Collaborating Authors

Distributed linear regression by averaging Machine Learning

Modern massive datasets pose an enormous computational burden to practitioners. Distributed computation has emerged as a universal approach to ease the burden: Datasets are partitioned over machines, which compute locally, and communicate short messages. Distributed data also arises due to privacy reasons, such as in medicine. It is important to study how to do statistical inference and machine learning in a distributed setting. In this paper, we study one-step parameter averaging in statistical linear models under data parallelism. We do linear regression on each machine, and take a weighted average of the parameters. How much do we lose compared to doing linear regression on the full data? Here we study the performance loss in estimation error, test error, and confidence interval length in high dimensions, where the number of parameters is comparable to the training data size. We discover several key phenomena. First, averaging is not optimal, and we find the exact performance loss. Our results are simple to use in practice. Second, different problems are affected differently by the distributed framework. Estimation error and confidence interval length increases a lot, while prediction error increases much less. These results match simulations and a data analysis example. We rely on recent results from random matrix theory, where we develop a new calculus of deterministic equivalents as a tool of broader interest.

Ridge Regression: Structure, Cross-Validation, and Sketching Machine Learning

We study the following three fundamental problems about ridge regression: (1) what is the structure of the estimator? (2) how to correctly use cross-validation to choose the regularization parameter? and (3) how to accelerate computation without losing too much accuracy? We consider the three problems in a unified large-data linear model. We give a precise representation of ridge regression as a covariance matrix-dependent linear combination of the true parameter and the noise. We study the bias of $K$-fold cross-validation for choosing the regularization parameter, and propose a simple bias-correction. We analyze the accuracy of primal and dual sketching for ridge regression, showing they are surprisingly accurate. Our results are illustrated by simulations and by analyzing empirical data.

A Continuous-Time View of Early Stopping for Least Squares Regression Machine Learning

Given the sizes of modern data sets, there is a growing preference towards simple estimators that have a small computational footprint and are easy to implement. Additionally, beyond efficiency and tractability considerations, there is mounting evidence that many simple and popular estimation methods perform a kind of implicit regularization, meaning that they appear to produce estimates exhibiting a kind of regularity, even though they do not employ an explicit regularizer. Research interest in implicit regularization is growing, but the foundations of the idea date back at least 30 years in machine learning, where early-stopped gradient descent was found to be effective in training neural networks (Morgan and Bourlard, 1989), and at least 40 years in applied mathematics, where the same idea (here known as Landweber iteration) was found to help in ill-posed linear inverse problems (Strand, 1974). After a wave of work on boosting with early stopping (Buhlmann and Yu, 2003; Rosset et al., 2004; Zhang and Yu, 2005; Yao et al., 2007), more recent work focuses on the regularity properties of particular algorithms for underdetermined problems in matrix factorization, regression, and classification (Gunasekar et al., 2017; Wilson et al., 2017; Gunasekar et al., 2018). More broadly, algorithmic regularization plays a key role in training deep neural networks, via batch normalization, dropout, weight decay, and other techniques (Goodfellow et al., 2016). In this paper, we focus on early stopping in gradient descent, when applied specifically to least squares regression. This is a basic problem and we are of course not the only authors to consider it; there is now a large literature on this topic (see references above, and more to come when we discuss related work shortly). However, our perspective differs from existing work in two ways. First, we study gradient descent in continuous-time, i.e., we study gradient descent with infinitesimal step sizes, leading to a path of iterates called gradient flow; and second, we focus on the regularity 1 properties along the entire path, not just its convergence point (as is the focus in most work on implicit regularization).

Surprises in High-Dimensional Ridgeless Least Squares Interpolation Machine Learning

Modern deep learning models involve a huge number of parameters. In nearly all applications of these models, current practice suggests that we should design the network to be sufficiently complex so that the model (as trained, typically, by gradient descent) interpolates the data, i.e., achieves zero training error. Indeed, in a thought-provoking experiment, Zhang et al. (2016) showed that state-of-the-art deep neural network architectures can be trained to interpolate the data even when the actual labels are replaced by entirely random ones. Despite their enormous complexity, deep neural networks are frequently seen to generalize well, in meaningful practical problems. At first sight, this seems to defy conventional statistical wisdom: interpolation (vanishing training error) is usually taken to be a proxy for overfitting or poor generalization (large gap between training and test error). In an insightful series of papers, Belkin et al. (2018b,c,a) pointed out that these concepts are, in general, distinct, and interpolation does not contradict generalization. For example, kernel ridge regression is a relatively well-understood setting in which interpolation can coexist with good generalization (Liang and Rakhlin, 2018). In this paper, we examine the prediction risk of minimum l norm or "ridgeless" least squares regression, under

A Random Matrix Perspective on Mixtures of Nonlinearities for Deep Learning Machine Learning

One of the distinguishing characteristics of modern deep learning systems is that they typically employ neural network architectures that utilize enormous numbers of parameters, often in the millions and sometimes even in the billions. While this paradigm has inspired significant research on the properties of large networks, relatively little work has been devoted to the fact that these networks are often used to model large complex datasets, which may themselves contain millions or even billions of constraints. In this work, we focus on this high-dimensional regime in which both the dataset size and the number of features tend to infinity. We analyze the performance of a simple regression model trained on the random features $F=f(WX+B)$ for a random weight matrix $W$ and random bias vector $B$, obtaining an exact formula for the asymptotic training error on a noisy autoencoding task. The role of the bias can be understood as parameterizing a distribution over activation functions, and our analysis directly generalizes to such distributions, even those not expressible with a traditional additive bias. Intriguingly, we find that a mixture of nonlinearities can outperform the best single nonlinearity on the noisy autoecndoing task, suggesting that mixtures of nonlinearities might be useful for approximate kernel methods or neural network architecture design.