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<?xml version="1.0" encoding="utf-8" standalone="yes" ?>
<rss version="2.0" xmlns:atom="http://www.w3.org/2005/Atom">
<channel>
<title>Algebra & Fire</title>
<link>/</link>
<atom:link href="/index.xml" rel="self" type="application/rss+xml" />
<description>Algebra & Fire</description>
<generator>Source Themes Academic (https://sourcethemes.com/academic/)</generator><language>en-us</language><lastBuildDate>Mon, 11 May 2020 15:29:33 +0930</lastBuildDate>
<image>
<url>/images/icon_huff46a34809cf36f98ff565ff8b0a5f91_4201_512x512_fill_lanczos_center_2.png</url>
<title>Algebra & Fire</title>
<link>/</link>
</image>
<item>
<title>Optimization Landscape Symmetry, Saddle Points and Beyond</title>
<link>/talk/2020-05-optimization/</link>
<pubDate>Mon, 11 May 2020 15:29:33 +0930</pubDate>
<guid>/talk/2020-05-optimization/</guid>
<description><p>
<a href="../../slides/stochastic-optimization-techniques">Slides</a></p>
</description>
</item>
<item>
<title>Optimization Landscape Symmetry, Saddle Points and Beyond</title>
<link>/slides/stochastic-optimization-techniques/</link>
<pubDate>Wed, 06 May 2020 00:00:00 +0000</pubDate>
<guid>/slides/stochastic-optimization-techniques/</guid>
<description><h1 id="optimization">Optimization</h1>
<p>Landscape Symmetry, Saddle Points and Beyond</p>
<hr>
<h2 id="non-convex-optimization">Non-convex Optimization</h2>
<p><span class="fragment " >
Proabilistic Models,
</span><span class="fragment " >
Deep Neural Nets
</span></p>
<ul>
<li><span class="fragment " >
<strong>Theory</strong>:
<a href="https://en.wikipedia.org/wiki/NP-hardness" target="_blank" rel="noopener">NP-hard</a>. Better avoid or use convex relaxation.
</span></li>
<li><span class="fragment " >
<strong>Practice</strong>: Easy! just run SGD.
</span></li>
</ul>
<aside class="notes">
<ul>
<li>In practice, these algorithms converge to good solutions.</li>
</ul>
</aside>
<hr>
<h2 id="gradient-descent">Gradient Descent</h2>
<p>$$
x_{t+1} = x_t - \eta\nabla f(x_t)
$$</p>
<p><span class="fragment " >
Converges to stationary point ($\nabla f(x_t)=0$)
<a href="http://rd.springer.com/book/10.1007%2F978-1-4419-8853-9" target="_blank" rel="noopener">[Nesterov &lsquo;98]</a>
</span>
<span class="fragment " >
or &ldquo;local minimum&rdquo; [[Ge etal. &lsquo;15]][GHJY15]
</span></p>
<hr>
<h3 id="gd-cannot-escape-from-a-local-optimal-solution">GD cannot escape from a local optimal solution</h3>
<hr>
<h2 id="landscape">Landscape</h2>
<style>
.container{
display: flex;
}
.col{
flex: 1;
}
</style>
<div class="container">
<div class="col">
<span class="fragment " >
<p>Convex Functions</p>
<img height="200" src="img/convex.png">
<ul>
<li>Simple: 0 gradient β Global Minimum</li>
<li>Can be optimized efficiently</li>
</ul>
</span>
</div>
<div class="col">
<span class="fragment " >
<p>Non-Convex Functions</p>
<img height="200" src="img/non-convex.png">
<ul>
<li>Complicated: local minima, saddle points</li>
<li>GD can only find a local minimum</li>
</ul>
</span>
</div>
</div>
<hr>
<h2 id="what-special-properties-make-a-non-convex-function-easy">What special properties make a non-convex function easy?</h2>
<p><span class="fragment " >
Why are the objectives always non-convex?
</span></p>
<hr>
<h3 id="symmetry--non-convexity">Symmetry β Non-Convexity</h3>
<p><span class="fragment " >
Problem asks for multiple components, but the components have <span style="color:green;">no ordering</span>.</p>
<hr>
<img height="600" src="img/clustering.png">
<aside class="notes">
<ul>
<li>The neurons in a layer of neural network can be permuted and still compute the same function.</li>
</ul>
</aside>
<hr>
<div class="container">
<div class="col">
<span class="fragment " >
<figure>
<img src="img/solution-1.png" alt="Solution 1" height="150">
<figcaption>Solution (a)</figcaption>
</figure>
</span>
</div>
<div class="col">
<span class="fragment " >
<figure>
<img src="img/solution-2.png" alt="Solution 2" height="150">
<figcaption>Solution (b)</figcaption>
</figure>
</span>
</div>
</div>
<div>
<span class="fragment " >
<figure>
<img src="img/solution-3.png" alt="Solution 3" height="200">
<figcaption>Convex Combination (a+b)/2</figcaption>
</figure>
</span>
</div>
<aside class="notes">
<ul>
<li>if the objective is convex, then the third solution is also convex</li>
<li>10 min mark</li>
</ul>
</aside>
<hr>
<h3 id="optimization-algorithms-need-to-span-stylecolorredbreak-the-symmetryspan-and-converge-to-one-of-the-equivalent-local-minima">Optimization algorithms need to <span style="color:red">break the symmetry</span> and converge to one of the (equivalent) local minima.</h3>
<hr>
<h2 id="saddle-points">Saddle Points</h2>
<p>
<a href="https://academo.org/demos/3d-surface-plotter/?expression=x*x-y*y%2By%5E4%2B0.1*y&amp;xRange=-1%2C%2B1&amp;yRange=-1%2C%2B1&amp;resolution=50" target="_blank" rel="noopener">$$z = x^2 - y^2 + y^4 + 0.1\cdot y$$</a></p>
<aside class="notes">
<ul>
<li>Global minimum</li>
<li>Local minimum</li>
<li>Saddle points</li>
</ul>
</aside>
<hr>
<h2 id="symmetry--non-convexity-1">Symmetry β Non-Convexity</h2>
<p>
<a href="https://academo.org/demos/3d-surface-plotter/?expression=x%5E4%2By%5E4-x%5E2-y%5E2&amp;xRange=-1.5%2C%2B1.5&amp;yRange=-1.5%2C%2B1.5&amp;resolution=50" target="_blank" rel="noopener">$$f(x) = -\|x\|^2 + \|x\|_4^4$$</a></p>
<aside class="notes">
<ul>
<li>This construction is used in independent component analysis</li>
<li>Four local/global minima (symmetric)</li>
<li>Connection two adjacent local minima</li>
<li>Can we add constraints to break the symmetry?</li>
<li>Rotate and restrict in the first quadrant.</li>
<li>This will add new local minima.</li>
</ul>
</aside>
<hr>
<h2 id="locally-optimizable-functions">Locally Optimizable Functions</h2>
<ul>
<li><span class="fragment " >
Local min are symmetric versions of global min
</span></li>
<li><span class="fragment " >
No high order saddle points
</span></li>
</ul>
<aside class="notes">
<ul>
<li>high order saddle points have zero grads and p.s.d. hessian</li>
<li>SGD garanteed to find the global minima</li>
<li>first condition seems to be very strong</li>
</ul>
</aside>
<hr>
<ul>
<li>SVD/PCA</li>
<li>Generalized Linear Model [KKKS&rsquo;11] [HLS&rsquo;14]</li>
<li>Synchronization [BVS&rsquo;16]</li>
<li>Dictionary Learning [SQW&rsquo;17]</li>
</ul>
<hr>
<ul>
<li>Matrix Completion [[GLM16]] [[GJZ17]]</li>
<li>Matrix Sensing [BNS&rsquo;16] [PKCS&rsquo;16]</li>
<li>MAX-CUT [MMMO&rsquo;17]</li>
<li>Tensor Decomposition [GHJY&rsquo;15] [GM&rsquo;16]</li>
<li>2-Layer Neural Net [[GLM17]]</li>
</ul>
<aside class="notes">
<ul>
<li>Matrix completion as a simple example</li>
<li>Landscape of neural networks</li>
</ul>
</aside>
<hr>
<h2 id="matrix-completion">Matrix Completion</h2>
<ul>
<li><span class="fragment " >
Low rank matrix $M$
</span></li>
<li><span class="fragment " >
Observations: entries of $M$
</span></li>
<li><span class="fragment " >
Goal: recover remaining entries
</span></li>
</ul>
<img src="img/matrix-completion.png" alt="Incomplete matrix" height="300">
<aside class="notes">
<ul>
<li>typical application: recommendation system [RennieSrebro05]</li>
<li>assume matrix is a product of two $n\times r$ matrix</li>
<li>Hope to recover using $\tilde O(nr)$ observations.</li>
</ul>
</aside>
<hr>
<h3 id="non-convex-objective">Non-Convex Objective</h3>
<ul>
<li><span class="fragment " >
Idea: Try to find the low rank factors directly $$M=U\cdot V^T$$
</span></li>
<li><span class="fragment " >
Variables $X$, $Y$. Hope $X = U, Y = V, M = XY^T$
</span></li>
<li><span class="fragment " >
Uniform observations $(i, j)\in\Omega$
</span></li>
<li><span class="fragment " >
Minimize βlossβ on observed entries $$\min f(X, Y) = \sum_{(i,j)\in\Omega}(M_{i, j} - (XY^T)_{i,j})^2$$
</span></li>
</ul>
<hr>
<h3 id="symmetry-and-solutions">Symmetry and Solutions</h3>
<p>$$M=UV^T\qquad \min(f(X, Y):=\|M-XY^T\|^2_\Omega)$$</p>
<ul>
<li><span class="fragment " >
Hope: $X=U, Y=V$
</span></li>
<li><span class="fragment " >
Not true: many equivalent solutions: $$UV^T=URR^TV^T$$
</span></li>
<li><span class="fragment " >
Saddle points: e.g. $X=Y=0$
</span></li>
</ul>
<aside class="notes">
<ul>
<li>The objective behaves similar to a norm</li>
</ul>
<hr>
<blockquote>
<p><span style="color:blue">Theorem</span>: when the number of observations is at least $\tilde{\Omega}(nr^6)$, all local minima of $f(X, Y)^*$ are global minima: satisfy $XY^T=M$.</p>
</blockquote>
<p>[<a href="https://arxiv.org/abs/1605.07272" title="Matrix Completion has No Spurious Local Minimum">GLM16</a>]: symmetric case; [<a href="https://arxiv.org/abs/1704.00708" title="No Spurious Local Minima in Nonconvex Low Rank Problems: A Unified Geometric Analysis">GJZ17</a>]: asymmetric case</p>
<hr>
<blockquote>
<p><span style="color:blue">Corollary</span>: Simple SGD can solve matrix completion from an <span style="color:blue">arbitrary</span> starting point.</p>
</blockquote>
<p>Prior work:</p>
<ul>
<li>convex relaxation</li>
<li>non-convex optimization with carefully chosen starting point</li>
</ul>
<aside class="notes">
<ul>
<li>convex relaxation: has tight $r$ $\Omega(nr poly(\log(d))$ d is #observations</li>
<li>non-convex: $nr^2$</li>
<li>27 min mark</li>
</ul>
</aside>
<hr>
<p>$X$ is a local minimum of $f(X)$ β $\nabla f(X)=0, \nabla^2f(X)\succcurlyeq 0$</p>
<div class="container">
<div class="col">
<span class="fragment " >
<p>$$\nabla f(X)\ne 0$$</p>
<p>Follow gradient reduces $f(X)$.</p>
</span>
</div>
<div class="col">
<span class="fragment " >
<p>$$\lambda(\nabla^2f(X))&lt;0$$</p>
<p>Min eigendirection of Hessian reduces $f(X)$.</p>
</span>
</div>
</div>
<hr>
<h3 id="direction-of-improvment-exists">Direction of Improvment Exists</h3>
<p>If $X$ is not global minimum</p>
<p>Exists $\Delta$, $\langle\nabla f(X), \Delta\rangle\ne 0$ or $\nabla^2f(X)[\Delta]&lt;0$</p>
<hr>
<h3 id="matrix-factorization">Matrix Factorization</h3>
<ul>
<li>Every entry is observed, want to write $M=UV^T$</li>
<li><span class="fragment " >
Consider symmetric case: $M=UU^T$ $$g(X):=|M-XX^T|_F^2$$
</span></li>
<li><span class="fragment " >
Goal: prove local minima satisfy $XX^T=M$.
</span></li>
</ul>
<hr>
<p>$\nabla g(X)=0$<span class="fragment " >
β $MX=XX^TX$
</span> <span class="fragment " >
β If $\text{span}(X)=\text{span}(M)$, $M=XX^T$
</span></p>
<p><span class="fragment " >
$\nabla^2 g(X)\succcurlyeq0$
</span><span class="fragment " >
β $\text{span}(X)=\text{span}(M)$
</span></p>
<p><span class="fragment " >
Approach in [<a href="https://arxiv.org/abs/1605.07272" title="Matrix Completion has No Spurious Local Minimum">GLM16</a>]. Need more cases to work for Matrix Completion.
</span></p>
<aside class="notes">
<ul>
<li>$X$ is a full-rank matrix == span(X) = span(M) (span of column vectors)</li>
<li>for the case X is not full rank, for example X=0, gradient = 0</li>
</ul>
</aside>
<hr>
<ul>
<li><span class="fragment " >
Intuitively, want $X$ to go to the optimal solution $U$.
</span></li>
<li><span class="fragment " >
Recall: many equivalent optimal solutions!
</span></li>
<li><span class="fragment " >
Idea: find the βclosestβ among all optimal solutions $$\Delta = X-UR, \qquad R=\arg\min||X-UR||_F$$
</span></li>
<li><span class="fragment " >
Nice property: $||\Delta\Delta^T||_F^2\le2||M-XX^T||_F^2$
</span></li>
</ul>
<aside class="notes">
<ul>
<li>Alternative approach finding direction of improvement</li>
<li>If $\Delta$ is not zero, $X$ is not global optimal</li>
</ul>
</aside>
<hr>
<h3 id="main-lemma-gjz17">Main Lemma [<a href="https://arxiv.org/abs/1704.00708" title="No Spurious Local Minima in Nonconvex Low Rank Problems: A Unified Geometric Analysis">GJZ17</a>]</h3>
<blockquote>
<p><span style="color:blue">Lemma</span>: If $\|\Delta\Delta^T\|_\Omega^2&lt;3\|M-XX^T\|_\Omega^2$, then either $\langle\nabla f(X), \Delta\rangle\ne 0$ or $\nabla^2 f(X)[\Delta]&lt;0$. ($\Delta$ is a direction of improvement.)</p>
</blockquote>
<ul>
<li><span class="fragment " >
$||\Delta\Delta^T||_F^2\le2||M-XX^T||_F^2$
</span></li>
<li><span class="fragment " >
Immediate proof for matrix factorization
</span></li>
<li><span class="fragment " >
For completion, proof works as long as $||A||_\Omega\approx ||A||_F$ for $\Delta\Delta^T$ and $M-XX^T$
</span></li>
</ul>
<aside class="notes">
<ul>
<li>$\Delta\Delta^T$ and $M-XX^T$ are both low rank.</li>
</ul>
</aside>
<hr>
<h3 id="restricted-isometry-propertyhttpsenwikipediaorgwikirestricted_isometry_property"><a href="https://en.wikipedia.org/wiki/Restricted_isometry_property">Restricted isometry property</a></h3>
<p>characterizes matrices which are nearly orthonormal, at least when operating on sparse vectors.</p>
<p>Applies to asymmetric cases, matrix sensing and robust PCA.</p>
<hr>
<h3 id="locally-optimizable-problems">Locally optimizable problems</h3>
<ul>
<li>Low rank matrix
<ul>
<li>SVD/PCA, Matrix Completion, Synchronization, Matrix Sensing, GLM, MAX-CUT</li>
</ul>
</li>
<li>Low rank tensor
<ul>
<li>Dictionary Learning, Tensor Decomposition, 2-Layer Neural Net</li>
</ul>
</li>
</ul>
<hr>
<h2 id="optimization-landscape-for-neural-network">Optimization landscape for neural network</h2>
<p>$$
g_W(x) = \sigma(W_p\sigma(W_{p-1}\sigma(\cdots \sigma(W_1x)\cdots)))
$$</p>
<p>$$
f(W) = \mathbb E[\|y - g_W(x)\|^2]
$$</p>
<aside class="notes">
<ul>
<li>Fully connected with ReLU</li>
<li>40 min mark</li>
</ul>
</aside>
<hr>
<h3 id="teacherstudent-setting">Teacher/Student Setting</h3>
<ul>
<li>Goal: Prove sth about optimization</li>
<li>Assume there is already a good network ($W^*$) and enough samples</li>
<li>Good solution: student mimic teacher</li>
</ul>
<aside class="notes">
<ul>
<li>Make sure that the hypothesis class can recover the solution</li>
<li>Focus on optimization</li>
</ul>
</aside>
<hr>
<h3 id="linear-networks">Linear Networks</h3>
<p>$$
g_W(x) = W_pW_{p-1}\cdots W_1x
$$</p>
<p>[<a href="https://arxiv.org/abs/1605.07110">Kawaguchi 16</a>], [<a href="https://arxiv.org/abs/1707.02444">YSJ18</a>]</p>
<ul>
<li><span class="fragment " >
All local minima of linear neural network (with squared loss) are global*
</span></li>
<li><span class="fragment " >
With 2 layers, no higher order saddle points.
</span></li>
<li><span class="fragment " >
With 3 or more layers, has higher order saddles.
</span></li>
</ul>
<aside class="notes">
<ul>
<li>All methods rely on different assumptions. Not comparable and not clear whether the assumptions are necessary</li>
</ul>
</aside>
<hr>
<ul>
<li>For a critical point, if product of all layers has rank $r$, then it is a local and global minima (if r = min(m, n)) it can also be a normal saddle point (if r &lt; min(m, n)).</li>
<li>Open problem: does local search actually find a global minimum?</li>
</ul>
<aside class="notes">
<ul>
<li>min(m, n) the maximum rank we can get</li>
<li>Algorithm can be trapped in higher order saddles</li>
</ul>
</aside>
<hr>
<h3 id="two-layer-neural-network">Two-Layer Neural Network</h3>
<p>$$
g(x) = a^T\sigma(Bx)
$$</p>
<ul>
<li><span class="fragment " >
Wlog: rows of $B$ ($b_i$) are unit norm.
</span></li>
<li><span class="fragment " >
Data: $x\sim N(0, I)$, $y$ from a teacher.
</span></li>
<li><span class="fragment " >
Some more technical assumptions on a*, B*
</span></li>
</ul>
<aside class="notes">
<ul>
<li>most importantly, $B^*$ is full-rank</li>
</ul>
</aside>
<hr>
<h3 id="bad-local-minima">Bad local minima</h3>
<p><span style="color:blue">Claim: </span>The objective function $f(a, B)$ has local minima that are not equivalent to the ground truth.</p>
<ul>
<li>Observed in [<a href="https://arxiv.org/abs/1711.00501" title="Learning One-hidden-layer Neural Networks with Landscape Design">GLM17</a>]</li>
<li>formmaly verified in [<a href="https://arxiv.org/abs/1712.08968" title="Spurious Local Minima are Common in Two-Layer ReLU Neural Networks">Safran&amp;Shamir17</a>]</li>
</ul>
<aside class="notes">
<ul>
<li>Over-parametrization appears to drastically reduce such local minima</li>
</ul>
</aside>
<hr>
<h3 id="landscape-design">Landscape Design</h3>
<ul>
<li>Idea: Design a new objective with no bad local min.</li>
<li>Implicit in many previous techniques
<ul>
<li>Regularization</li>
<li>Methods-of-moments instead of MLE</li>
</ul>
</li>
</ul>
<hr>
<h3 id="provable-new-objective">Provable New Objective</h3>
<blockquote>
<p><span style="color:blue">Theorem</span>[<a href="https://arxiv.org/abs/1711.00501" title="Learning One-hidden-layer Neural Networks with Landscape Design">GLM17</a>]: Can construct an objective for two-layer neural network such that all local minima are global*</p>
</blockquote>
<ul>
<li><span class="fragment " >
Objective inspired by tensor decomposition
</span></li>
<li><span class="fragment " >
Relies on Gaussian distribution
</span></li>
<li><span class="fragment " >
Extended to symmetric input distribution* by [<a href="https://arxiv.org/abs/1810.06793" title="Learning Two-layer Neural Networks with Symmetric Inputs">GKLW18</a>]
</span></li>
</ul>
<aside class="notes">
<ul>
<li>There are some assumptions for global* to be hold</li>
</ul>
</aside>
<hr>
<p><span style="color:blue">Theorem</span>[<a href="https://arxiv.org/abs/1810.06793" title="Learning Two-layer Neural Networks with Symmetric Inputs">GKLW18</a>]: For a two-layer neural network with more outputs than hidden units, if the input distribution is symmetric, there is a polynormial time algorithm that learns the neural network</p>
<hr>
<p><span style="color:blue">Theorem</span>[<a href="https://arxiv.org/abs/1909.11837" title="Mildly Overparametrized Neural Nets can Memorize Training Data Efficiently">GWZ19</a>]: For a 2/3-layer neural network with quadratic/polynormal activations, if the inputs are in general position, and</p>
<p>#parameters = O(1) #training samples</p>
<p>GD can memorize training data.</p>
<hr>
<h3 id="spin-glass-model">Spin Glass Model</h3>
<blockquote>
<p><span style="color:blue">Claim</span>[<a href="https://arxiv.org/abs/1412.0233" title="The Loss Surfaces of Multilayer Networks">CHMBL15</a>]: all the local minima of a neural network have approximate equal function value</p>
</blockquote>
<img src="img/spin-glass.png" alt="Solution 3" height="200">
<hr>
<h3 id="kac-rice-formula">Kac-Rice Formula</h3>
<p>$$
\int_x\mathbb E[|\det(\nabla^2 f)|\cdot \mathbf 1(\nabla^2 f\preceq0)\mathbf 1(x\in Z)|\nabla f(x)=0]p_{\nabla f(x)}
$$</p>
<ul>
<li><span class="fragment " >
Proof idea: Count number of local min directly
</span></li>
<li><span class="fragment " >
Evaluate the formula using random matrix theory
</span></li>
<li><span class="fragment " >
Formal for spin-glass model (random polynormials), informal connection with NNs.
</span></li>
<li><span class="fragment " >
Formal results for overcomplete tensor and tensor PCA
</span></li>
</ul>
<aside class="notes">
<ul>
<li>Kac-Rice formula can be used to compute #local minima in any region</li>
<li>In some cases, Hess and grad will be nice random matrices</li>
</ul>
</aside>
<hr>
<h3 id="dynamicstrajectory">Dynamics/Trajectory</h3>
<ul>
<li><span class="fragment " >
Main idea: instead of analyzing the global landscape, analyze the path from a random initialization.
</span></li>
<li><span class="fragment " >
Observation: path can be very short
</span></li>
</ul>
<hr>
<ul>
<li>Empirical Risk/Training Error
<ul>
<li>[Du, Zhai, Poczos, Singh] Two-layer</li>
<li>[Allen-Zhu, Li, Song] [Du, Lee, Li, Wang, Zhai] [Zou, Cao, Zhu, Gu] Multi-layer/ResNet</li>
<li>[Allen-Zhu, Li, Song] Recurrent Neural Network</li>
</ul>
</li>
<li>Population Risk/Test Error
<ul>
<li>[Li Linag] Special multiclass classification</li>
<li>[Allen-Zhu, Li, Liang] 2 or 3 layer neural network. &ldquo;Kernel-like&rdquo; setting, special activation</li>
</ul>
</li>
</ul>
<aside class="notes">
<ul>
<li>Suppose your model is over-parametrized, it can overfit to your data</li>
<li>Considering generalization is harder.</li>
<li>Kernel-like means the neural net is approximable using low-degree polynomials</li>
<li>and requires special activation</li>
</ul>
</aside>
<hr>
<h2 id="beyond-optimizationhttpwwwoffconvexorg20190603trajectories"><a href="http://www.offconvex.org/2019/06/03/trajectories/">Beyond Optimization</a></h2>
<p>Accelerated methods are faster but leads to slightly worse generalization.</p>
<aside class="notes">
<ul>
<li>GD has an innate bias towards finding solutions with good generalization
<ul>
<li>Methods to speed up gradient descent (e.g., acceleration or adaptive regularization) can sometimes lead to worse generalization.</li>
</ul>
</li>
<li>We need to develop a new vocabulary (and mathematics) to reason about trajectories. This goes beyond the usual βlandscape viewβ of stationary points, gradient norms, Hessian norms, smoothness etc</li>
</ul>
</aside>
<hr>
<h3 id="finding-a-global-minimum-is-not-always-good-enough-trajectoryimplicit-bias">Finding a global minimum is not always good enough (trajectory/implicit bias)</h3>
<hr>
<h2 id="neural-tangent-kernelshttpwwwoffconvexorg20191003ntk"><a href="http://www.offconvex.org/2019/10/03/NTK/">Neural Tangent Kernels</a></h2>
<p>Optimization is easy (linear) in highly overparametrized regime</p>
<hr>
<h3 id="how-many-parameters-do-we-need">How many parameters do we need?</h3>
</aside>
</span></description>
</item>
<item>
<title>The EM Algorithm</title>
<link>/slides/the-em-algorithm/</link>
<pubDate>Mon, 27 Apr 2020 00:00:00 +0000</pubDate>
<guid>/slides/the-em-algorithm/</guid>
<description><h1 id="the-em-algorithm">The EM Algorithm</h1>
<hr>
<h2 id="appearance">Appearance</h2>
<ul>
<li><span class="fragment " >
Gaussian mixture models
</span></li>
<li><span class="fragment " >
the Baum-Welch algorithm for HMM
</span></li>
<li><span class="fragment " >
mixed regression
</span></li>
<li><span class="fragment " >
close to Lloyd&rsquo;s algorithm for k-means clustering
</span></li>
</ul>
<hr>
<h2 id="notation">Notation</h2>
<p><span class="fragment " >
<em>distribution</em> with parameter $\boldsymbol \theta$: $f(\cdot|\boldsymbol \theta)$ or $f_{\boldsymbol\theta}$
</span></p>
<p><span class="fragment " >
<em>parametric family</em>: $\mathcal F=\{f_\theta:\boldsymbol{\theta}\in\Theta\}$
</span></p>
<p><span class="fragment " >
<em>random variable</em> : $X\sim f(\cdot|\boldsymbol\theta)$ or $X\sim f_{\boldsymbol\theta}$
</span></p>
<aside class="notes">
<ul>
<li>The random variable is usually a joint of input and label</li>
</ul>
</aside>
<hr>
<h2 id="probabilistic-machine-learning">Probabilistic Machine Learning</h2>
<p>We observe i.i.d. samples $\mathbf x_1, \mathbf x_2, \dots, \mathbf x_n\sim\mathbb P$.</p>
<p>Assume $\mathbb P$ belongs to $\mathcal F$ and estimate the opptimal $\theta^*$.</p>
<aside class="notes">
<ul>
<li>$\mathbb P$ is a data-generating distribution we don&rsquo;t see</li>
</ul>
</aside>
<hr>
<h3 id="likelihood">Likelihood</h3>
<p>$$
\begin{aligned}
\mathcal L(\mathbf \theta;\mathbf x_1, \mathbf x_2, \dots, \mathbf x_n) &amp; := f(\mathbf x_1, \mathbf x_2, \dots, \mathbf x_n|\boldsymbol \theta)\\<br>
&amp; = \prod_{i=1}^n f(\mathbf x_i\vert\boldsymbol \theta)
\end{aligned}
$$</p>
<hr>
<h3 id="maximum-likelihood-estimate">Maximum Likelihood Estimate</h3>
<p>$$
\hat{\mathbf \theta}_{MLE}:=\underset{\mathbf \theta\in\Theta}{\text{arg max }}\mathcal L(\mathbf \theta;\mathbf x_1, \mathbf x_2, \dots, \mathbf x_n)
$$</p>
<aside class="notes">
<ul>
<li>Maximum a Posteriori</li>
</ul>
</aside>
<hr>
<h2 id="latent-variable">Latent Variable</h2>
<p>some hidden variable $Z$ that affect the observation $Y$</p>
<p>$(Y,Z)\sim f_{\theta^*} = f(\cdot, \cdot|\mathbf \theta^*)$</p>
<aside class="notes">
<ul>
<li>Topics of an article</li>
</ul>
</aside>
<hr>
<h3 id="marginalized-likelihood">Marginalized likelihood</h3>
<p>$\mathcal L(\theta; y) = \prod_{i=1}^n\sum_{z_i\in\mathcal Z} f(y_i, z_i|\theta)$</p>
<p><span class="fragment " >
Summing $z$ is usually intractable.
</span></p>
<hr>
<h3 id="am-lvm">AM-LVM</h3>
<p>Alternatively estimate $\theta^t$ and $z^t$ at time step $t$</p>
<ol>
<li><span class="fragment " >
assign a $z^t_i$ to each $y_i$
</span></li>
<li><span class="fragment " >
$\theta^t$: MLE on $\mathcal L(\theta; \{(y_i, z^t_i)\}^n_{i=1}$
</span></li>
<li><span class="fragment " >
$z^{t+1}$: MAP on $f(z|y_i, \theta^t)$
</span></li>
</ol>
<p><span class="fragment " >
AM-LVM neglects all affects of $z'$ that is not the most likely ones.
</span></p>
<aside class="notes">
<ul>
<li>Topics of an article</li>
</ul>
</aside>
<hr>
<h2 id="em-algorithm">EM Algorithm</h2>
<p>&ldquo;assigns&rdquo; $y_i$ to a value $z$ with weight $f(z|y_i, \theta^t)$</p>
<hr>
<h3 id="sampling-z">Sampling $z$</h3>
<p>$$
\log\mathcal L(\theta;y) = \log\sum_zf(y, z|\theta)
$$</p>
<p><span class="fragment " >
$$ =\log\sum_zf(z|y, \theta^0)\frac{f(y, z|\theta)}{f(z|y, \theta^0)} $$
</span></p>
<p><span class="fragment " >
$$ =\log\mathbb E_{z\sim f(\cdot|y, \theta^0)}\left[\frac{f(y, z|\theta)}{f(z|y, \theta^0)}\right] $$
</span></p>
<hr>
<h3 id="q-function">$Q$-function</h3>
<p>\begin{aligned}
&amp; \log\mathbb E_{z\sim f(\cdot|y, \theta^0)}\left[\frac{f(y, z|\theta)}{f(z|y, \theta^0)}\right] \\<br>
\ge&amp; \mathbb E_{z\sim f(\cdot|y, \theta^0)}\left[\log\frac{f(y, z|\theta)}{f(z|y, \theta^0)}\right] \qquad \text{(Jensen&rsquo;s inequality)}\\<br>
=&amp; \mathbb E_{z\sim f(\cdot|y, \theta^0)}[\log f(y, z|\theta)] \qquad \qquad (Q_y(\theta|\theta^0))\\<br>
&amp;- \mathbb E_{z\sim f(\cdot|y, \theta^0)}[\log f(z|y, \theta^0)] \qquad (R_y(\theta^0))
\end{aligned}</p>
<aside class="notes">
<ul>
<li>weighted point-wise likelihood</li>
<li>Variational distribution</li>
<li>equals iff $\theta^0 = \theta$</li>
</ul>
</aside>
<hr>
<h3 id="choosing-theta-to-improve-q">Choosing $\theta$ to improve $Q$</h3>
<p>$$
\log\mathcal L(\theta^0;y) = Q_y(\theta^0|\theta^0) - R_y(\theta^0)
$$</p>
<p>$$
\log\mathcal L(\theta;y) - \log\mathcal L(\theta^0;y) \ge Q_y(\theta|\theta^0) - Q_y(\theta^0|\theta^0)
$$</p>
<p><span class="fragment " >
causes $\log\mathcal L(\theta;y)$ to improve at least as much.
</span></p>
<hr>
<h3 id="pseudo-code">Pseudo Code</h3>
<pre><code>theta &lt;- INITIALIZE()
for t = 1, 2, ... do
Q &lt;- E(theta) // E-step
theta &lt;- M(theta, Q) // M-step
end for
return theta
</code></pre>
<hr>
<h3 id="e-step-sampling-construction">E-step: sampling construction</h3>
<p>$$
Q_t(\theta|\theta^t) = \frac1n \sum_{i=1}^n\sum_{z\in\mathcal Z} f(z|y, \theta^t)\cdot \log f(y_i, z|\theta)
$$</p>
<aside class="notes">
<ul>
<li>this expression has $n\cdot |\mathcal Z|$ terms instead of $|\mathcal Z|^n$ terms.</li>
</ul>
</aside>
<hr>
<h3 id="m-step-gradient-descent">M-step: gradient descent</h3>
<p>$$
M(\theta, Q_{Y_t}) = \theta^t + \alpha_t\cdot\nabla Q_{Y_t}(\theta^t|\theta^t)
$$</p>
<aside class="notes">
<ul>
<li>this expression has $n\cdot |\mathcal Z|$ terms instead of $|\mathcal Z|^n$ terms.</li>
<li>if M-step improves $Q$, then EM iteration improves likelihood</li>
</ul>
</aside>
<hr>
<h2 id="motivating-applications">Motivating Applications</h2>
<p>Gaussian Mixture Models:</p>
<p>$$
f(\cdot|{\boldsymbol {\theta }})=\sum _{i=1}^{K}\phi _{i}{\mathcal {N}}({\boldsymbol {\mu _{i},\Sigma _{i}}})
$$</p>
<aside class="notes">
EM is of particular appeal for finite normal mixtures where closed-form expressions are possible such as in the following iterative algorithm by Dempster et al. (1977)
</aside>
<hr>
<h3 id="plate-notation">Plate notation</h3>
<figure id="figure-non-bayesian-gaussian-mixture-model">
<a data-fancybox="" href="/slides/the-em-algorithm/img/gaussian_mixture_hufdcb3d7e176a515abb9c2f1e6f0a0e69_16873_2000x2000_fit_lanczos_2.png" data-caption="Non-Bayesian Gaussian mixture model">
<img data-src="/slides/the-em-algorithm/img/gaussian_mixture_hufdcb3d7e176a515abb9c2f1e6f0a0e69_16873_2000x2000_fit_lanczos_2.png" class="lazyload" alt="" width="580" height="480">
</a>
<figcaption>
Non-Bayesian Gaussian mixture model
</figcaption>
</figure>
<aside class="notes">
<ul>
<li>Smaller squares indicate fixed parameters;</li>
<li>larger circles indicate random variables.</li>
<li>Filled-in shapes indicate known values.</li>
<li>The indication [K] means a vector of size K.</li>
</ul>
</aside>
<hr>
<h3 id="e-step">E-step</h3>
<p>$$
h_{s}^{(j)}(t)={\frac {w_{s}^{(j)}p_{s}(x^{(t)};\mu _{s}^{(j)},\Sigma _{s}^{(j)})}{\sum _{i=1}^{n}w_{i}^{(j)}p_{i}(x^{(t)};\mu _{i}^{(j)},\Sigma _{i}^{(j)})}}.
$$</p>
<hr>
<h3 id="m-step">M-step</h3>
<p>$$
w_{s}^{(j+1)}={\frac {1}{N}}\sum _{t=1}^{N}h_{s}^{(j)}(t)
$$
$$
{\displaystyle \mu _{s}^{(j+1)}={\frac {\sum _{t=1}^{N}h_{s}^{(j)}(t)x^{(t)}}{\sum _{t=1}^{N}h_{s}^{(j)}(t)}}}
$$
$$
{\displaystyle \Sigma _{s}^{(j+1)}={\frac {\sum _{t=1}^{N}h_{s}^{(j)}(t)[x^{(t)}-\mu _{s}^{(j+1)}][x^{(t)}-\mu _{s}^{(j+1)}]^{\top }}{\sum _{t=1}^{N}h_{s}^{(j)}(t)}}}
$$</p>
</description>
</item>
<item>
<title>Universal Differential Equations for Scientific Machine Learning</title>
<link>/slides/universal-differential-equations-for-scientific-machine-learning/</link>
<pubDate>Wed, 01 Apr 2020 00:00:00 +0000</pubDate>
<guid>/slides/universal-differential-equations-for-scientific-machine-learning/</guid>
<description><h2 id="universal-differential-equations-for-scientific-machine-learning">Universal Differential Equations for Scientific Machine Learning</h2>
<p>Chris Rackauckas<br/>
Massachusetts Institute of Technology, Department of Mathematics<br/>
University of Maryland, Baltimore, School of Pharmacy, Center for Translational Medicine</p>
<hr>
<h3 id="the-major-advances-in-machine-learning-were-due-to-encoding-more-structure-into-the-model">The major advances in machine learning were due to encoding more structure into the model</h3>
<p>More structure = Faster and better fits from less data</p>
<hr>
<h3 id="convolutional-neural-networks-are-structure-assumptions">Convolutional Neural Networks Are Structure Assumptions</h3>
<figure >
<a data-fancybox="" href="/slides/universal-differential-equations-for-scientific-machine-learning/img/cnn_hu2802cfbd5c89b654c13105493c7e4938_300251_2000x2000_fit_lanczos_2.png" >
<img data-src="/slides/universal-differential-equations-for-scientific-machine-learning/img/cnn_hu2802cfbd5c89b654c13105493c7e4938_300251_2000x2000_fit_lanczos_2.png" class="lazyload" alt="" width="1206" height="435">
</a>
</figure>
<hr>
<h3 id="what-is-the-structure-of-science">What is the structure of science?</h3>
<hr>
<h3 id="ecology-example-lotka-volterra-equation">Ecology Example: Lotka-Volterra Equation</h3>
<p>$$
\frac{dπ}{dt} = \alpha π - \beta π πΊ
$$</p>
<p>$$
\frac{dπΊ}{dt} = \delta π πΊ - \gamma πΊ
$$</p>
<hr>
<h3 id="scientific-mlal-is-domain-models-with-integrated-machine-learning">Scientific ML/AL is Domain Models with Integrated Machine Learning</h3>
<aside class="notes">
<ul>
<li>Models are these almost correct differential equations</li>
<li>We have to augment the models with the data we have</li>
</ul>
</aside>
<hr>
<h3 id="mechanistic-vs-non-mechanistic-models">Mechanistic vs Non-Mechanistic Models</h3>
<ul>
<li><strong>Differential equations</strong> describe mechanisms/structure and let the equations naturally evolve from this description
<ul>
<li>$π&rsquo;(t) = \alpha π(t)$ encodes &ldquo;the rate at which the population is growing depends on the current number of rabbits&rdquo;.</li>
</ul>
</li>
<li><strong>Machine learning models</strong> specify a learnable black box, where with the right parameters they can fit any nonlinear function.</li>
</ul>
<hr>
<h3 id="universal-approximation-theorem">Universal Approximation Theorem</h3>
<p>Neural networks can get $\epsilon$ close to any $R^n\rightarrow R^m$ function</p>
<p><strong>Neural networks are just function expansions, fancy Taylor Series like things which are good for computing and bad for analysis</strong></p>
<hr>
<h3 id="neural-networks--nonlinear-function-approximation">Neural Networks = Nonlinear Function Approximation</h3>
<ul>
<li>Polynomial: $e^x = a_1 + a_2x + a_3x^2 + \cdots$</li>
<li>Nonlinear: $e^x = 1 + \frac{a_1\tanh(a_2)}{a_3x-\tanh(a_4x)}$</li>
<li>Neural Network: $e^x\approx W_3\sigma(W_2\sigma(W_1x+b_1) + b_2) + b_3$</li>
</ul>
<p>Others: Fourier/Chebyshev Series, Tensor product spaces, sparse grid, RBFs, etc.</p>
<hr>
<h3 id="neural-networks-are-universal-approximators-which-work-well-in-high-dimensions">Neural Networks are universal approximators which work well in high dimensions</h3>
<p>Neural networks overcome &ldquo;the curse of dimensionality&rdquo;</p>
<hr>
<h3 id="universal-differential-equations">Universal Differential Equations</h3>
<ul>
<li>Replace the user-defined structure with a neural network, and learn the nonlinear function for the structure</li>
<li>Neural ordinary differential equation: $u&rsquo; = f(u, p, t)$. Let $f$ be a neural network.</li>
</ul>
<hr>
<h2 id="fragments">Fragments</h2>
<p>Make content appear incrementally</p>
<pre><code>{{% fragment %}} One {{% /fragment %}}
{{% fragment %}} **Two** {{% /fragment %}}
{{% fragment %}} Three {{% /fragment %}}
</code></pre>
<p>Press <code>Space</code> to play!</p>
<p><span class="fragment " >
One
</span>
<span class="fragment " >
<strong>Two</strong>
</span>
<span class="fragment " >
Three
</span></p>
<hr>
<p>A fragment can accept two optional parameters:</p>
<ul>
<li><code>class</code>: use a custom style (requires definition in custom CSS)</li>
<li><code>weight</code>: sets the order in which a fragment appears</li>
</ul>
<hr>
<h2 id="speaker-notes">Speaker Notes</h2>
<p>Add speaker notes to your presentation</p>
<pre><code class="language-markdown">{{% speaker_note %}}
- Only the speaker can read these notes
- Press `S` key to view
{{% /speaker_note %}}
</code></pre>
<p>Press the <code>S</code> key to view the speaker notes!</p>
<aside class="notes">
<ul>
<li>Only the speaker can read these notes</li>
<li>Press <code>S</code> key to view</li>
</ul>
</aside>
<hr>
<h2 id="themes">Themes</h2>