In barter exchanges, participants directly trade their endowed goods in a constrained economic setting without money. Transactions in barter exchanges are often facilitated via a central clearinghouse that must match participants even in the face of uncertainty---over participants, existence and quality of potential trades, and so on. Leveraging robust combinatorial optimization techniques, we address uncertainty in kidney exchange, a real-world barter market where patients swap (in)compatible paired donors. We provide two scalable robust methods to handle two distinct types of uncertainty in kidney exchange---over the quality and the existence of a potential match. The latter case directly addresses a weakness in all stochastic-optimization-based methods to the kidney exchange clearing problem, which all necessarily require explicit estimates of the probability of a transaction existing---a still-unsolved problem in this nascent market. We also propose a novel, scalable kidney exchange formulation that eliminates the need for an exponential-time constraint generation process in competing formulations, maintains provable optimality, and serves as a subsolver for our robust approach. For each type of uncertainty we demonstrate the benefits of robustness on real data from a large, fielded kidney exchange in the United States. We conclude by drawing parallels between robustness and notions of fairness in the kidney exchange setting.

In multi-cycle assignment problems with rotational diversity, a set of tasks has to be repeatedly assigned to a set of agents. Over multiple cycles, the goal is to achieve a high diversity of assignments from tasks to agents. At the same time, the assignments' profit has to be maximized in each cycle. Due to changing availability of tasks and agents, planning ahead is infeasible and each cycle is an independent assignment problem but influenced by previous choices. We approach the multi-cycle assignment problem as a two-part problem: Profit maximization and rotation are combined into one objective value, and then solved as a General Assignment Problem. Rotational diversity is maintained with a single execution of the costly assignment model. Our simple, yet effective method is applicable to different domains and applications. Experiments show the applicability on a multi-cycle variant of the multiple knapsack problem and a real-world case study on the test case selection and assignment problem, an example from the software engineering domain, where test cases have to be distributed over compatible test machines.

We study the convergence of a variant of distributed gradient descent (DGD) on a distributed low-rank matrix approximation problem wherein some optimization variables are used for consensus (as in classical DGD) and some optimization variables appear only locally at a single node in the network. We term the resulting algorithm DGD+LOCAL. Using algorithmic connections to gradient descent and geometric connections to the well-behaved landscape of the centralized low-rank matrix approximation problem, we identify sufficient conditions where DGD+LOCAL is guaranteed to converge with exact consensus to a global minimizer of the original centralized problem. For the distributed low-rank matrix approximation problem, these guarantees are stronger---in terms of consensus and optimality---than what appear in the literature for classical DGD and more general problems.

A configuration of training refers to the combinations of feature engineering, learner, and its associated hyperparameters. Given a set of configurations and a large dataset randomly split into training and testing set, we study how to efficiently identify the best configuration with approximately the highest testing accuracy when trained from the training set. To guarantee small accuracy loss, we develop a solution using confidence interval (CI)-based progressive sampling and pruning strategy. Compared to using full data to find the exact best configuration, our solution achieves more than two orders of magnitude speedup, while the returned top configuration has identical or close test accuracy.

Multivariate Bernoulli autoregressive (BAR) processes model time series of events in which the likelihood of current events is determined by the times and locations of past events. These processes can be used to model nonlinear dynamical systems corresponding to criminal activity, responses of patients to different medical treatment plans, opinion dynamics across social networks, epidemic spread, and more. Past work examines this problem under the assumption that the event data is complete, but in many cases only a fraction of events are observed. Incomplete observations pose a significant challenge in this setting because the unobserved events still govern the underlying dynamical system. In this work, we develop a novel approach to estimating the parameters of a BAR process in the presence of unobserved events via an unbiased estimator of the complete data log-likelihood function. We propose a computationally efficient estimation algorithm which approximates this estimator via Taylor series truncation and establish theoretical results for both the statistical error and optimization error of our algorithm. We further justify our approach by testing our method on both simulated data and a real data set consisting of crimes recorded by the city of Chicago.

Nonnegative matrix factorization (NMF) is a popular method for audio spectral unmixing. While NMF is traditionally applied to off-the-shelf time-frequency representations based on the short-time Fourier or Cosine transforms, the ability to learn transforms from raw data attracts increasing attention. However, this adds an important computational overhead. When assumed orthogonal (like the Fourier or Cosine transforms), learning the transform yields a non-convex optimization problem on the orthogonal matrix manifold. In this paper, we derive a quasi-Newton method on the manifold using sparse approximations of the Hessian. Experiments on synthetic and real audio data show that the proposed algorithm out-performs state-of-the-art first-order and coordinate-descent methods by orders of magnitude. A Python package for fast TL-NMF is released online at https://github.com/pierreablin/tlnmf.

Signal estimation problems with smoothness and sparsity priors can be naturally modeled as quadratic optimization with $\ell_0$-"norm" constraints. Since such problems are non-convex and hard-to-solve, the standard approach is, instead, to tackle their convex surrogates based on $\ell_1$-norm relaxations. In this paper, we propose new iterative conic quadratic relaxations that exploit not only the $\ell_0$-"norm" terms, but also the fitness and smoothness functions. The iterative convexification approach substantially closes the gap between the $\ell_0$-"norm" and its $\ell_1$ surrogate. Experiments using an off-the-shelf conic quadratic solver on synthetic as well as real datasets indicate that the proposed iterative convex relaxations lead to significantly better estimators than $\ell_1$-norm while preserving the computational efficiency. In addition, the parameters of the model and the resulting estimators are easily interpretable.

V oltage control plays an important role in the operation of electricity distribution networks, especially with high penetration of distributed energy resources. These resources introduce significant and fast varying uncertainties. In this paper, we focus on reactive power compensation to control voltage in the presence of uncertainties. We adopt a chance constraint approach that accounts for arbitrary correlations between renewable resources at each of the buses. We show how the problem can be solved efficiently using historical samples analogously to the stochastic quasi-gradient methods. We also show that this optimization problem is convex for a wide variety of probabilistic distributions. Compared to conventional per-bus chance constraints, our formulation is more robust to uncertainty and more computationally tractable. We illustrate the results using standard IEEE distribution test feeders. V oltage control is crucial to stable operations of power distribution systems, where it is used to maintain acceptable voltages at all buses under different operating conditions [1]. To control voltage, reactive power is traditionally regulated through tap-changing transformers and switched capacitors [2]. With recent advances in cyber-infrastructure for communication and control, it is also possible to utilize distributed energy resources (DERs, i.e., electric vehicles [3], PV panels [4], [5]) to provide voltage regulation.

We propose a "plan online and learn offline" framework for the setting where an agent, with an internal model, needs to continually act and learn in the world. Our work builds on the synergistic relationship between local model-based control, global value function learning, and exploration. We study how local trajectory optimization can cope with approximation errors in the value function, and can stabilize and accelerate value function learning. Conversely, we also study how approximate value functions can help reduce the planning horizon and allow for better policies beyond local solutions. Finally, we also demonstrate how trajectory optimization can be used to perform temporally coordinated exploration in conjunction with estimating uncertainty in value function approximation. This exploration is critical for fast and stable learning of the value function. Combining these components enable solutions to complex control tasks, like humanoid locomotion and dexterous in-hand manipulation, in the equivalent of a few minutes of experience in the real world.

This work explores non-negative matrix factorization based on regularized Poisson models for recommender systems with implicit-feedback data. The properties of Poisson likelihood allow a shortcut for very fast computation and optimization over elements with zero-value when the latent-factor matrices are non-negative, making it a more suitable approach than squared loss for very sparse inputs such as implicit-feedback data. A simple and embarrassingly parallel optimization approach based on proximal gradients is presented, which in large datasets converges 2-3 orders of magnitude faster than its Bayesian counterpart (Hierarchical Poisson Factorization) fit through variational inference techniques, and 1 order of magnitude faster than implicit-ALS fit with the Conjugate Gradient method.