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Sketching is a stochastic dimension reduction method that preserves geometric structures of data and has applications in high-dimensional regression, low rank approximation and graph sparsification. In this work, we show that sketching can be used to compress simulation data and still accurately estimate time autocorrelation and power spectral density. For a given compression ratio, the accuracy is much higher than using previously known methods. In addition to providing theoretical guarantees, we apply sketching to a molecular dynamics simulation of methanol and find that the estimate of spectral density is 90% accurate using only 10% of the data.
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In this paper, we develop a novel procedure for low-rank tensor regression, namely emph{underline{I}mportance underline{S}ketching underline{L}ow-rank underline{E}stimation for underline{T}ensors} (ISLET). The central idea behind ISLET is emph{importance sketching}, i.e., carefully designed sketches based on both the responses and low-dimensional structure of the parameter of interest. We show that the proposed method is sharply minimax optimal in terms of the mean-squared error under low-rank Tucker assumptions and under randomized Gaussian ensemble design. In addition, if a tensor is low-rank with group sparsity, our procedure also achieves minimax optimality. Further, we show through numerical study that ISLET achieves comparable or better mean-squared error performance to existing state-of-the-art methods while having substantial storage and run-time advantages including capabilities for parallel and distributed computing. In particular, our procedure performs reliable estimation with tensors of dimension $p = O(10^8)$ and is $1$ or $2$ orders of magnitude faster than baseline methods.
Communication complexity and privacy are the two key challenges in Federated Learning where the goal is to perform a distributed learning through a large volume of devices. In this work, we introduce FedSKETCH and FedSKETCHGATE algorithms to address both challenges in Federated learning jointly, where these algorithms are intended to be used for homogeneous and heterogeneous data distribution settings respectively. The key idea is to compress the accumulation of local gradients using count sketch, therefore, the server does not have access to the gradients themselves which provides privacy. Furthermore, due to the lower dimension of sketching used, our method exhibits communication-efficiency property as well. We provide, for the aforementioned schemes, sharp convergence guarantees. Finally, we back up our theory with various set of experiments.
Recently there have been increasing interests in learning and inference with implicit distributions (i.e., distributions without tractable densities). To this end, we develop a gradient estimator for implicit distributions based on Steins identity and a spectral decomposition of kernel operators, where the eigenfunctions are approximated by the Nystrom method. Unlike the previous works that only provide estimates at the sample points, our approach directly estimates the gradient function, thus allows for a simple and principled out-of-sample extension. We provide theoretical results on the error bound of the estimator and discuss the bias-variance tradeoff in practice. The effectiveness of our method is demonstrated by applications to gradient-free Hamiltonian Monte Carlo and variational inference with implicit distributions. Finally, we discuss the intuition behind the estimator by drawing connections between the Nystrom method and kernel PCA, which indicates that the estimator can automatically adapt to the geometry of the underlying distribution.
In order to compute fast approximations to the singular value decompositions (SVD) of very large matrices, randomized sketching algorithms have become a leading approach. However, a key practical difficulty of sketching an SVD is that the user does not know how far the sketched singular vectors/values are from the exact ones. Indeed, the user may be forced to rely on analytical worst-case error bounds, which do not account for the unique structure of a given problem. As a result, the lack of tools for error estimation often leads to much more computation than is really necessary. To overcome these challenges, this paper develops a fully data-driven bootstrap method that numerically estimates the actual error of sketched singular vectors/values. In particular, this allows the user to inspect the quality of a rough initial sketched SVD, and then adaptively predict how much extra work is needed to reach a given error tolerance. Furthermore, the method is computationally inexpensive, because it operates only on sketched objects, and it requires no passes over the full matrix being factored. Lastly, the method is supported by theoretical guarantees and a very encouraging set of experimental results.
Compression techniques for deep neural network models are becoming very important for the efficient execution of high-performance deep learning systems on edge-computing devices. The concept of model compression is also important for analyzing the generalization error of deep learning, known as the compression-based error bound. However, there is still huge gap between a practically effective compression method and its rigorous background of statistical learning theory. To resolve this issue, we develop a new theoretical framework for model compression and propose a new pruning method called {it spectral pruning} based on this framework. We define the ``degrees of freedom to quantify the intrinsic dimensionality of a model by using the eigenvalue distribution of the covariance matrix across the internal nodes and show that the compression ability is essentially controlled by this quantity. Moreover, we present a sharp generalization error bound of the compressed model and characterize the bias--variance tradeoff induced by the compression procedure. We apply our method to several datasets to justify our theoretical analyses and show the superiority of the the proposed method.
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