The hyperbolic manifold is a smooth manifold of negative constant curvature. While the hyperbolic manifold is well-studied in the literature, it has gained interest in the machine learning and natural language processing communities lately due to its usefulness in modeling continuous hierarchies. Tasks with hierarchical structures are ubiquitous in those fields and there is a general interest to learning hyperbolic representations or embeddings of such tasks. Additionally, these embeddings of related tasks may also share a low-rank subspace. In this work, we propose to learn hyperbolic embeddings such that they also lie in a low-dimensional subspace. In particular, we consider the problem of learning a low-rank factorization of hyperbolic embeddings. We cast these problems as manifold optimization problems and propose computationally efficient algorithms. Empirical results illustrate the efficacy of the proposed approach.

Due to the complication of the presented problem, intelligent algorithms show great power to solve the parts logistics optimization problem related to the vehicle routing problem (VRP). However, most of the existing research to VRP are incomprehensive and failed to solve a real-work parts logistics problem. In this work, towards SAIC logistics problem, we propose a systematic solution to this 2-Dimensional Loading Capacitated Multi-Depot Heterogeneous VRP with Time Windows by integrating diverse types of intelligent algorithms, including, a heuristic algorithm to initialize feasible logistics planning schemes by imitating manual planning, the core Tabu Search algorithm for global optimization, accelerated by a novel bundle technique, heuristically algorithms for routing, packing and queuing associated, and a heuristic post-optimization process to promote the optimal solution. Based on these algorithms, the SAIC Motor has successfully established an intelligent management system to give a systematic solution for the parts logistics planning, superior than manual planning in its performance, customizability and expandability.

Gaussian processes (GP) are a popular Bayesian approach for the optimization of black-box functions. Despite their effectiveness in simple problems, GP-based algorithms hardly scale to complex high-dimensional functions, as their per-iteration time and space cost is at least quadratic in the number of dimensions $d$ and iterations $t$. Given a set of $A$ alternative to choose from, the overall runtime $O(t^3A)$ quickly becomes prohibitive. In this paper, we introduce BKB (budgeted kernelized bandit), a novel approximate GP algorithm for optimization under bandit feedback that achieves near-optimal regret (and hence near-optimal convergence rate) with near-constant per-iteration complexity and no assumption on the input space or covariance of the GP. Combining a kernelized linear bandit algorithm (GP-UCB) with randomized matrix sketching technique (i.e., leverage score sampling), we prove that selecting inducing points based on their posterior variance gives an accurate low-rank approximation of the GP, preserving variance estimates and confidence intervals. As a consequence, BKB does not suffer from variance starvation, an important problem faced by many previous sparse GP approximations. Moreover, we show that our procedure selects at most $\tilde{O}(d_{eff})$ points, where $d_{eff}$ is the effective dimension of the explored space, which is typically much smaller than both $d$ and $t$. This greatly reduces the dimensionality of the problem, thus leading to a $O(TAd_{eff}^2)$ runtime and $O(A d_{eff})$ space complexity.

The Set-union Knapsack Problem (SUKP) is a generalization of the popular 0-1 knapsack problem. Given a set of weighted elements and a set of items with profits where each item is composed of a subset of elements, the SUKP involves packing a subset of items in a capacity-constrained knapsack such that the total profit of the selected items is maximized while their weights do not exceed the knapsack capacity. In this work, we present an effective iterated two-phase local search algorithm for this NP-hard combinatorial optimization problem. The proposed algorithm iterates through two search phases: a local optima exploration phase that alternates between a variable neighborhood descent search and a tabu search to explore local optimal solutions, and a local optima escaping phase to drive the search to unexplored regions. We show the competitiveness of the algorithm compared to the state-of-the-art methods in the literature. Specifically, the algorithm discovers 18 improved best results (new lower bounds) for the 30 benchmark instances and matches the best-known results for the 12 remaining instances. We also report the first computational results with the general CPLEX solver, including 6 proven optimal solutions. Finally, we investigate the effectiveness of the key ingredients of the algorithm on its performance.

We present a new algorithm ASEBO for conducting optimization of high-dimensional blackbox functions. ASEBO adapts to the geometry of the function and learns optimal sets of sensing directions, which are used to probe it, on-the-fly. It addresses the exploration-exploitation trade-off of blackbox optimization, where each single function query is expensive, by continuously learning the bias of the lower-dimensional model used to approximate gradients of smoothings of the function with compressed sensing and contextual bandits methods. To obtain this model, it uses techniques from the emerging theory of active subspaces in the novel ES blackbox optimization context. As a result, ASEBO learns the dynamically changing intrinsic dimensionality of the gradient space and adapts to the hardness of different stages of the optimization without external supervision. Consequently, it leads to more sample-efficient blackbox optimization than state-of-the-art algorithms. We provide rigorous theoretical justification of the effectiveness of our method. We also empirically evaluate it on the set of reinforcement learning policy optimization tasks as well as functions from the recently open-sourced Nevergrad library, demonstrating that it consistently learns optimal inputs with fewer queries to a blackbox function than other methods.

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as a generalization of Gaussian random vectors and are associated with the development of kernel methods. Bayesian optimization is an approach for performing derivative-free global optimization in a small dimension, and uses Gaussian processes to locate the global maximum of a black-box function. The first part of the article reviews these two tools and shows how they are connected. In particular, we focus on the Gaussian process regression, which is the core of Bayesian machine learning, and the issue of hyperparameter selection. The second part is dedicated to two financial applications. We first consider the modeling of the term structure of interest rates. More precisely, we test the fitting method and compare the GP prediction and the random walk model. The second application is the construction of trend-following strategies, in particular the online estimation of trend and covariance windows.

This paper considers the design of optimal resource allocation policies in wireless communication systems which are generically modeled as a functional optimization problem with stochastic constraints. These optimization problems have the structure of a learning problem in which the statistical loss appears as a constraint, motivating the development of learning methodologies to attempt their solution. To handle stochastic constraints, training is undertaken in the dual domain. It is shown that this can be done with small loss of optimality when using near-universal learning parameterizations. In particular, since deep neural networks (DNN) are near-universal their use is advocated and explored. DNNs are trained here with a model-free primal-dual method that simultaneously learns a DNN parametrization of the resource allocation policy and optimizes the primal and dual variables. Numerical simulations demonstrate the strong performance of the proposed approach on a number of common wireless resource allocation problems.

Echo State Networks (ESNs) are recurrent neural networks that only train their output layer, thereby precluding the need to backpropagate gradients through time, which leads to significant computational gains. Nevertheless, a common issue in ESNs is determining its hyperparameters, which are crucial in instantiating a well performing reservoir, but are often set manually or using heuristics. In this work we optimize the ESN hyperparameters using Bayesian optimization which, given a limited budget of function evaluations, outperforms a grid search strategy. In the context of large volumes of time series data, such as light curves in the field of astronomy, we can further reduce the optimization cost of ESNs. In particular, we wish to avoid tuning hyperparameters per individual time series as this is costly; instead, we want to find ESNs with hyperparameters that perform well not just on individual time series but rather on groups of similar time series without sacrificing predictive performance significantly. This naturally leads to a notion of clusters, where each cluster is represented by an ESN tuned to model a group of time series of similar temporal behavior. We demonstrate this approach both on synthetic datasets and real world light curves from the MACHO survey. We show that our approach results in a significant reduction in the number of ESN models required to model a whole dataset, while retaining predictive performance for the series in each cluster.

In recent years, kernel-based sparse coding (K-SRC) has received particular attention due to its efficient representation of nonlinear data structures in the feature space. Nevertheless, the existing K-SRC methods suffer from the lack of consistency between their training and test optimization frameworks. In this work, we propose a novel confident K-SRC and dictionary learning algorithm (CKSC) which focuses on the discriminative reconstruction of the data based on its representation in the kernel space. CKSC focuses on reconstructing each data sample via weighted contributions which are confident in its corresponding class of data. We employ novel discriminative terms to apply this scheme to both training and test frameworks in our algorithm. This specific design increases the consistency of these optimization frameworks and improves the discriminative performance in the recall phase. In addition, CKSC directly employs the supervised information in its dictionary learning framework to enhance the discriminative structure of the dictionary. For empirical evaluations, we implement our CKSC algorithm on multivariate time-series benchmarks such as DynTex++ and UTKinect. Our claims regarding the superior performance of the proposed algorithm are justified throughout comparing its classification results to the state-of-the-art K-SRC algorithms.

Hyperparameter tuning of multistage pipelines introduces a significant computational burden. Motivated by the observation that work can be reused across pipelines if the intermediate computations are the same, we propose a pipeline-aware approach to hyperparameter tuning. Our approach optimizes both the design and execution of pipelines to maximize reuse. We design pipelines amenable for reuse by (i) introducing a novel hybrid hyperparameter tuning method called gridded random search, and (ii) reducing the average training time in pipelines by adapting early-stopping hyperparameter tuning approaches. We then realize the potential for reuse during execution by introducing a novel caching problem for ML workloads which we pose as a mixed integer linear program (ILP), and subsequently evaluating various caching heuristics relative to the optimal solution of the ILP. We conduct experiments on simulated and real-world machine learning pipelines to show that a pipeline-aware approach to hyperparameter tuning can offer over an order-of-magnitude speedup over independently evaluating pipeline configurations. Modern machine learning workflows combine multiple stages of data-preprocessing, feature extraction, and supervised and unsupervised learning (Sánchez et al., 2013; The methods in each of these stages typically have configuration parameters, or hyperparameters, that influence their output and ultimately predictive accuracy.