Monte Carlo approximation certificates for k-means clustering

This week, I visited Afonso Bandeira at NYU to give a talk in the MaD seminar on the semidefinite relaxation of k-means. Here are the slides. The last part of the talk is very new; I worked it out with Soledad Villar while she visited me a couple weeks ago, and our paper just hit the arXiv. In this blog entry, I’ll briefly summarize the main idea of the paper.

Suppose you are given data points \{x_i\}_{i\in T}\subseteq\mathbb{R}^m, and you are tasked with finding the partition C_1\sqcup\cdots\sqcup C_k=T that minimizes the k-means objective

\displaystyle{\frac{1}{|T|}\sum_{t\in[k]}\sum_{i\in C_t}\bigg\|x_i-\frac{1}{|C_t|}\sum_{j\in C_t}x_j\bigg\|^2\qquad(T\text{-IP})}

(Here, we normalize the objective by |T| for convenience later.) To do this, you will likely run MATLAB’s built-in implementation of k-means++, which randomly selects k of the data points (with an intelligent choice of random distribution), and then uses these data points as proto-centroids to initialize Lloyd’s algorithm. In practice, this works very well: After running it a few times, you generally get a very nice clustering. But when do you know to stop looking for an even better clustering?

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Talks from the Summer of ’17

This summer, I participated in several interesting conferences. This entry documents my slides and describes a few of my favorite talks from the summer. Here are links to my talks:

UPDATE: SIAM AG17 just posted a video of my talk.

Now for my favorite talks from FoCM, ILAS, SIAM AG17 and SPIE:

Ben RechtUnderstanding deep learning requires rethinking generalization

In machine learning, you hope to fit a model so as to be good at prediction. To do this, you fit to a training set and then evaluate with a test set. In general, if a simple model fits a large training set pretty well, you can expect the fit to generalize, meaning it will also fit the test set. By conventional wisdom, if the model happens to fit the training set exactly, then your model is probably not simple enough, meaning it will not fit the test set very well. According to Ben, this conventional wisdom is wrong. He demonstrates this by presenting some observations he made while training neural nets. In particular, he allowed the number of parameters to far exceed the size of the training set, and in doing so, he fit the training set exactly, and yet he still managed to fit the test set well. He suggested that generalization was successful here because stochastic gradient descent implicitly regularizes. For reference, in the linear case, stochastic gradient descent (aka the randomized Kaczmarz method) finds the solution of minimal 2-norm, and it converges faster when the optimal solution has smaller 2-norm. Along these lines, Ben has some work to demonstrate that even in the nonlinear case, fast convergence implies generalization.

Continue reading Talks from the Summer of ’17

Global Guarantees for Enforcing Deep Generative Priors by Empirical Risk

Vlad Voroninski recently posted an arXiv preprint with Paul Hand that provides compressed sensing guarantees using a neural net-based generative signal model. This offers some theoretical justification for the shocking empirical results presented in the “Compressed sensing using generative models” paper, which demonstrates compressed sensing with 10 times fewer measurements than conventional compressed sensing (the source code is available here). I was especially excited to see this paper, having recently read Michael Elad’s editorial on deep learning. To learn more, I interviewed Vlad (see below); I’ve lightly edited his responses for formatting and hyperlinks:

DGM: What is the origin story of this project? Were you and Paul inspired by the “Compressed sensing using generative models” paper?

VV: I have been working extensively with applied deep learning for the last year or so, and have been inspired by recent applications of deep generative image priors to classical inverse problems, such as the super resolution work by Fei Fei Li et al. Moreover, recent work on regularizing with deep generative priors for synthesizing the preferred inputs to neural activations, by Yosinski et al., made me optimistic that GAN-based generative priors are capturing sophisticated natural image structure (the synthetic images obtained in this paper look incredibly realistic).

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A polynomial-time relaxation of the Gromov-Hausdorff distance

Soledad Villar recently posted her latest paper on the arXiv (joint work with Afonso Bandeira, Andrew Blumberg and Rachel Ward). This paper reduces an instance of cutting-edge data science (specifically, shape matching and point-cloud comparison) to a semidefinite program, and then investigates fast solvers using non-convex local methods. (Check out her blog for an interactive illustration of the results.) Soledad is on the job market this year, and I read about this paper in her research statement. I wanted to learn more, so I decided to interview her. I’ve lightly edited her responses for formatting and hyperlinks:

Continue reading A polynomial-time relaxation of the Gromov-Hausdorff distance

The Voronoi Means Conjecture

UPDATE (July 26, 2016): Boris Alexeev recently disproved the Voronoi Means Conjecture! In particular, he found that certain stable isogons fail to exhibit the conjectured behavior, and his solution suggests a certain refinement of the conjecture. I asked him to write a guest blog entry about his solution, so expect to hear more in the coming weeks.

Suppose you’re given a sample from an unknown balanced mixture of k spherical Gaussians of equal variance in dimension d:


In the above example, k=3 and d=2. How do you estimate the centers \{\gamma_i\}_{i=1}^k of each Gaussian from the data? In this paper, Dasgupta provides an algorithm in which you project the data onto a randomly drawn subspace of some carefully selected dimension so as to concentrate the data points towards their respective centers. After doing so, there will be k extremely popular regions of the subspace, and for each region, you can average the corresponding points in the original dataset to estimate the corresponding Gaussian center. With this algorithm, Dasgupta proved that

\displaystyle{\mathrm{MSE}:=\frac{1}{k}\sum_{i=1}^k\|\hat{\gamma}_i-\gamma_i\|^2\lesssim d\sigma^2 \qquad\text{whp}}

provided \mathrm{SNR}:=\frac{1}{\sigma^2}\min_{i\neq j}\|\gamma_i-\gamma_j\|^2\gtrsim d.

Continue reading The Voronoi Means Conjecture

On the low-rank approach for semidefinite programs arising in synchronization and community detection

From MaxCut to PhaseLift, semidefinite programming has proven to be rather powerful, especially for convex relaxation. SDP solvers take polynomial time, but the exponent is large, and anyone who’s run an SDP on CVX has experienced some frustration with the runtime. In practice, the SDP-optimal matrix tends to have extremely low rank, and so one may apply a rank constraint to facilitate the search for the SDP’s solution. This heuristic was first introduced by Burer and Monteiro, and it works well in practice, but the rank-constrained program is nonconvex and the theory is scant. Recently, the theory gap started to close with this paper:

On the low-rank approach for semidefinite programs arising in synchronization and community detection

Afonso S. Bandeira, Nicolas Boumal, Vladislav Voroninski

As the title suggests, this paper provides strong performance guarantees for the Burer-Monteiro heuristic in the particular cases of \mathbb{Z}_2 synchronization and community detection. I was very excited to see this paper, and so I interviewed one of the authors (Nicolas Boumal). I’ve lightly edited his responses for formatting and hyperlinks:

Continue reading On the low-rank approach for semidefinite programs arising in synchronization and community detection

Clustering noisy data with semidefinite relaxations

Soledad Villar recently posted our latest paper on the arXiv (this one coauthored by her advisor, Rachel Ward). The paper provides guarantees for the k-means SDP when the points are drawn from a subgaussian mixture model. This blog entry will discuss one of the main ideas in our analysis, which we borrowed from Guedon and Vershynin’s recent paper.

Let’s start with two motivating applications:

The first application comes from graph clustering. Consider the stochastic block model, in which the n vertices are secretly partitioned into two communities, each of size n/2, and edges between vertices of a common community are drawn iid with some probability p, and all other edges are drawn with probability q<p. The goal of community estimation is to estimate the communities given a random draw of the graph. For this task, you might be inclined to find the maximum likelihood estimator for this model, but this results in an integer program. Relaxing the program leads to a semidefinite program, and amazingly, this program is tight and recovers the true communities with high probability when p=(\alpha\log n)/n and q=(\beta\log n)/n for good choices of (\alpha,\beta). (See this paper.) These edge probabilities scale like the threshold for connected Erdos-Renyi graphs, and this makes sense since we wouldn’t know how to assign vertices in isolated components. If instead, the probabilities were to scale like 1/n, then we would be in the “giant component” regime, so we’d still expect enough signal to correctly assign a good fraction of the vertices, but the SDP is not tight in this regime.

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