I said, and I wrote, that machine learning and predictive analytics were almost the same. Of course, I also put optimization as the queen of all analytics technologies as it yields best business value. What else would you expect from someone who spent nearly 3 decades in working in optimization? No wonder this view became popular in the optimization community... First, let me reassure readers about my mental health: I still think that optimization is best for computing optimal decisions. I started thinking there was an issue when I met customers willing to use machine learning to solve all the business problems they have.

The estimation of class prevalence, i.e., the fraction of a population that belongs to a certain class, is a very useful tool in data analytics and learning, and finds applications in many domains such as sentiment analysis, epidemiology, etc. For example, in sentiment analysis, the objective is often not to estimate whether a specific text conveys a positive or a negative sentiment, but rather estimate the overall distribution of positive and negative sentiments during an event window. A popular way of performing the above task, often dubbed quantification, is to use supervised learning to train a prevalence estimator from labeled data. Contemporary literature cites several performance measures used to measure the success of such prevalence estimators. In this paper we propose the first online stochastic algorithms for directly optimizing these quantification-specific performance measures. We also provide algorithms that optimize hybrid performance measures that seek to balance quantification and classification performance. Our algorithms present a significant advancement in the theory of multivariate optimization and we show, by a rigorous theoretical analysis, that they exhibit optimal convergence. We also report extensive experiments on benchmark and real data sets which demonstrate that our methods significantly outperform existing optimization techniques used for these performance measures.

We provide an overview and perform an experimental comparison between the famous iterative reconstruction methods in terms of reconstruction quality in sparse view situations. We then derive the proximal operators for the four best methods. We show the flexibility of our framework by deriving solvers for two noise models: Gaussian and Poisson; and by plugging in three powerful regularizers. We compare our framework to state of the art methods, and show superior quality on both synthetic and real datasets.

When subatomic particles smash together at the Large Hadron Collider in Switzerland, they create showers of new particles whose signatures are recorded by four detectors. The LHC captures 5 trillion bits of data -- more information than all of the world's libraries combined -- every second. After the judicious application of filtering algorithms, more than 99 percent of those data are discarded, but the four experiments still produce a whopping 25 petabytes (25 1015 bytes) of data per year that must be stored and analyzed. That is a scale far beyond the computing resources of any single facility, so the LHC scientists rely on a vast computing grid of 160 data centers around the world, a distributed network that is capable of transferring as much as 10 gigabytes per second at peak performance. The LHC's approach to its big data problem reflects just how dramatically the nature of computing has changed over the last decade.

A good clustering can help a data analyst to explore and understand a data set, but what constitutes a good clustering may depend on domain-specific and application-specific criteria. These criteria can be difficult to formalize, even when it is easy for an analyst to know a good clustering when she sees one. We present a new approach to interactive clustering for data exploration, called \ciif, based on a particularly simple feedback mechanism, in which an analyst can choose to reject individual clusters and request new ones. The new clusters should be different from previously rejected clusters while still fitting the data well. We formalize this interaction in a novel Bayesian prior elicitation framework. In each iteration, the prior is adapted to account for all the previous feedback, and a new clustering is then produced from the posterior distribution. To achieve the computational efficiency necessary for an interactive setting, we propose an incremental optimization method over data minibatches using Lagrangian relaxation. Experiments demonstrate that \ciif can produce accurate and diverse clusterings.

In decentralized networks (of sensors, connected objects, etc.), there is an important need for efficient algorithms to optimize a global cost function, for instance to learn a global model from the local data collected by each computing unit. In this paper, we address the problem of decentralized minimization of pairwise functions of the data points, where these points are distributed over the nodes of a graph defining the communication topology of the network. This general problem finds applications in ranking, distance metric learning and graph inference, among others. We propose new gossip algorithms based on dual averaging which aims at solving such problems both in synchronous and asynchronous settings. The proposed framework is flexible enough to deal with constrained and regularized variants of the optimization problem. Our theoretical analysis reveals that the proposed algorithms preserve the convergence rate of centralized dual averaging up to an additive bias term. We present numerical simulations on Area Under the ROC Curve (AUC) maximization and metric learning problems which illustrate the practical interest of our approach.

Remember that one rider is wearing a helmet, whereas the other is not. As a matter of probability, the rider with the helmet has a greater chance of survival if your car hits her. But here we can see that crash optimization isn't only about probabilistic harm reduction. For example, it seems unfair to penalize motorcyclists who wear helmets by programming cars to strike them over non-helmet wearers, particularly in cases where helmet use is a matter of law. Furthermore, it is good public policy to encourage helmet use; they reduce fatalities by 22-42 percent, according to a National Highway Traffic Safety Administration report. As a motorcyclist myself, I may decide not to wear a helmet if I know that crash-optimization algorithms are programmed to hit me when wearing my helmet.

Algorithm design is a laborious process and often requires many iterations of ideation and validation. In this paper, we explore automating algorithm design and present a method to learn an optimization algorithm, which we believe to be the first method that can automatically discover a better algorithm. We approach this problem from a reinforcement learning perspective and represent any particular optimization algorithm as a policy. We learn an optimization algorithm using guided policy search and demonstrate that the resulting algorithm outperforms existing hand-engineered algorithms in terms of convergence speed and/or the final objective value.

We present a generic compact computational framework relying on structured random matrices that can be applied to speed up several machine learning algorithms with almost no loss of accuracy. The applications include new fast LSH-based algorithms, efficient kernel computations via random feature maps, convex optimization algorithms, quantization techniques and many more. Certain models of the presented paradigm are even more compressible since they apply only bit matrices. This makes them suitable for deploying on mobile devices. All our findings come with strong theoretical guarantees. In particular, as a byproduct of the presented techniques and by using relatively new Berry-Esseen-type CLT for random vectors, we give the first theoretical guarantees for one of the most efficient existing LSH algorithms based on the $\textbf{HD}_{3}\textbf{HD}_{2}\textbf{HD}_{1}$ structured matrix ("Practical and Optimal LSH for Angular Distance"). These guarantees as well as theoretical results for other aforementioned applications follow from the same general theoretical principle that we present in the paper. Our structured family contains as special cases all previously considered structured schemes, including the recently introduced $P$-model. Experimental evaluation confirms the accuracy and efficiency of TripleSpin matrices.

We propose a new random pruning method (called "submodular sparsification (SS)") to reduce the cost of submodular maximization. The pruning is applied via a "submodularity graph" over the $n$ ground elements, where each directed edge is associated with a pairwise dependency defined by the submodular function. In each step, SS prunes a $1-1/\sqrt{c}$ (for $c>1$) fraction of the nodes using weights on edges computed based on only a small number ($O(\log n)$) of randomly sampled nodes. The algorithm requires $\log_{\sqrt{c}}n$ steps with a small and highly parallelizable per-step computation. An accuracy-speed tradeoff parameter $c$, set as $c = 8$, leads to a fast shrink rate $\sqrt{2}/4$ and small iteration complexity $\log_{2\sqrt{2}}n$. Analysis shows that w.h.p., the greedy algorithm on the pruned set of size $O(\log^2 n)$ can achieve a guarantee similar to that of processing the original dataset. In news and video summarization tasks, SS is able to substantially reduce both computational costs and memory usage, while maintaining (or even slightly exceeding) the quality of the original (and much more costly) greedy algorithm.