In this work, we study the problem of online optimization of piecewise Lipschitz functions with semi-bandit feedback. This challenging class of non-convex optimization problems often arises in algorithm selection problems for combinatorial settings, where the goal is to find the best algorithm from a large algorithm family for a specific application domain. In these settings, each evaluation of the loss functions in the optimization problem can be computationally expensive, often requiring the learner to run a combinatorial algorithm to measure its performance. Combined with the fact that small differences between similar algorithms in the family can lead to cascading changes in algorithm behavior, efficient online optimization in these settings is a challenging problem. However, we show that in many applications, evaluating the loss function for one algorithm choice can sometimes reveal the loss for a range of similar algorithms, essentially for free. We develop online optimization algorithms capable of using this kind of extra information by working in the semi-bandit feedback setting. Our algorithms achieve regret bounds that are essentially as good as algorithms under full-information feedback and are significantly more computationally efficient. We apply our semi-bandit optimization results to obtain online algorithm selection procedures for two rich families of combinatorial algorithms. We provide the first provable guarantees for online algorithm selection for clustering problems using a family of clustering algorithms containing classic linkage procedures. We also show how to select algorithms from a family of greedy knapsack algorithms with simultaneously lower computational complexity and stronger regret bounds than the best algorithm selection procedures from prior work.

There are many problems in machine learning and data mining which are equivalent to selecting a non-redundant, high "quality" set of objects. Recommender systems, feature selection, and data summarization are among many applications of this. In this paper, we consider this problem as an optimization problem that seeks to maximize the sum of a sum-sum diversity function and a non-negative monotone submodular function. The diversity function addresses the redundancy, and the submodular function controls the predictive quality. We consider the problem in big data settings (in other words, distributed and streaming settings) where the data cannot be stored on a single machine or the process time is too high for a single machine. We show that a greedy algorithm achieves a constant factor approximation of the optimal solution in these settings. Moreover, we formulate the multi-label feature selection problem as such an optimization problem. This formulation combined with our algorithm leads to the first distributed multi-label feature selection method. We compare the performance of this method with centralized multi-label feature selection methods in the literature, and we show that its performance is comparable or in some cases is even better than current centralized multi-label feature selection methods.

This paper addresses the problem of learning the optimal control policy for a nonlinear stochastic dynamical system with continuous state space, continuous action space and unknown dynamics. This class of problems are typically addressed in stochastic adaptive control and reinforcement learning literature using model-based and model-free approaches respectively. Both methods rely on solving a dynamic programming problem, either directly or indirectly, for finding the optimal closed loop control policy. The inherent `curse of dimensionality' associated with dynamic programming method makes these approaches also computationally difficult. This paper proposes a novel decoupled data-based control (D2C) algorithm that addresses this problem using a decoupled, `open loop - closed loop', approach. First, an open-loop deterministic trajectory optimization problem is solved using a black-box simulation model of the dynamical system. Then, a closed loop control is developed around this open loop trajectory by linearization of the dynamics about this nominal trajectory. By virtue of linearization, a linear quadratic regulator based algorithm can be used for this closed loop control. We show that the performance of D2C algorithm is approximately optimal. Moreover, simulation performance suggests significant reduction in training time compared to other state of the art algorithms.

Real-world optimization problems often have expensive objective functions in terms of cost and time. It is desirable to find near-optimal solutions with very few function evaluations. Surrogate-assisted optimizers tend to reduce the required number of function evaluations by replacing the real function with an efficient mathematical model built on few evaluated points. Problems with a high condition number are a challenge for many surrogate-assisted optimizers including SACOBRA. To address such problems we propose a new online whitening operating in the black-box optimization paradigm. We show on a set of high-conditioning functions that online whitening tackles SACOBRA's early stagnation issue and reduces the optimization error by a factor between 10 to 1e12 as compared to the plain SACOBRA, though it imposes many extra function evaluations. Covariance matrix adaptation evolution strategy (CMA-ES) has for very high numbers of function evaluations even lower errors, whereas SACOBRA performs better in the expensive setting (less than 1e03 function evaluations). If we count all parallelizable function evaluations (population evaluation in CMA-ES, online whitening in our approach) as one iteration, then both algorithms have comparable strength even on the long run. This holds for problems with dimension D <= 20.

In many high-throughput experimental design settings, such as those common in biochemical engineering, batched queries are more cost effective than one-by-one sequential queries. Furthermore, it is often not possible to directly choose items to query. Instead, the experimenter specifies a set of constraints that generates a library of possible items, which are then selected stochastically. Motivated by these considerations, we investigate \emph{Batched Stochastic Bayesian Optimization} (BSBO), a novel Bayesian optimization scheme for choosing the constraints in order to guide exploration towards items with greater utility. We focus on \emph{site-saturation mutagenesis}, a prototypical setting of BSBO in biochemical engineering, and propose a natural objective function for this problem. Importantly, we show that our objective function can be efficiently decomposed as a difference of submodular functions (DS), which allows us to employ DS optimization tools to greedily identify sets of constraints that increase the likelihood of finding items with high utility. Our experimental results show that our algorithm outperforms common heuristics on both synthetic and two real protein datasets.

The ability to use data about prior decisions and their outcomes to make counterfactual inferences about how alternative decision policies might perform, is a cornerstone of intelligent behavior. It also has immense practical potential - it can enable the use of electronic medical record data to infer better treatment decisions for patients, the use of prior product recommendations to inform more effective strategies for presenting recommendations, and previously collected data from students using educational software to better teach those and future students. Such counterfactual reasoning, particularly when one is deriving decision policies that will be used to make not one but a sequence of decisions, is important since online sampling during a learning procedure is both costly and dangerous, and not practical in many of the applications above. While amply motivated, doing such counterfactual reasoning is also challenging because the data is censored - we can only observe the result of providing a particular chemotherapy treatment policy to a particular patient, not the counterfactual of if we were then to start with a radiation sequence. We focus on the problem of performing such counterfactual inferences in the context of sequential decision making in a Markov decision process (MDP).

We introduce a discriminative regression approach to supervised classification in this paper. It estimates a representation model while accounting for discriminativeness between classes, thereby enabling accurate derivation of categorical information. This new type of regression models extends existing models such as ridge, lasso, and group lasso through explicitly incorporating discriminative information. As a special case we focus on a quadratic model that admits a closed-form analytical solution. The corresponding classifier is called discriminative regression machine (DRM). Three iterative algorithms are further established for the DRM to enhance the efficiency and scalability for real applications. Our approach and the algorithms are applicable to general types of data including images, high-dimensional data, and imbalanced data. We compare the DRM with currently state-of-the-art classifiers. Our extensive experimental results show superior performance of the DRM and confirm the effectiveness of the proposed approach.

Due to its low storage cost and fast query speed, hashing has been recognized to accomplish similarity search in large-scale multimedia retrieval applications. Particularly supervised hashing has recently received considerable research attention by leveraging the label information to preserve the pairwise similarities of data points in the Hamming space. However, there still remain two crucial bottlenecks: 1) the learning process of the full pairwise similarity preservation is computationally unaffordable and unscalable to deal with big data; 2) the available category information of data are not well-explored to learn discriminative hash functions. To overcome these challenges, we propose a unified Semantic-Aware DIscrete Hashing (SADIH) framework, which aims to directly embed the transformed semantic information into the asymmetric similarity approximation and discriminative hashing function learning. Specifically, a semantic-aware latent embedding is introduced to asymmetrically preserve the full pairwise similarities while skillfully handle the cumbersome n times n pairwise similarity matrix. Meanwhile, a semantic-aware autoencoder is developed to jointly preserve the data structures in the discriminative latent semantic space and perform data reconstruction. Moreover, an efficient alternating optimization algorithm is proposed to solve the resulting discrete optimization problem. Extensive experimental results on multiple large-scale datasets demonstrate that our SADIH can clearly outperform the state-of-the-art baselines with the additional benefit of lower computational costs.

Automated hyperparameter tuning aspires to facilitate the application of machine learning for non-experts. In the literature, different optimization approaches are applied for that purpose. This paper investigates the performance of Differential Evolution for tuning hyperparameters of supervised learning algorithms for classification tasks. This empirical study involves a range of different machine learning algorithms and datasets with various characteristics to compare the performance of Differential Evolution with Sequential Model-based Algorithm Configuration (SMAC), a reference Bayesian Optimization approach. The results indicate that Differential Evolution outperforms SMAC for most datasets when tuning a given machine learning algorithm - particularly when breaking ties in a first-to-report fashion. Only for the tightest of computational budgets SMAC performs better. On small datasets, Differential Evolution outperforms SMAC by 19% (37% after tie-breaking). In a second experiment across a range of representative datasets taken from the literature, Differential Evolution scores 15% (23% after tie-breaking) more wins than SMAC.

Scalarizing functions have been widely used to convert a multiobjective optimization problem into a single objective optimization problem. However, their use in solving (computationally) expensive multi- and many-objective optimization problems in Bayesian multiobjective optimization is scarce. Scalarizing functions can play a crucial role on the quality and number of evaluations required when doing the optimization. In this article, we study and review 15 different scalarizing functions in the framework of Bayesian multiobjective optimization and build Gaussian process models (as surrogates, metamodels or emulators) on them. We use expected improvement as infill criterion (or acquisition function) to update the models. In particular, we compare different scalarizing functions and analyze their performance on several benchmark problems with different number of objectives to be optimized. The review and experiments on different functions provide useful insights when using and selecting a scalarizing function when using a Bayesian multiobjective optimization method.