the resilience to the changes in data ratio during the learning process, while Uniform sampling is superior only in the special case when clients have the same amount of data.

In the binary search space, GSA framework encounters the shortcomings of stagnation, diversity loss, premature convergence and high time complexity. To address these issues, a novel binary variant of GSA called `A novel neighbourhood archives embedded gravitational constant in GSA for binary search space (BNAGGSA)' is proposed in this paper. In BNAGGSA, the novel fitness-distance based social interaction strategy produces a self-adaptive step size mechanism through which the agent moves towards the optimal direction with the optimal step size, as per its current search requirement. The performance of the proposed algorithm is compared with the two binary variants of GSA over 23 well-known benchmark test problems. The experimental results and statistical analyses prove the supremacy of BNAGGSA over the compared algorithms. Furthermore, to check the applicability of the proposed algorithm in solving real-world applications, a windfarm layout optimization problem is considered. Two case studies with two different wind data sets of two different wind sites is considered for experiments.

Quadratic Unconstrained Binary Optimization (QUBO) is recognized as a unifying framework for modeling a wide range of problems. Problems can be solved with commercial solvers customized for solving QUBO and since QUBO have degree two, it is useful to have a method for transforming higher degree pseudo-Boolean problems to QUBO format. The standard transformation approach requires additional auxiliary variables supported by penalty terms for each higher degree term. This paper improves on the existing cubic-to-quadratic transformation approach by minimizing the number of additional variables as well as penalty coefficient. Extensive experimental testing on Max 3-SAT modeled as QUBO shows a near 100% reduction in the subproblem size used for minimization of the number of auxiliary variables.

Modeling the dynamics of epidemics helps to propose control strategies based on pharmaceuticaland non-pharmaceutical interventions (contact limitation, lockdown, vaccination,etc). Hand-designing such strategies is not trivial because of the number of possibleinterventions and the difficulty to predict long-term effects. This task can be cast as an optimization problem where state-of-the-art machine learning methods such as deep reinforcement learning might bring significant value. However, the specificity of each domain|epidemic modeling or solving optimization problems|requires strong collaborationsbetween researchers from different fields of expertise. This is why we introduce EpidemiOptim, a Python toolbox that facilitates collaborations between researchers inepidemiology and optimization. EpidemiOptim turns epidemiological models and cost functions into optimization problems via a standard interface commonly used by optimization practitioners (OpenAI Gym). Reinforcement learning algorithms based on QLearning with deep neural networks (DQN) and evolutionary algorithms (NSGA-II) are already implemented. We illustrate the use of EpidemiOptim to find optimal policies fordynamical on-o  lockdown control under the optimization of the death toll and economic recess using a Susceptible-Exposed-Infectious-Removed (SEIR) model for COVID-19. Using EpidemiOptim and its interactive visualization platform in Jupyter notebooks, epidemiologists, optimization practitioners and others (e.g. economists) can easily compare epidemiological models, costs functions and optimization algorithms to address important choicesto be made by health decision-makers. Trained models can be explored by experts and non-experts via a web interface. This article is part of the special track on AI and COVID-19.