We consider an important problem in scientific discovery, namely identifying sparse governing equations for nonlinear dynamical systems. This involves solving sparse ridge regression problems to provable optimality in order to determine which terms drive the underlying dynamics. We propose a fast algorithm, OKRidge, for sparse ridge regression, using a novel lower bound calculation involving, first, a saddle point formulation, and from there, either solving (i) a linear system or (ii) using an ADMM-based approach, where the proximal operators can be efficiently evaluated by solving another linear system and an isotonic regression problem. We also propose a method to warm-start our solver, which leverages a beam search. Experimentally, our methods attain provable optimality with run times that are orders of magnitude faster than those of the existing MIP formulations solved by the commercial solver Gurobi.

We consider an important problem in scientific discovery, namely identifying sparse governing equations for nonlinear dynamical systems. This involves solving sparse ridge regression problems to provable optimality in order to determine which terms drive the underlying dynamics. We propose a fast algorithm, OKRidge, for sparse ridge regression, using a novel lower bound calculation involving, first, a saddle point formulation, and from there, either solving (i) a linear system or (ii) using an ADMM-based approach, where the proximal operators can be efficiently evaluated by solving another linear system and an isotonic regression problem. We also propose a method to warm-start our solver, which leverages a beam search. Experimentally, our methods attain provable optimality with run times that are orders of magnitude faster than those of the existing MIP formulations solved by the commercial solver Gurobi.

Spectral inference provides fast algorithms and provable optimality for latent topic analysis. But for real data these algorithms require additional ad-hoc heuristics, and even then often produce unusable results. We explain this poor performance by casting the problem of topic inference in the framework of Joint Stochastic Matrix Factorization (JSMF) and showing that previous methods violate the theoretical conditions necessary for a good solution to exist. We then propose a novel rectification method that learns high quality topics and their interactions even on small, noisy data. This method achieves results comparable to probabilistic techniques in several domains while maintaining scalability and provable optimality.

Spectral inference provides fast algorithms and provable optimality for latent topic analysis. But for real data these algorithms require additional ad-hoc heuristics, and even then often produce unusable results. We explain this poor performance by casting the problem of topic inference in the framework of Joint Stochastic Matrix Factorization (JSMF) and showing that previous methods violate the theoretical conditions necessary for a good solution to exist. We then propose a novel rectification method that learns high quality topics and their interactions even on small, noisy data. This method achieves results comparable to probabilistic techniques in several domains while maintaining scalability and provable optimality. Papers published at the Neural Information Processing Systems Conference.