Integrating local information for inference and optimization in machine learning
In practice, machine learners often care about two key issues: one is how to obtain a more accurate answer with limited data, and the other is how to handle large-scale data (often referred to as “Big Data” in industry) for efficient inference and optimization. One solution to the first issue might be aggregating learned predictions from diverse local models. For the second issue, integrating the information from subsets of the large-scale data is a proven way of achieving computation reduction. In this thesis, we have developed some novel frameworks and schemes to handle several scenarios in each of the two salient issues. For aggregating diverse models – in particular, aggregating probabilistic predictions from different models – we introduce a spectrum of compositional methods, Rényi divergence aggregators, which are maximum entropy distributions subject to biases from individual models, with the Rényi divergence parameter dependent on the bias. Experiments are implemented on various simulated and real-world datasets to verify the findings. We also show the theoretical connections between Rényi divergence aggregators and machine learning markets with isoelastic utilities. The second issue involves inference and optimization with large-scale data. We consider two important scenarios: one is optimizing large-scale Convex-Concave Saddle Point problem with a Separable structure, referred as Sep-CCSP; and the other is large-scale Bayesian posterior sampling. Two different settings of Sep-CCSP problem are considered, Sep-CCSP with strongly convex functions and non-strongly convex functions. We develop efficient stochastic coordinate descent methods for both of the two cases, which allow fast parallel processing for large-scale data. Both theoretically and empirically, it is demonstrated that the developed methods perform comparably, or more often, better than state-of-the-art methods. To handle the scalability issue in Bayesian posterior sampling, the stochastic approximation technique is employed, i.e., only touching a small mini batch of data items to approximate the full likelihood or its gradient. In order to deal with subsampling error introduced by stochastic approximation, we propose a covariance-controlled adaptive Langevin thermostat that can effectively dissipate parameter-dependent noise while maintaining a desired target distribution. This method achieves a substantial speedup over popular alternative schemes for large-scale machine learning applications.