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تسجيل مستخدم جديدThe estimation error of general first order methods
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Modern large-scale statistical models require to estimate thousands to millions of parameters. This is often accomplished by iterative algorithms such as gradient descent, projected gradient descent or their accelerat
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Machine learning models have traditionally been developed under the assumption that the training and test distributions match exactly. However, recent success in few-shot learning and related problems are encouraging signs that these models can be ad
apted to more realistic settings where train and test distributions differ. Unfortunately, there is severely limited theoretical support for these algorithms and little is known about the difficulty of these problems. In this work, we provide novel information-theoretic lower-bounds on minimax rates of convergence for algorithms that are trained on data from multiple sources and tested on novel data. Our bounds depend intuitively on the information shared between sources of data, and characterize the difficulty of learning in this setting for arbitrary algorithms. We demonstrate these bounds on a hierarchical Bayesian model of meta-learning, computing both upper and lower bounds on parameter estimation via maximum-a-posteriori inference.
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 n
ot 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.
We study the problem of estimating the derivatives of the regression function, which has a wide range of applications as a key nonparametric functional of unknown functions. Standard analysis may be tailored to specific derivative orders, and paramet
er tuning remains a daunting challenge particularly for high-order derivatives. In this article, we propose a simple plug-in kernel ridge regression (KRR) estimator in nonparametric regression with random design that is broadly applicable for multi-dimensional support and arbitrary mixed-partial derivatives. We provide a non-asymptotic analysis to study the behavior of the proposed estimator, leading to two error bounds for a general class of kernels under the strong $L_infty$ norm. In a concrete example specialized to kernels with polynomially decaying eigenvalues, the proposed estimator recovers the minimax optimal rate up to a logarithmic factor for estimating derivatives of functions in Holder class. Interestingly, the proposed estimator achieves the optimal rate of convergence with the same choice of tuning parameter for any order of derivatives. Hence, the proposed estimator enjoys a remarkable textit{plug-in property} for derivatives in that it automatically adapts to the order of derivatives to be estimated, enabling easy tuning in practice. Our simulation studies show favorable finite sample performance of the proposed method relative to several existing methods.
For a certain scaling of the initialization of stochastic gradient descent (SGD), wide neural networks (NN) have been shown to be well approximated by reproducing kernel Hilbert space (RKHS) methods. Recent empirical work showed that, for some classi
fication tasks, RKHS methods can replace NNs without a large loss in performance. On the other hand, two-layers NNs are known to encode richer smoothness classes than RKHS and we know of special examples for which SGD-trained NN provably outperform RKHS. This is true even in the wide network limit, for a different scaling of the initialization. How can we reconcile the above claims? For which tasks do NNs outperform RKHS? If feature vectors are nearly isotropic, RKHS methods suffer from the curse of dimensionality, while NNs can overcome it by learning the best low-dimensional representation. Here we show that this curse of dimensionality becomes milder if the feature vectors display the same low-dimensional structure as the target function, and we precisely characterize this tradeoff. Building on these results, we present a model that can capture in a unified framework both behaviors observed in earlier work. We hypothesize that such a latent low-dimensional structure is present in image classification. We test numerically this hypothesis by showing that specific perturbations of the training distribution degrade the performances of RKHS methods much more significantly than NNs.
Margin-based classifiers have been popular in both machine learning and statistics for classification problems. Since a large number of classifiers are available, one natural question is which type of classifiers should be used given a particular cla
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