RUDI Alessandro

The theory of spectral filtering is a remarkable tool to understand the statistical properties of learning with kernels. For least squares, it allows to derive various regularization schemes that yield faster convergence rates of the excess risk than with Tikhonov regularization. This is typically achieved by leveraging classical assumptions called source and capacity conditions, which characterize the difficulty of the learning task. In order to understand estimators derived from other loss functions, Marteau-Ferey et al. have extended the theory of Tikhonov regularization to generalized self concordant loss functions (GSC), which contain, e.g., the logistic loss. In this paper, we go a step further and show that fast and optimal rates can be achieved for GSC by using the iterated Tikhonov regularization scheme, which is intrinsically related to the proximal point method in optimization, and overcomes the limitation of the classical Tikhonov regularization.

A powerful and flexible approach to structured prediction consists in embedding the structured objects to be predicted into a feature space of possibly infinite dimension by means of output kernels, and then, solving a regression problem in this output space. A prediction in the original space is computed by solving a pre-image problem. In such an approach, the embedding, linked to the target loss, is defined prior to the learning phase. In this work, we propose to jointly learn a finite approximation of the output embedding and the regression function into the new feature space. For that purpose, we leverage a priori information on the outputs and also unexploited unsupervised output data, which are both often available in structured prediction problems. We prove that the resulting structured predictor is a consistent estimator, and derive an excess risk bound. Moreover, the novel structured prediction tool enjoys a significantly smaller computational complexity than former output kernel methods. The approach empirically tested on various structured prediction problems reveals to be versatile and able to handle large datasets.

We introduce an approximation method to solve an optimal control problem via the Lagrange dual of its weak formulation. It is based on a sum-of-squares representation of the Hamiltonian, and extends a previous method from polynomial optimization to the generic case of smooth problems. Such a representation is infinite-dimensional and relies on a particular space of functions-a reproducing kernel Hilbert space-chosen to fit the structure of the control problem. After subsampling, it leads to a practical method that amounts to solving a semi-definite program. We illustrate our approach by a numerical application on a simple low-dimensional control problem.

Mixability has been shown to be a powerful tool to obtain algorithms with optimal regret. However, the resulting methods often suffer from high computational complexity which has reduced their practical applicability. For example, in the case of multiclass logistic regression, the aggregating forecaster (Foster et al. (2018)) achieves a regret of $O(\log(Bn))$ whereas Online Newton Step achieves $O(e^B\log(n))$ obtaining a double exponential gain in $B$ (a bound on the norm of comparative functions). However, this high statistical performance is at the price of a prohibitive computational complexity $O(n^{37})$.

Machine learning approached through supervised learning requires expensive annotation of data. This motivates weakly supervised learning, where data are annotated with incomplete yet discriminative information. In this paper, we focus on partial labelling, an instance of weak supervision where, from a given input, we are given a set of potential targets. We review a disambiguation principle to recover full supervision from weak supervision, and propose an empirical disambiguation algorithm. We prove exponential convergence rates of our algorithm under classical learnability assumptions, and we illustrate the usefulness of our method on practical examples.

Discrete supervised learning problems such as classification are often tackled by introducing a continuous surrogate problem akin to regression. Bounding the original error, between estimate and solution, by the surrogate error endows discrete problems with convergence rates already shown for continuous instances. Yet, current approaches do not leverage the fact that discrete problems are essentially predicting a discrete output when continuous problems are predicting a continuous value. In this paper, we tackle this issue for general structured prediction problems, opening the way to "super fast" rates, that is, convergence rates for the excess risk faster than n −1 , where n is the number of observations, with even exponential rates with the strongest assumptions. We first illustrate it for predictors based on nearest neighbors, generalizing rates known for binary classification to any discrete problem within the framework of structured prediction. We then consider kernel ridge regression where we improve known rates in n −1/4 to arbitrarily fast rates, depending on a parameter characterizing the hardness of the problem, thus allowing, under smoothness assumptions, to bypass the curse of dimensionality.

Annotating datasets is one of the main costs in nowadays supervised learning. The goal of weak supervision is to enable models to learn using only forms of labelling which are cheaper to collect, as partial labelling. This is a type of incomplete annotation where, for each datapoint, supervision is cast as a set of labels containing the real one. The problem of supervised learning with partial labelling has been studied for specific instances such as classification, multi-label, ranking or segmentation, but a general framework is still missing. This paper provides a unified framework based on structured prediction and on the concept of infimum loss to deal with partial labelling over a wide family of learning problems and loss functions. The framework leads naturally to explicit algorithms that can be easily implemented and for which proved statistical consistency and learning rates. Experiments confirm the superiority of the proposed approach over commonly used baselines.

Linear models have shown great effectiveness and flexibility in many fields such as machine learning, signal processing and statistics. They can represent rich spaces of functions while preserving the convexity of the optimization problems where they are used, and are simple to evaluate, differentiate and integrate. However, for modeling non-negative functions, which are crucial for unsupervised learning, density estimation, or non-parametric Bayesian methods, linear models are not applicable directly. Moreover, current state-of-the-art models like generalized linear models either lead to non-convex optimization problems, or cannot be easily integrated. In this paper we provide the first model for non-negative functions which benefits from the same good properties of linear models. In particular, we prove that it admits a representer theorem and provide an efficient dual formulation for convex problems. We study its representation power, showing that the resulting space of functions is strictly richer than that of generalized linear models. Finally we extend the model and the theoretical results to functions with outputs in convex cones. The paper is complemented by an experimental evaluation of the model showing its effectiveness in terms of formulation, algorithmic derivation and practical results on the problems of density estimation, regression with heteroscedastic errors, and multiple quantile regression.

We consider the setting of online logistic regression and consider the regret with respect to the 2-ball of radius B. It is known (see [Hazan et al., 2014]) that any proper algorithm which has logarithmic regret in the number of samples (denoted n) necessarily suffers an exponential multiplicative constant in B. In this work, we design an efficient improper algorithm that avoids this exponential constant while preserving a logarithmic regret. Indeed, [Foster et al., 2018] showed that the lower bound does not apply to improper algorithms and proposed a strategy based on exponential weights with prohibitive computational complexity. Our new algorithm based on regularized empirical risk minimization with surrogate losses satisfies a regret scaling as O(B log(Bn)) with a per-round time-complexity of order O(d^2).

We consider the global minimization of smooth functions based solely on function evaluations. Algorithms that achieve the optimal number of function evaluations for a given precision level typically rely on explicitly constructing an approximation of the function which is then minimized with algorithms that have exponential running-time complexity. In this paper, we consider an approach that jointly models the function to approximate and finds a global minimum. This is done by using infinite sums of square smooth functions and has strong links with polynomial sum-of-squares hierarchies. Leveraging recent representation properties of reproducing kernel Hilbert spaces, the infinite-dimensional optimization problem can be solved by subsampling in time polynomial in the number of function evaluations, and with theoretical guarantees on the obtained minimum. Given $n$ samples, the computational cost is $O(n^{3.5})$ in time, $O(n^2)$ in space, and we achieve a convergence rate to the global optimum that is $O(n^{-m/d + 1/2 + 3/d})$ where $m$ is the degree of differentiability of the function and $d$ the number of dimensions. The rate is nearly optimal in the case of Sobolev functions and more generally makes the proposed method particularly suitable for functions that have a large number of derivatives. Indeed, when $m$ is in the order of $d$, the convergence rate to the global optimum does not suffer from the curse of dimensionality, which affects only the worst-case constants (that we track explicitly through the paper).

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In this paper, we study large-scale convex optimization algorithms based on the Newton method applied to regularized generalized self-concordant losses, which include logistic regression and softmax regression. We first prove that our new simple scheme based on a sequence of problems with decreasing regularization parameters is provably globally convergent, that this convergence is linear with a constant factor which scales only logarithmically with the condition number. In the parametric setting, we obtain an algorithm with the same scaling than regular first-order methods but with an improved behavior, in particular in ill-conditioned problems. Second, in the non parametric machine learning setting, we provide an explicit algorithm combining the previous scheme with Nyström projection techniques, and prove that it achieves optimal generalization bounds with a time complexity of order O(ndf λ), a memory complexity of order O(df 2 λ) and no dependence on the condition number, generalizing the results known for least-squares regression. Here n is the number of observations and df λ is the associated degrees of freedom. In particular, this is the first large-scale algorithm to solve logistic and softmax regressions in the non-parametric setting with large condition numbers and theoretical guarantees.

Poincaré inequalities are ubiquitous in probability and analysis and have various applications in statistics (concentration of measure, rate of convergence of Markov chains). The Poincaré constant, for which the inequality is tight, is related to the typical convergence rate of diffusions to their equilibrium measure. In this paper, we show both theoretically and experimentally that, given sufficiently many samples of a measure, we can estimate its Poincaré constant. As a by-product of the estimation of the Poincaré constant, we derive an algorithm that captures a low dimensional representation of the data by finding directions which are difficult to sample. These directions are of crucial importance for sampling or in fields like molecular dynamics, where they are called reaction coordinates. Their knowledge can leverage, with a simple conditioning step, computational bottlenecks by using importance sampling techniques.

In this work we provide an estimator for the covariance matrix of a heavy-tailed multivariate distribution We prove that the proposed estimator $\widehat{\mathbf{S}}$ admits an \textit{affine-invariant} bound of the form $$(1-\epsilon )\mathbf{S}\preccurlyeq \hat{\mathbf{S}}\preccurlyeq (1+\epsilon )\mathbf{S}$$ in high probability, where $\mathbf{S}$ is the unknown covariance matrix, and $\preccurlyeq$ is the positive semidefinite order on symmetric matrices. The result only requires the existence of fourth-order moments, and allows for $\varepsilon = O(\sqrt{\kappa^4 d\log(d/\delta)/n})$ where $\kappa^4$ is a measure of kurtosis of the distribution, $d$ is the dimensionality of the space, $n$ is the sample size, and $1-\delta$ is the desired confidence level. More generally, we can allow for regularization with level $\lambda$, then $d$ gets replaced with the degrees of freedom number. Denoting $\text{cond}(\mathbf{S})$ the condition number of $\mathbf{S}$, the computational cost of the novel estimator is $O(d^2 n + d^3\log(\text{cond}(\mathbf{S})))$, which is comparable to the cost of the sample covariance estimator in the statistically interesing regime $n \ge d$. We consider applications of our estimator to eigenvalue estimation with relative error, and to ridge regression with heavy-tailed random design.

We are interested in a framework of online learning with kernels for low-dimensional but large-scale and potentially adversarial datasets. We study the computational and theoretical performance of online variations of kernel Ridge regression. Despite its simplicity, the algorithm we study is the first to achieve the optimal regret for a wide range of kernels with a per-round complexity of order $n^\alpha$ with $\alpha < 2$. The algorithm we consider is based on approximating the kernel with the linear span of basis functions. Our contributions is two-fold: 1) For the Gaussian kernel, we propose to build the basis beforehand (independently of the data) through Taylor expansion. For $d$-dimensional inputs, we provide a (close to) optimal regret of order $O((\log n)^{d+1})$ with per-round time complexity and space complexity $O((\log n)^{2d})$. This makes the algorithm a suitable choice as soon as $n \gg e^d$ which is likely to happen in a scenario with small dimensional and large-scale dataset. 2) For general kernels with low effective dimension, the basis functions are updated sequentially in a data-adaptive fashion by sampling Nyström points. In this case, our algorithm improves the computational trade-off known for online kernel regression.

We consider learning methods based on the regularization of a convex empirical risk by a squared Hilbertian norm, a setting that includes linear predictors and non-linear predictors through positive-definite kernels. In order to go beyond the generic analysis leading to convergence rates of the excess risk as $O(1/\sqrt{n})$ from $n$ observations, we assume that the individual losses are self-concordant, that is, their third-order derivatives are bounded by their second-order derivatives. This setting includes least-squares, as well as all generalized linear models such as logistic and softmax regression. For this class of losses, we provide a bias-variance decomposition and show that the assumptions commonly made in least-squares regression, such as the source and capacity conditions, can be adapted to obtain fast non-asymptotic rates of convergence by improving the bias terms, the variance terms or both.

In this paper, we study regression problems over a separable Hilbert space with the square loss, covering non-parametric regression over a reproducing kernel Hilbert space. We investigate a class of spectral/regularized algorithms, including ridge regression, principal component regression, and gradient methods. We prove optimal, high-probability convergence results in terms of variants of norms for the studied algorithms, considering a capacity assumption on the hypothesis space and a general source condition on the target function. Consequently, we obtain almost sure convergence results with optimal rates. Our results improve and generalize previous results, filling a theoretical gap for the non-attainable cases.

The problem of devising learning strategies for discrete losses (e.g., multilabeling, ranking) is currently addressed with methods and theoretical analyses ad-hoc for each loss. In this paper we study a least-squares framework to systematically design learning algorithms for discrete losses, with quantitative characterizations in terms of statistical and computational complexity. In particular we improve existing results by providing explicit dependence on the number of labels for a wide class of losses and faster learning rates in conditions of low-noise. Theoretical results are complemented with experiments on real datasets, showing the effectiveness of the proposed general approach.

We consider stochastic gradient descent (SGD) for least-squares regression with potentially several passes over the data. While several passes have been widely reported to perform practically better in terms of predictive performance on unseen data, the existing theoretical analysis of SGD suggests that a single pass is statistically optimal. While this is true for low-dimensional easy problems, we show that for hard problems, multiple passes lead to statistically optimal predictions while single pass does not. we also show that in these hard models, the optimal number of passes over the data increases with sample size. In order to define the notion of hardness and show that our predictive performances are optimal, we consider potentially infinite-dimensional models and notions typically associated to kernel methods, namely, the decay of eigenvalues of the covariance matrix of the features and the complexity of the optimal predictor as measured through the covariance matrix. We illustrate our results on synthetic experiments with non-linear kernel methods and on a classical benchmark with a linear model.

Applications of optimal transport have recently gained remarkable attention thanks to the computational advantages of entropic regularization. However, in most situations the Sinkhorn approximation of the Wasserstein distance is replaced by a regularized version that is less accurate but easy to differentiate. In this work we characterize the differential properties of the original Sinkhorn distance, proving that it enjoys the same smoothness as its regularized version and we explicitly provide an efficient algorithm to compute its gradient. We show that this result benefits both theory and applications: on one hand, high order smoothness confers statistical guarantees to learning with Wasserstein approximations. On the other hand, the gradient formula allows us to efficiently solve learning and optimization problems in practice. Promising preliminary experiments complement our analysis.

Key to structured prediction is exploiting the problem structure to simplify the learning process. A major challenge arises when data exhibit a local structure (e.g., are made by "parts") that can be leveraged to better approximate the relation between (parts of) the input and (parts of) the output. Recent literature on signal processing, and in particular computer vision, has shown that capturing these aspects is indeed essential to achieve state-of-the-art performance. While such algorithms are typically derived on a case-by-case basis, in this work we propose the first theoretical framework to deal with part-based data from a general perspective. We derive a novel approach to deal with these problems and study its generalization properties within the setting of statistical learning theory. Our analysis is novel in that it explicitly quantifies the benefits of leveraging the part-based structure of the problem with respect to the learning rates of the proposed estimator.

We consider binary classification problems with positive definite kernels and square loss, and study the convergence rates of stochastic gradient methods. We show that while the excess testing loss (squared loss) converges slowly to zero as the number of observations (and thus iterations) goes to infinity, the testing error (classification error) converges exponentially fast if low-noise conditions are assumed.

Sketching and stochastic gradient methods are arguably the most common techniques to derive efficient large scale learning algorithms. In this paper, we investigate their application in the context of nonparametric statistical learning. More precisely, we study the estimator defined by stochastic gradient with mini batches and random features. The latter can be seen as form of nonlinear sketching and used to define approximate kernel methods. The considered estimator is not explicitly penalized/constrained and regularization is implicit. Indeed, our study highlights how different parameters, such as number of features, iterations, step-size and mini-batch size control the learning properties of the solutions. We do this by deriving optimal finite sample bounds, under standard assumptions. The obtained results are corroborated and illustrated by numerical experiments.

Structured prediction provides a general framework to deal with supervised problems where the outputs have semantically rich structure. While classical approaches consider finite, albeit potentially huge, output spaces, in this paper we discuss how structured prediction can be extended to a continuous scenario. Specifically, we study a structured prediction approach to manifold valued regression. We characterize a class of problems for which the considered approach is statistically consistent and study how geometric optimization can be used to compute the corresponding estimator. Promising experimental results on both simulated and real data complete our study.

Leverage score sampling provides an appealing way to perform approximate computations for large matrices. Indeed, it allows to derive faithful approximations with a complexity adapted to the problem at hand. Yet, performing leverage scores sampling is a challenge in its own right requiring further approximations. In this paper, we study the problem of leverage score sampling for positive definite matrices defined by a kernel. Our contribution is twofold. First we provide a novel algorithm for leverage score sampling and second, we exploit the proposed method in statistical learning by deriving a novel solver for kernel ridge regression. Our main technical contribution is showing that the proposed algorithms are currently the most efficient and accurate for these problems.