Applying Bayesian optimization in problems wherein the search space is unknown is challenging. To address this problem, we propose a systematic volume expansion strategy for the Bayesian optimization. We devise a strategy to guarantee that in iterative expansions of the search space, our method can find a point whose function value within epsilon of the objective function maximum. Without the need to specify any parameters, our algorithm automatically triggers a minimal expansion required iteratively. We derive analytic expressions for when to trigger the expansion and by how much to expand. We also provide theoretical analysis to show that our method achieves epsilon-accuracy after a finite number of iterations. We demonstrate our method on both benchmark test functions and machine learning hyper-parameter tuning tasks and demonstrate that our method outperforms baselines.

Dynamic Programming (DP) provides standard algorithms to solve Markov Decision Processes. However, these algorithms generally do not optimize a scalar objective function. In this paper, we draw connections between DP and (constrained) convex optimization. Specifically, we show clear links in the algorithmic structure between three DP schemes and optimization algorithms. We link Conservative Policy Iteration to Frank-Wolfe, Mirror-Descent Modified Policy Iteration to Mirror Descent, and Politex (Policy Iteration Using Expert Prediction) to Dual Averaging. These abstract DP schemes are representative of a number of (deep) Reinforcement Learning (RL) algorithms. By highlighting these connections (most of which have been noticed earlier, but in a scattered way), we would like to encourage further studies linking RL and convex optimization, that could lead to the design of new, more efficient, and better understood RL algorithms.

Recent work has shown how to embed differentiable optimization problems (that is, problems whose solutions can be backpropagated through) as layers within deep learning architectures. This method provides a useful inductive bias for certain problems, but existing software for differentiable optimization layers is rigid and difficult to apply to new settings. In this paper, we propose an approach to differentiating through disciplined convex programs, a subclass of convex optimization problems used by domain-specific languages (DSLs) for convex optimization. We introduce disciplined parametrized programming, a subset of disciplined convex programming, and we show that every disciplined parametrized program can be represented as the composition of an affine map from parameters to problem data, a solver, and an affine map from the solver's solution to a solution of the original problem (a new form we refer to as affine-solver-affine form). We then demonstrate how to efficiently differentiate through each of these components, allowing for end-to-end analytical differentiation through the entire convex program. We implement our methodology in version 1.1 of CVXPY, a popular Python-embedded DSL for convex optimization, and additionally implement differentiable layers for disciplined convex programs in PyTorch and TensorFlow 2.0. Our implementation significantly lowers the barrier to using convex optimization problems in differentiable programs. We present applications in linear machine learning models and in stochastic control, and we show that our layer is competitive (in execution time) compared to specialized differentiable solvers from past work.

Bayesian optimization has recently emerged as a popular method for the sample-efficient optimization of expensive black-box functions. However, the application to high-dimensional problems with several thousand observations remains challenging, and on difficult problems Bayesian optimization is often not competitive with other paradigms. In this paper we take the view that this is due to the implicit homogeneity of the global probabilistic models and an overemphasized exploration that results from global acquisition. This motivates the design of a local probabilistic approach for global optimization of large-scale high-dimensional problems. We propose the $\texttt{TuRBO}$ algorithm that fits a collection of local models and performs a principled global allocation of samples across these models via an implicit bandit approach. A comprehensive evaluation demonstrates that $\texttt{TuRBO}$ outperforms state-of-the-art methods from machine learning and operations research on problems spanning reinforcement learning, robotics, and the natural sciences.

Quantum computing (QC) has gained popularity due to its unique capabilities that are quite different from that of classical computers in terms of speed and methods of operations. This paper proposes hybrid models and methods that effectively leverage the complementary strengths of deterministic algorithms and QC techniques to overcome combinatorial complexity for solving large-scale mixed-integer programming problems. Four applicatio ns, namely the molecular conformation problem, job-shop scheduling problem, manufacturin g cell formation problem, and the vehicle routing problem, are specifically addressed. Large-scale instances of these application problems across multiple scales ranging from molecular design t o logistics optimization are computationally challenging for deterministic optimization algorithms on classical computers. To address the computational challenges, hybrid QC-based algorithms are proposed and extensive computational experimental results are presented to demonstrate their applicability and efficiency. The proposed QC-based solution strategies enjoy high computatio nal efficiency in terms of solution quality and computation time, by utilizing the unique features of both classical and quantum computers.

--There is an increasing interest in a fast-growing machine learning technique called Federated Learning, in which the model training is distributed over mobile user equipments (UEs), exploiting UEs' local computation and training data. Despite its advantages in data privacy-preserving, Federated Learning (FL) still has challenges in heterogeneity across users' data and UE's characteristics. We first address the heterogeneous data challenge by proposing a FL algorithm that can bypass the independent and identically distributed (i.i.d.) UEs' data assumption for strongly convex and smooth problems. We provide the convergence rate characterizing the tradeoff between local computation rounds of UE to update its local model and global communication rounds to update the global model. We then employ the proposed FL algorithm in wireless networks as a resource allocation optimization problem that captures various tradeoffs between computation and communication latencies as well as between the Federated Learning time and UE energy consumption. Even though the wireless resource allocation problem of FL is non-convex, we exploit this problem's structure to decompose it into three sub-problems and analyze their closed-form solutions as well as insights to problem design. Finally, we illustrate the theoretical analysis for the new algorithm with T ensorflow experiments and extensive numerical results for the wireless resource allocation sub-problems. The experiment results not only verify the theoretical convergence but also show that our proposed algorithm converges significantly faster than the existing baseline approach. Index T erms --Distributed Machine Learning over Wireless Networks, Federated Learning, Optimization Decomposition. The significant increase in the number of cutting-edge mobiles and Internet of Things (IoT) devices results in the phenomenal growth of the data volume generated at the edge network. It has been predicted that in 2025 there will be 80 billion devices connected to the Internet and the global data will achieve 180 trillion gigabytes [2]. However, most of this data is privacy-sensitive in nature. It is not only risky to store this data in data centers but also costly in terms of communication. For example, location-based services such as the app Waze [3], can help users avoid heavy-traffic roads and thus reduce the congestion.

We consider the case of derivative-free algorithms for non-convex optimization, also known as zero order algorithms, that use only function evaluations rather than gradients. For a wide variety of gradient approximators based on finite differences, we establish asymptotic convergence to second order stationary points using a carefully tailored application of the Stable Manifold Theorem. Regarding efficiency, we introduce a noisy zero-order method that converges to second order stationary points, i.e avoids saddle points. Our algorithm uses only $\tilde{\mathcal{O}}(1 / \epsilon^2)$ approximate gradient calculations and, thus, it matches the converge rate guarantees of their exact gradient counterparts up to constants. In contrast to previous work, our convergence rate analysis avoids imposing additional dimension dependent slowdowns in the number of iterations required for non-convex zero order optimization.

This paper extends the formulation of Sinkhorn divergences to the unbalanced setting of arbitrary positive measures, providing both theoretical and algorithmic advances. Sinkhorn divergences leverage the entropic regularization of Optimal Transport (OT) to define geometric loss functions. They are differentiable, cheap to compute and do not suffer from the curse of dimensionality, while maintaining the geometric properties of OT, in particular they metrize the weak$^*$ convergence. Extending these divergences to the unbalanced setting is of utmost importance since most applications in data sciences require to handle both transportation and creation/destruction of mass. This includes for instance problems as diverse as shape registration in medical imaging, density fitting in statistics, generative modeling in machine learning, and particles flows involving birth/death dynamics. Our first set of contributions is the definition and the theoretical analysis of the unbalanced Sinkhorn divergences. They enjoy the same properties as the balanced divergences (classical OT), which are obtained as a special case. Indeed, we show that they are convex, differentiable and metrize the weak$^*$ convergence. Our second set of contributions studies generalized Sinkkhorn iterations, which enable a fast, stable and massively parallelizable algorithm to compute these divergences. We show, under mild assumptions, a linear rate of convergence, independent of the number of samples, i.e. which can cope with arbitrary input measures. We also highlight the versatility of this method, which takes benefit from the latest advances in term of GPU computing, for instance through the KeOps library for fast and scalable kernel operations.

Actor-critic methods, a type of model-free Reinforcement Learning, have been successfully applied to challenging tasks in continuous control, often achieving state-of-the art performance. However, wide-scale adoption of these methods in real-world domains is made difficult by their poor sample efficiency. We address this problem both theoretically and empirically. On the theoretical side, we identify two phenomena preventing efficient exploration in existing state-of-the-art algorithms such as Soft Actor Critic. First, combining a greedy actor update with a pessimistic estimate of the critic leads to the avoidance of actions that the agent does not know about, a phenomenon we call pessimistic underexploration. Second, current algorithms are directionally uninformed, sampling actions with equal probability in opposite directions from the current mean. This is wasteful, since we typically need actions taken along certain directions much more than others. To address both of these phenomena, we introduce a new algorithm, Optimistic Actor Critic, which approximates a lower and upper confidence bound on the state-action value function. This allows us to apply the principle of optimism in the face of uncertainty to perform directed exploration using the upper bound while still using the lower bound to avoid overestimation. We evaluate OAC in several challenging continuous control tasks, achieving state-of the art sample efficiency.

The performance of gradient-based optimization strategies depends heavily on the initial weights of the parametric model. Recent works show that there exist weight initializations from which optimization procedures can find the task-specific parameters faster than from uniformly random initializations, and that such a weight initialization can be learned by optimizing a specific model architecture across similar tasks via MAML (Model-Agnostic Meta-Learning). Current methods are limited to populations of classification tasks that share the same number of classes due to the static model architectures used during meta-learning. In this paper, we present HIDRA, a meta-learning approach that enables training and evaluating across tasks with any number of target variables. We show that Model-Agnostic Meta-Learning trains a distribution for all the neurons in the output layer and a specific weight initialization for the ones in the hidden layers. HIDRA explores this by learning one master neuron which is used to initialize any number of output neurons for a new task. Extensive experiments on the Miniimagenet and Omniglot data sets demonstrate that HIDRA improves over standard approaches while generalizing to tasks with any number of target variables. Moreover, our approach is shown to robustify low-capacity models in learning across complex tasks with a high number of classes for which regular MAML fails to learn any feasible initialization.