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 Optimization


Present-Biased Optimization

arXiv.org Artificial Intelligence

This paper explores the behavior of present-biased agents, that is, agents who erroneously anticipate the costs of future actions compared to their real costs. Specifically, the paper extends the original framework proposed by Akerlof (1991) for studying various aspects of human behavior related to time-inconsistent planning, including procrastination, and abandonment, as well as the elegant graph-theoretic model encapsulating this framework recently proposed by Kleinberg and Oren (2014). The benefit of this extension is twofold. First, it enables to perform fine grained analysis of the behavior of present-biased agents depending on the optimisation task they have to perform. In particular, we study covering tasks vs. hitting tasks, and show that the ratio between the cost of the solutions computed by present-biased agents and the cost of the optimal solutions may differ significantly depending on the problem constraints. Second, our extension enables to study not only underestimation of future costs, coupled with minimization problems, but also all combinations of minimization/maximization, and underestimation/overestimation. We study the four scenarios, and we establish upper bounds on the cost ratio for three of them (the cost ratio for the original scenario was known to be unbounded), providing a complete global picture of the behavior of present-biased agents, as far as optimisation tasks are concerned.


The Adaptive Dynamic Programming Toolbox

arXiv.org Artificial Intelligence

The paper develops the Adaptive Dynamic Programming Toolbox (ADPT), which solves optimal control problems for continuous-time nonlinear systems. Based on the adaptive dynamic programming technique, the ADPT computes optimal feedback controls from the system dynamics in the model-based working mode, or from measurements of trajectories of the system in the model-free working mode without the requirement of knowledge of the system model. Multiple options are provided such that the ADPT can accommodate various customized circumstances. Compared to other popular software toolboxes for optimal control, the ADPT enjoys its computational precision and speed, which is illustrated with its applications to a satellite attitude control problem.


Fast Incremental Expectation Maximization for finite-sum optimization: nonasymptotic convergence

arXiv.org Machine Learning

Fast Incremental Expectation Maximization (FIEM) is a version of the EM framework for large datasets. In this paper, we first recast FIEM and other incremental EM type algorithms in the {\em Stochastic Approximation within EM} framework. Then, we provide nonasymptotic bounds for the convergence in expectation as a function of the number of examples $n$ and of the maximal number of iterations $\kmax$. We propose two strategies for achieving an $\epsilon$-approximate stationary point, respectively with $\kmax = O(n^{2/3}/\epsilon)$ and $\kmax = O(\sqrt{n}/\epsilon^{3/2})$, both strategies relying on a random termination rule before $\kmax$ and on a constant step size in the Stochastic Approximation step. Our bounds provide some improvements on the literature. First, they allow $\kmax$ to scale as $\sqrt{n}$ which is better than $n^{2/3}$ which was the best rate obtained so far; it is at the cost of a larger dependence upon the tolerance $\epsilon$, thus making this control relevant for small to medium accuracy with respect to the number of examples $n$. Second, for the $n^{2/3}$-rate, the numerical illustrations show that thanks to an optimized choice of the step size and of the bounds in terms of quantities characterizing the optimization problem at hand, our results desig a less conservative choice of the step size and provide a better control of the convergence in expectation.


Incentivizing Routing Choices for Safe and Efficient Transportation in the Face of the COVID-19 Pandemic

arXiv.org Artificial Intelligence

The COVID-19 pandemic has severely affected many aspects of people's daily lives. While many countries are in a re-opening stage, some effects of the pandemic on people's behaviors are expected to last much longer, including how they choose between different transport options. Experts predict considerably delayed recovery of the public transport options, as people try to avoid crowded places. In turn, significant increases in traffic congestion are expected, since people are likely to prefer using their own vehicles or taxis as opposed to riskier and more crowded options such as the railway. In this paper, we propose to use financial incentives to set the tradeoff between risk of infection and congestion to achieve safe and efficient transportation networks. To this end, we formulate a network optimization problem to optimize taxi fares. For our framework to be useful in various cities and times of the day without much designer effort, we also propose a data-driven approach to learn human preferences about transport options, which is then used in our taxi fare optimization. Our user studies and simulation experiments show our framework is able to minimize congestion and risk of infection.


Latent space models for multiplex networks with shared structure

arXiv.org Machine Learning

Latent space models are frequently used for modeling single-layer networks and include many popular special cases, such as the stochastic block model and the random dot product graph. However, they are not well-developed for more complex network structures, which are becoming increasingly common in practice. Here we propose a new latent space model for multiplex networks: multiple, heterogeneous networks observed on a shared node set. Multiplex networks can represent a network sample with shared node labels, a network evolving over time, or a network with multiple types of edges. The key feature of our model is that it learns from data how much of the network structure is shared between layers and pools information across layers as appropriate. We establish identifiability, develop a fitting procedure using convex optimization in combination with a nuclear norm penalty, and prove a guarantee of recovery for the latent positions as long as there is sufficient separation between the shared and the individual latent subspaces. We compare the model to competing methods in the literature on simulated networks and on a multiplex network describing the worldwide trade of agricultural products.


Risk-Sensitive Deep RL: Variance-Constrained Actor-Critic Provably Finds Globally Optimal Policy

arXiv.org Machine Learning

While deep reinforcement learning has achieved tremendous successes in various applications, most existing works only focus on maximizing the expected value of total return and thus ignore its inherent stochasticity. Such stochasticity is also known as the aleatoric uncertainty and is closely related to the notion of risk. In this work, we make the first attempt to study risk-sensitive deep reinforcement learning under the average reward setting with the variance risk criteria. In particular, we focus on a variance-constrained policy optimization problem where the goal is to find a policy that maximizes the expected value of the long-run average reward, subject to a constraint that the long-run variance of the average reward is upper bounded by a threshold. Utilizing Lagrangian and Fenchel dualities, we transform the original problem into an unconstrained saddle-point policy optimization problem, and propose an actor-critic algorithm that iteratively and efficiently updates the policy, the Lagrange multiplier, and the Fenchel dual variable. When both the value and policy functions are represented by multi-layer overparameterized neural networks, we prove that our actor-critic algorithm generates a sequence of policies that finds a globally optimal policy at a sublinear rate.


Deep Evolutionary Learning for Molecular Design

arXiv.org Artificial Intelligence

In this paper, we propose a deep evolutionary learning (DEL) process that integrates fragment-based deep generative model and multi-objective evolutionary computation for molecular design. Our approach enables (1) evolutionary operations in the latent space of the generative model, rather than the structural space, to generate novel promising molecular structures for the next evolutionary generation, and (2) generative model fine-tuning using newly generated high-quality samples. Thus, DEL implements a data-model co-evolution concept which improves both sample population and generative model learning. Experiments on two public datasets indicate that sample population obtained by DEL exhibits improved property distributions, and dominates samples generated by multi-objective Bayesian optimization algorithms.


Fairness, Welfare, and Equity in Personalized Pricing

arXiv.org Machine Learning

We study the interplay of fairness, welfare, and equity considerations Studying the case of personalized pricing is conceptually challenging in personalized pricing based on customer features. Sellers because prices are a shared tool in drastically different are increasingly able to conduct price personalization based on domains: we consider lending/insurance, consumer goods, and public predictive modeling of demand conditional on covariates: setting provision. A crucial distinction is between value-based pricing customized interest rates, targeted discounts of consumer goods, that offers different prices to customers based on their estimated and personalized subsidies of scarce resources with positive externalities willingness to pay, and risk-based pricing which offers different like vaccines and bed nets. These different application areas prices to customers based on their estimated costs, as in lending may lead to different concerns around fairness, welfare, and equity and insurance [34]. While discrimination law is strongest in insurance on different objectives: price burdens on consumers, price envy, and lending, in lending, discrimination concerns often firm revenue, access to a good, equal access, and distributional consequences arise from individual agents providing offers from an actuariallyfair when the good in question further impacts downstream securitized rate sheet [9]. In particular, distributional concerns outcomes of interest. We conduct a comprehensive literature review regarding price optimization reflect overall concern for differentially in order to disentangle these different normative considerations adept/prepared/educated negotiating customers in insurance and propose a taxonomy of different objectives with mathematical and lending, but slight optimism in value-based pricing since lowincome definitions. We focus on observational metrics that do not assume individuals may be more price-sensitive [9]. Hence, the access to an underlying valuation distribution which is either unobserved majority of our analysis will focus on value-based pricing, which due to binary feedback or ill-defined due to overriding lends itself more readily to price optimization.


Technical Report: Flushing Strategies in Drinking Water Systems

arXiv.org Artificial Intelligence

Drinking water supply and distribution systems are critical infrastructure that has to be well maintained for the safety of the public. One important tool in the maintenance of water distribution systems (WDS) is flushing. Flushing is a process carried out in a periodic fashion to clean sediments and other contaminants in the water pipes. Given the different topographies, water composition and supply demand between WDS no single flushing strategy is suitable for all of them. In this report a non-exhaustive overview of optimization methods for flushing in WDS is given. Implementation of optimization methods for the flushing procedure and the flushing planing are presented. Suggestions are given as a possible option to optimise existing flushing planing frameworks.


Reconfigurable Intelligent Surface Assisted Mobile Edge Computing with Heterogeneous Learning Tasks

arXiv.org Artificial Intelligence

The ever-growing popularity and rapid improving of artificial intelligence (AI) have raised rethinking on the evolution of wireless networks. Mobile edge computing (MEC) provides a natural platform for AI applications since it is with rich computation resources to train machine learning (ML) models, as well as low-latency access to the data generated by mobile and internet of things (IoT) devices. In this paper, we present an infrastructure to perform ML tasks at an MEC server with the assistance of a reconfigurable intelligent surface (RIS). In contrast to conventional communication systems where the principal criterions are to maximize the throughput, we aim at maximizing the learning performance. Specifically, we minimize the maximum learning error of all participating users by jointly optimizing transmit power of mobile users, beamforming vectors of the base station (BS), and the phase-shift matrix of the RIS. An alternating optimization (AO)-based framework is proposed to optimize the three terms iteratively, where a successive convex approximation (SCA)-based algorithm is developed to solve the power allocation problem, closed-form expressions of the beamforming vectors are derived, and an alternating direction method of multipliers (ADMM)-based algorithm is designed together with an error level searching (ELS) framework to effectively solve the challenging nonconvex optimization problem of the phase-shift matrix. Simulation results demonstrate significant gains of deploying an RIS and validate the advantages of our proposed algorithms over various benchmarks. Lastly, a unified communication-training-inference platform is developed based on the CARLA platform and the SECOND network, and a use case (3D object detection in autonomous driving) for the proposed scheme is demonstrated on the developed platform.