text: Reference EPFL-REPORT-229241 URL: http: arxiv.org abs 1512.04011 Record created on 2017-06-21, modified on 2017-07-12
  @cite_4: We extend the well-known BFGS quasi-Newton method and its memory-limited variant LBFGS to the optimization of nonsmooth convex objectives. This is done in a rigorous fashion by generalizing three components of BFGS to subdifferentials: the local quadratic model, the identification of a descent direction, and the Wolfe line search conditions. We prove that under some technical conditions, the resulting subBFGS algorithm is globally convergent in objective function value. We apply its memory-limited variant (subLBFGS) to L2-regularized risk minimization with the binary hinge loss. To extend our algorithm to the multiclass and multilabel settings, we develop a new, efficient, exact line search algorithm. We prove its worst-case time complexity bounds, and show that our line search can also be used to extend a recently developed bundle method to the multiclass and multilabel settings. We also apply the direction-finding component of our algorithm to L1-regularized risk minimization with logistic loss. In all these contexts our methods perform comparable to or better than specialized state-of-the-art solvers on a number of publicly available data sets. An open source implementation of our algorithms is freely available.
  @cite_2: The L-BFGS limited-memory quasi-Newton method is the algorithm of choice for optimizing the parameters of large-scale log-linear models with L 2 regularization, but it cannot be used for an L 1 -regularized loss due to its non-differentiability whenever some parameter is zero. Efficient algorithms have been proposed for this task, but they are impractical when the number of parameters is very large. We present an algorithm Orthant-Wise Limited-memory Quasi-Newton (OWL-QN), based on L-BFGS, that can efficiently optimize the L 1 -regularized log-likelihood of log-linear models with millions of parameters. In our experiments on a parse reranking task, our algorithm was several orders of magnitude faster than an alternative algorithm, and substantially faster than L-BFGS on the analogous L 2 -regularized problem. We also present a proof that OWL-QN is guaranteed to converge to a globally optimal parameter vector.
  @cite_5: Predicting ad click-through rates (CTR) is a massive-scale learning problem that is central to the multi-billion dollar online advertising industry. We present a selection of case studies and topics drawn from recent experiments in the setting of a deployed CTR prediction system. These include improvements in the context of traditional supervised learning based on an FTRL-Proximal online learning algorithm (which has excellent sparsity and convergence properties) and the use of per-coordinate learning rates. We also explore some of the challenges that arise in a real-world system that may appear at first to be outside the domain of traditional machine learning research. These include useful tricks for memory savings, methods for assessing and visualizing performance, practical methods for providing confidence estimates for predicted probabilities, calibration methods, and methods for automated management of features. Finally, we also detail several directions that did not turn out to be beneficial for us, despite promising results elsewhere in the literature. The goal of this paper is to highlight the close relationship between theoretical advances and practical engineering in this industrial setting, and to show the depth of challenges that appear when applying traditional machine learning methods in a complex dynamic system.
  @cite_20: How can we scale-up logistic regression, or L1 regularized loss minimization in general, for Terabyte-scale data which do not fit in the memory? How to design the distributed algorithm efficiently? Although there exist two major algorithms for logistic regression, namely Stochastic Gradient Descent (SGD) and Stochastic Coordinate Descent (SCD), they face limitations in distributed environments. Distributed SGD enables data parallelism (i.e., different machines access different part of the input data), but it does not allow feature parallelism (i.e., different machines compute different subsets of the output), and thus the communication cost is high. On the other hand, Distributed SCD allows feature parallelism, but it does not allow data parallelism and thus is not suitable to work in distributed environments. In this paper we propose DF-DSCD (Data Feature Distributed Stochastic Coordinate Descent), an efficient distributed algorithm for logistic regression, or L1 regularized loss minimization in general. DF-DSCD allows both data and feature parallelism. The benefits of DF-DSCD are (a) full utilization of the capabilities provided by modern distributing computing platforms like MapReduce to analyze web-scale data, and (b) independence of each machine in updating parameters with little communication cost. We prove the convergence of DF-DSCD both theoretically, and also show empirical evidence that it is scalable, handles very high-dimensional data with up to 29 millions of features, and converges 2.2 times faster than competitors.
  @cite_11: Many problems of recent interest in statistics and machine learning can be posed in the framework of convex optimization. Due to the explosion in size and complexity of modern datasets, it is increasingly important to be able to solve problems with a very large number of features or training examples. As a result, both the decentralized collection or storage of these datasets as well as accompanying distributed solution methods are either necessary or at least highly desirable. In this review, we argue that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas. The method was developed in the 1970s, with roots in the 1950s, and is equivalent or closely related to many other algorithms, such as dual decomposition, the method of multipliers, Douglas–Rachford splitting, Spingarn's method of partial inverses, Dykstra's alternating projections, Bregman iterative algorithms for l1 problems, proximal methods, and others. After briefly surveying the theory and history of the algorithm, we discuss applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others. We also discuss general distributed optimization, extensions to the nonconvex setting, and efficient implementation, including some details on distributed MPI and Hadoop MapReduce implementations.
summary: ADMM @cite_11 , proximal gradient descent, and quasi-Newton methods such as L-BFGS and are also often used in distributed environments because of their relatively low communication requirements. However, they require at least a full (distributed) batch gradient computation at each round, and therefore do not allow the gradual trade-off between communication and computation provided by . The works of @cite_5 and @cite_20 have obtained encouraging results for distributed systems employing coordinate descent variants on @math -problems. The latter approach distributes both columns and rows of the data matrix and can be extended to Lasso. However it only provides asymptotic improvement per step, and no convergence rate. We include experimental comparisons with ADMM, prox-GD, and orthant-wise limited memory quasi-Newton (OWL-QN) @cite_2 , an L-BFGS variant that can handle @math regularization @cite_4 , but which has no convergence rate.