CCICADA Seminar Series in Homeland Security, February 8, 2018

CCICADA Research Group Lab Meeting – CCICADA Seminar Series in Homeland Security

Date/Time:  Thursday, February 8, 2018, 12:15pm to 1:00pm
Location:  4th Floor Conference Room – 433, Computing Research & Education Building (CoRE)
Busch Campus, Rutgers, the State University

REMOTE – 800 868-1123/41814849 and BigBlueButton meeting (to be announced)

FEATURED SPEAKER: Mert Gürbüzbalaban, Assistant Professor

Department of Management Science and Information, Rutgers University

Title: Incremental methods for additive convex cost optimization

Abstract:

Motivated  by machine learning problems over large data sets and distributed  optimization over networks, we consider the problem of minimizing the  sum of a large number of convex component functions. We study  incremental gradient methods for solving such problems, which process  component functions sequentially one at a time. We first consider  deterministic cyclic incremental gradient methods (that process the  component functions in a cycle) and provide new convergence rate results  under some assumptions. We then consider a randomized incremental  gradient method, called the random reshuffling (RR) algorithm, which  picks a uniformly random order/permutation and processes the component  functions one at a time according to this order (i.e., samples functions  without replacement in each cycle). We provide the first convergence  rate guarantees for this method that outperform its popular  with-replacement counterpart stochastic gradient descent (SGD). We  finally consider proximal incremental aggregated gradient methods, which  compute a single component function gradient at each iteration while  using outdated gradients of all component functions to approximate the  global cost function gradient, and provide state-of-the-art linear rate  results.

In the second part of the talk, we focus on the coordinate descent (CD)  methods which have seen a resurgence of recent interest because of their  applicability in machine learning as well as large scale data analysis  and superior empirical performance. CD methods have two variants, cyclic  coordinate descent (CCD) and randomized coordinate descent (RCD) which  are deterministic and randomized versions of the CD methods. There is a  large gap between the theory and practice of CCD methods in terms of  performance in contrast to RCD methods. In particular, existing  convergence guarantees for CCD are far worse than that of RCD with the  exception of several trivial cases despite the fact that CCD methods  work well in practice on many problem instances. In this paper, we  provide problem classes for which CCD (or CD with any deterministic  order) is provably faster than RCD in terms of asymptotic worst-case  convergence and quantify this improvement.

This is joint work with Denizcan Vanli, Asu Ozdaglar and Pablo Parrilo.

Bio:

Mert Gürbüzbalaban is an assistant professor at Rutgers  University in the Department of Management Science and Information  Systems and an affiliated faculty at the Electrical and Computer  Engineering Department and the DIMACS Institute at Rutgers University.  Previously, he was a postdoctoral associate at the Laboratory for  Information and Decision Systems (LIDS) at MIT. He is broadly interested  in optimization and computational science driven by applications in  large-scale information and decision systems and networks. He received  his B.Sc. degrees in Electrical Engineering and Mathematics as a  valedictorian from Boğaziçi University, Istanbul, Turkey, the “Diplôme  d’ingénieur” degree from École Polytechnique, France, and the M.S. and  Ph.D. degrees in Applied Mathematics from the Courant Institute of  Mathematical Sciences, New York University.

Dr. Gürbüzbalaban received the Kurt Friedrichs Prize  (given by the Courant Institute of New York University for an  outstanding thesis) in 2013, Bronze Medal in the École Polytechnique  Scientific Project Competition in 2006, the Nadir Orhan Bengisu Award  from Boğaziçi University in 2005 and the Bülent Kerim Altay Award from  the Electrical-Electronics Engineering Department of Middle East  Technical University in 2001.

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