Search

This paper proposes a novel CTA (Combine-Then-Adapt)-based decentralized algorithm for solving convex composite optimization problems over undirected and connected networks. The local loss function in these problems contains both smooth and nonsmooth terms. The proposed algorithm uses uncoordinated network-independent constant stepsizes and only needs to approximately solve a sequence of proximal mappings, which is advantageous for solving decentralized composite optimization problems where the proximal mappings of the nonsmooth loss functions may not have analytical solutions. For the general convex case, we prove an O(1/k) convergence rate of the proposed algorithm, which can be improved to o(1/k) if the proximal mappings are solved exactly. Furthermore, with metric subregularity, we establish a linear convergence rate for the proposed algorithm. Numerical experiments demonstrate the efficiency of the algorithm.

Adaptive networks (ANs) are effective real time techniques to process and track events observed by sensor networks and, more recently, to equip Internet of Things (IoT) applications. ANs operate over nodes equipped with collaborative adaptive filters that solve distributively an estimation problem common to the whole network. However, they do not guarantee that nodes do not lose from cooperation, as compared to its non-cooperative operation; that poor nodes are rejected and exceptional nodes estimates reach the entire network; and that performance is uniform over all nodes. In order to enforce such properties, this work introduces the concept of distributed universal estimation, which encompasses the new concepts of local universality, global universality and universality with respect to the non-cooperative operation. We then construct a new cooperation protocol that is proven to be distributively universal, outperforming direct competitors from the literature, as shown by several simulations. Mean and mean-square analytical models are developed, with good agreement between theory and simulations.

In this paper, we consider distributed optimization problems where $n$ agents, each possessing a local cost function, collaboratively minimize the average of the local cost functions over a connected network. To solve the problem, we propose a distributed random reshuffling (D-RR) algorithm that invokes the random reshuffling (RR) update in each agent. We show that D-RR inherits favorable characteristics of RR for both smooth strongly convex and smooth nonconvex objective functions. In particular, for smooth strongly convex objective functions, D-RR achieves $\mathcal{O}(1/T^2)$ rate of convergence (where $T$ counts epoch number) in terms of the squared distance between the iterate and the global minimizer. When the objective function is assumed to be smooth nonconvex, we show that D-RR drives the squared norm of gradient to $0$ at a rate of $\mathcal{O}(1/T^{2/3})$. These convergence results match those of centralized RR (up to constant factors) and outperform the distributed stochastic gradient descent (DSGD) algorithm if we run a relatively large number of epochs. Finally, we conduct a set of numerical experiments to illustrate the efficiency of the proposed D-RR method on both strongly convex and nonconvex distributed optimization problems., 20 pages, 13 figures

Federated learning (FL) is an emerging machine learning paradigm that allows to accomplish model training without aggregating data at a central server. Most studies on FL consider a centralized framework, in which a single server is endowed with a central authority to coordinate a number of devices to perform model training in an iterative manner. Due to stringent communication and bandwidth constraints, such a centralized framework has limited scalability as the number of devices grows. To address this issue, in this paper, we propose a ConFederated Learning (CFL) framework. The proposed CFL consists of multiple servers, in which each server is connected with an individual set of devices as in the conventional FL framework, and decentralized collaboration is leveraged among servers to make full use of the data dispersed throughout the network. We develop an alternating direction method of multipliers (ADMM) algorithm for CFL. The proposed algorithm employs a random scheduling policy which randomly selects a subset of devices to access their respective servers at each iteration, thus alleviating the need of uploading a huge amount of information from devices to servers. Theoretical analysis is presented to justify the proposed method. Numerical results show that the proposed method can converge to a decent solution significantly faster than gradient-based FL algorithms, thus boasting a substantial advantage in terms of communication efficiency., 13 pages, 5 figures

Rate splitting multiple access (RSMA) is a promising non-orthogonal transmission strategy for next-generation wireless networks. It has been shown to outperform existing multiple access schemes in terms of spectral and energy efficiency when suboptimal beamforming schemes are employed. In this work, we fill the gap between suboptimal and truly optimal beamforming schemes and conclusively establish the superior spectral and energy efficiency of RSMA. To this end, we propose a successive incumbent transcending (SIT) branch and bound (BB) algorithm to find globally optimal beamforming solutions that maximize the weighted sum rate or energy efficiency of RSMA in Gaussian multiple-input single-output (MISO) broadcast channels. Numerical results show that RSMA exhibits an explicit globally optimal spectral and energy efficiency gain over conventional multi-user linear precoding (MU-LP) and power-domain non-orthogonal multiple access (NOMA). Compared to existing globally optimal beamforming algorithms for MU-LP, the proposed SIT BB not only improves the numerical stability but also achieves faster convergence. Moreover, for the first time, we show that the spectral/energy efficiency of RSMA achieved by suboptimal beamforming schemes (including weighted minimum mean squared error (WMMSE) and successive convex approximation) almost coincides with the corresponding globally optimal performance, making it a valid choice for performance comparisons. The globally optimal results provided in this work are imperative to the ongoing research on RSMA as they serve as benchmarks for existing suboptimal beamforming strategies and those to be developed in multi-antenna broadcast channels.

We prove that the fixed point iteration of arbitrary positive concave mappings with nonempty fixed point set converges geometrically for any starting point. We also show that positivity is crucial for this result to hold, and the concept of (nonlinear) spectral radius of asymptotic mappings provides us with information about the convergence factor. As a practical implication of the results shown here, we rigorously explain why some power control and load estimation algorithms in wireless networks, which are particular instances of the fixed point iteration, have shown geometric convergence in simulations. These algorithms have been typically derived by considering fixed point iterations of the general class of standard interference mappings, so the possibility of sublinear convergence rate could not be ruled out in previous studies, except in special cases that are often more restrictive than those considered here., Accepted in IEEE Transactions on Signal Processing

In this study, a nondominated-solution-based multi-objective greedy method is proposed and applied to a sensor selection problem based on the multiple indices of the optimal design of experiments. The proposed method simultaneously considers multiple set functions and applies the idea of Pareto ranking for the selection of sets. Specifically, a new index is iteratively added to the nondominated solutions of sets, and the multi-objective functions are evaluated for new sets. The nondominated solutions are selected from the examined solutions, and the next sets are then considered. With this procedure, the multi-objective optimization of multiple set functions can be conducted with reasonable computational costs. This paper defines a new class of greedy algorithms which includes the proposed nondominated-solution-based multi-objective greedy algorithm and the group greedy algorithm, and the characteristics of those algorithms are theoretically discussed. Then, the proposed method is applied to the sensor selection problem and its performance is evaluated. The results of the test case show that the proposed method not only gives the Pareto-optimal front of the multi-objective optimization problem but also produces sets of sensors in terms of D-, A-, and E-optimality, that are superior to the sets selected by pure greedy methods that consider only a single objective function., Accepted manuscript for publication in IEEE Transactions on Signal Processing

In this paper, we consider minimizing a sum of local convex objective functions in a distributed setting, where the cost of communication and/or computation can be expensive. We extend and generalize the analysis for a class of nested gradient-based distributed algorithms (NEAR-DGD; Berahas, Bollapragada, Keskar and Wei, 2018) to account for multiple gradient steps at every iteration. We show the effect of performing multiple gradient steps on the rate of convergence and on the size of the neighborhood of convergence, and prove R-Linear convergence to the exact solution with a fixed number of gradient steps and increasing number of consensus steps. We test the performance of the generalized method on quadratic functions and show the effect of multiple consensus and gradient steps in terms of iterations, number of gradient evaluations, number of communications and cost., Comment: 12 pages, 4 figures. arXiv admin note: text overlap with arXiv:1903.08149

We consider a two-stage stochastic optimization problem, in which a long-term optimization variable is coupled with a set of short-term optimization variables in both objective and constraint functions. Despite that two-stage stochastic optimization plays a critical role in various engineering and scientific applications, there still lack efficient algorithms, especially when the long-term and short-term variables are coupled in the constraints. To overcome the challenge caused by tightly coupled stochastic constraints, we first establish a two-stage primal-dual decomposition (PDD) method to decompose the two-stage problem into a long-term problem and a family of short-term subproblems. Then we propose a PDD-based stochastic successive convex approximation (PDD-SSCA) algorithmic framework to find KKT solutions for two-stage stochastic optimization problems. At each iteration, PDD-SSCA first runs a short-term sub-algorithm to find stationary points of the short-term subproblems associated with a mini-batch of the state samples. Then it constructs a convex surrogate for the long-term problem based on the deep unrolling of the short-term sub-algorithm and the back propagation method. Finally, the optimal solution of the convex surrogate problem is solved to generate the next iterate. We establish the almost sure convergence of PDD-SSCA and customize the algorithmic framework to solve two important application problems. Simulations show that PDD-SSCA can achieve superior performance over existing solutions., 16 pages, 8 figures, accepted by IEEE Transactions on Signal Processing

We consider the problem of maximizing the $\ell_1$ norm of a linear map over the sphere, which arises in various machine learning applications such as orthogonal dictionary learning (ODL) and robust subspace recovery (RSR). The problem is numerically challenging due to its nonsmooth objective and nonconvex constraint, and its algorithmic aspects have not been well explored. In this paper, we show how the manifold structure of the sphere can be exploited to design fast algorithms for tackling this problem. Specifically, our contribution is threefold. First, we present a manifold proximal point algorithm (ManPPA) for the problem and show that it converges at a sublinear rate. Furthermore, we show that ManPPA can achieve a quadratic convergence rate when applied to the ODL and RSR problems. Second, we propose a stochastic variant of ManPPA called StManPPA, which is well suited for large-scale computation, and establish its sublinear convergence rate. Both ManPPA and StManPPA have provably faster convergence rates than existing subgradient-type methods. Third, using ManPPA as a building block, we propose a new approach to solving a matrix analog of the problem, in which the sphere is replaced by the Stiefel manifold. The results from our extensive numerical experiments on the ODL and RSR problems demonstrate the efficiency and efficacy of our proposed methods., Comment: Accepted in IEEE Transactions on Signal Processing

We consider stochastic optimization of a smooth non-convex loss function with a convex non-smooth regularizer. In the online setting, where a single sample of the stochastic gradient of the loss is available at every iteration, the problem can be solved using the proximal stochastic gradient descent (SGD) algorithm and its variants. However in many problems, especially those arising in communications and signal processing, information beyond the stochastic gradient may be available thanks to the structure of the loss function. Such extra-gradient information is not used by SGD, but has been shown to be useful, for instance in the context of stochastic expectation-maximization, stochastic majorization-minimization, and stochastic successive convex approximation (SCA) approaches. By constructing a stochastic strongly convex surrogates of the loss function at every iteration, the stochastic SCA algorithms can exploit the structural properties of the loss function and achieve superior empirical performance as compared to the SGD. In this work, we take a closer look at the stochastic SCA algorithm and develop its asynchronous variant which can be used for resource allocation in wireless networks. While the stochastic SCA algorithm is known to converge asymptotically, its iteration complexity has not been well-studied, and is the focus of the current work. The insights obtained from the non-asymptotic analysis allow us to develop a more practical asynchronous variant of the stochastic SCA algorithm which allows the use of surrogates calculated in earlier iterations. We characterize precise bound on the maximum delay the algorithm can tolerate, while still achieving the same convergence rate. We apply the algorithm to the problem of linear precoding in wireless sensor networks, where it can be implemented at low complexity but is shown to perform well in practice.

This paper proposes an epigraphical relaxation (ERx) technique for non-proximable mixed norm minimization. Mixed norm regularization methods play a central role in signal reconstruction and processing, where their optimization relies on the fact that the proximity operators of the mixed norms can be computed efficiently. To bring out the power of regularization, sophisticated layered modeling of mixed norms that can capture inherent signal structure is a key ingredient, but the proximity operator of such a mixed norm is often unavailable (non-proximable). Our ERx decouples a layered non-proximable mixed norm into a norm and multiple epigraphical constraints. This enables us to handle a wide range of non-proximable mixed norms in optimization, as long as both the proximal operator of the outermost norm and the projection onto each epigraphical constraint are efficiently computable. Moreover, under mild conditions, we prove that ERx does not change the minimizer of the original problem despite relaxing equality constraints into inequality ones. We also develop new regularizers based on ERx: one is decorrelated structure-tensor total variation for color image restoration, and the other is amplitude-spectrum nuclear norm for low-rank amplitude recovery. We examine the power of these regularizers through experiments, which illustrates the utility of ERx., accepted to IEEE Transactions on Signal Processing

In this paper, we study decentralized online stochastic non-convex optimization over a network of nodes. Integrating a technique called gradient tracking in decentralized stochastic gradient descent, we show that the resulting algorithm, GT-DSGD , enjoys certain desirable characteristics towards minimizing a sum of smooth non-convex functions. In particular, for general smooth non-convex functions, we establish non-asymptotic characterizations of GT-DSGD and derive the conditions under which it achieves network-independent performances that match the centralized minibatch SGD . In contrast, the existing results suggest that GT-DSGD is always network-dependent and is therefore strictly worse than the centralized minibatch SGD . When the global non-convex function additionally satisfies the Polyak-Łojasiewics (PL) condition, we establish the linear convergence of GT-DSGD up to a steady-state error with appropriate constant step-sizes. Moreover, under stochastic approximation step-sizes, we establish, for the first time, the optimal global sublinear convergence rate on almost every sample path, in addition to the asymptotically optimal sublinear rate in expectation. Since strongly convex functions are a special case of the functions satisfying the PL condition, our results are not only immediately applicable but also improve the currently known best convergence rates and their dependence on problem parameters.

The dictionary learning problem concerns the task of representing data as sparse linear sums drawn from a smaller collection of basic building blocks. In application domains where such techniques are deployed, we frequently encounter datasets where some form of symmetry or invariance is present. Motivated by this observation, we develop a framework for learning dictionaries for data under the constraint that the collection of basic building blocks remains invariant under such symmetries. Our procedure for learning such dictionaries relies on representing the symmetry as the action of a matrix group acting on the data, and subsequently introducing a convex penalty function so as to induce sparsity with respect to the collection of matrix group elements. Our framework specializes to the convolutional dictionary learning problem when we consider integer shifts. Using properties of positive semidefinite Hermitian Toeplitz matrices, we develop an extension that learns dictionaries that are invariant under continuous shifts. Our numerical experiments on synthetic data and ECG data show that the incorporation of such symmetries as priors are most valuable when the dataset has few data-points, or when the full range of symmetries is inadequately expressed in the dataset., Comment: 30 pages, 23 figures

This paper describes a novel algorithmic framework to minimize a finite-sum of functions available over a network of nodes. The proposed framework, that we call~\GTVR, is stochastic and decentralized, and thus is particularly suitable for problems where large-scale, potentially private data, cannot be collected or processed at a centralized server. The \GTVR~framework leads to a family of algorithms with two key ingredients: (i) \textit{local variance reduction}, that enables estimating the local batch gradients from arbitrarily drawn samples of local data; and, (ii) \textit{global gradient tracking}, which fuses the gradient information across the nodes. Naturally, combining different variance reduction and gradient tracking techniques leads to different algorithms of interest with valuable practical tradeoffs and design considerations. Our focus in this paper is on two instantiations of the~$\GTVR$ framework, namely~\textbf{\texttt{GT-SAGA}} and~\textbf{\texttt{GT-SVRG}}, that, similar to their centralized counterparts (\SAGA~and~\SVRG), exhibit a compromise between space and time. We show that both~\textbf{\texttt{GT-SAGA}} and~\textbf{\texttt{GT-SVRG}} achieve accelerated linear convergence for smooth and strongly convex problems and further describe the regimes in which they achieve non-asymptotic, network-independent linear convergence rates that are faster with respect to the existing decentralized first-order schemes. Moreover, we show that both algorithms achieve a linear speedup in such regimes, in that, the total number of gradient computations required at each node is reduced by a factor of $1/n$, where $n$ is the number of nodes, compared to their centralized counterparts that process all data at a single node. Extensive simulations illustrate the convergence behavior of the corresponding algorithms.

Due to the broad range of applications of stochastic multi-armed bandit model, understanding the effects of adversarial attacks and designing bandit algorithms robust to attacks are essential for the safe applications of this model. In this paper, we introduce a new class of attack named action-manipulation attack. In this attack, an adversary can change the action signal selected by the user. We show that without knowledge of mean rewards of arms, our proposed attack can manipulate Upper Confidence Bound (UCB) algorithm, a widely used bandit algorithm, into pulling a target arm very frequently by spending only logarithmic cost. To defend against this class of attacks, we introduce a novel algorithm that is robust to action-manipulation attacks when an upper bound for the total attack cost is given. We prove that our algorithm has a pseudo-regret upper bounded by $\mathcal{O}(\max\{\log T,A\})$, where $T$ is the total number of rounds and $A$ is the upper bound of the total attack cost., Comment: 13 pages, 7 figures, submitted to IEEE Transaction on Signal Processing

In this paper, we study the communication and (sub)gradient computation costs in distributed optimization and give a sharp complexity analysis for the proposed distributed accelerated gradient methods. We present two algorithms based on the framework of the accelerated penalty method with increasing penalty parameters. Our first algorithm is for smooth distributed optimization and it obtains the near optimal $O\left(\sqrt{\frac{L}{\epsilon(1-\sigma_2(W))}}\log\frac{1}{\epsilon}\right)$ communication complexity and the optimal $O\left(\sqrt{\frac{L}{\epsilon}}\right)$ gradient computation complexity for $L$-smooth convex problems, where $\sigma_2(W)$ denotes the second largest singular value of the weight matrix $W$ associated to the network and $\epsilon$ is the target accuracy. When the problem is $\mu$-strongly convex and $L$-smooth, our algorithm has the near optimal $O\left(\sqrt{\frac{L}{\mu(1-\sigma_2(W))}}\log^2\frac{1}{\epsilon}\right)$ complexity for communications and the optimal $O\left(\sqrt{\frac{L}{\mu}}\log\frac{1}{\epsilon}\right)$ complexity for gradient computations. Our communication complexities are only worse by a factor of $\left(\log\frac{1}{\epsilon}\right)$ than the lower bounds for the smooth distributed optimization. %As far as we know, our method is the first to achieve both communication and gradient computation lower bounds up to an extra logarithm factor for smooth distributed optimization. Our second algorithm is designed for non-smooth distributed optimization and it achieves both the optimal $O\left(\frac{1}{\epsilon\sqrt{1-\sigma_2(W)}}\right)$ communication complexity and $O\left(\frac{1}{\epsilon^2}\right)$ subgradient computation complexity, which match the communication and subgradient computation complexity lower bounds for non-smooth distributed optimization., Comment: The previous name of this paper was "A Sharp Convergence Rate Analysis for Distributed Accelerated Gradient Methods". The contents are consistent

While globally optimal solutions to many convex programs can be computed efficiently in polynomial time, this is, in general, not possible for nonconvex optimization problems. Therefore, locally optimal approaches or other efficient suboptimal heuristics are usually applied for practical implementations. However, there is also a strong interest in computing globally optimal solutions of nonconvex problems in offline simulations in order to benchmark the faster suboptimal algorithms. Global solutions often rely on monotonicity properties. A common approach is to reformulate problems into a canonical monotonic optimization problem where the monotonicity becomes evident, but this often comes at the cost of nested optimizations, increased numbers of variables, and/or slow convergence. The framework of mixed monotonic programming (MMP) proposed in this paper avoids such performance-deteriorating reformulations by revealing hidden monotonicity properties directly in the original problem formulation. By means of a wide range of application examples from the area of signal processing for communications (including energy efficiency for green communications, resource allocation in interference networks, scheduling for fairness and quality of service, as well as beamformer design in multiantenna systems), we demonstrate that the novel MMP approach leads to tremendous complexity reductions compared to state-of-the-art methods for global optimization. However, the framework is not limited to optimizing communication systems, and we expect that similar speed-ups can be obtained for optimization problems from other areas of research as well., Comment: submitted to IEEE Transactions on Signal Processing; Source code available at https://github.com/bmatthiesen/mixed-monotonic

In this paper, we consider the decentralized dynamic optimization problem defined over a multi-agent network. Each agent possesses a time-varying local objective function, and all agents aim to collaboratively track the drifting global optimal solution that minimizes the summation of all local objective functions. The decentralized dynamic optimization problem can be solved by primal or primal-dual methods, and when the problem degenerates to be static, it has been proved in literature that primal-dual methods are superior to primal ones. This motivates us to ask: are primal-dual methods necessarily better than primal ones in decentralized dynamic optimization? To answer this question, we investigate and compare convergence properties of the primal method, diffusion, and the primal-dual approach, decentralized gradient tracking (DGT). Theoretical analysis reveals that diffusion can outperform DGT in certain dynamic settings. We find that DGT and diffusion are significantly affected by the drifts and the magnitudes of optimal gradients, respectively. In addition, we show that DGT is more sensitive to the network topology, and a badly-connected network can greatly deteriorate its convergence performance. These conclusions provide guidelines on how to choose proper dynamic algorithms in various application scenarios. Numerical experiments are constructed to validate the theoretical analysis., Submitted for publication; 13 pages; 6 figures

We consider the design of polyphase waveforms for ground moving target detection with airborne multiple-input-multiple-output (MIMO) radar. Due to the constant-modulus and finite-alphabet constraint on the waveforms, the associated design problem is non-convex and in general NP-hard. To tackle this problem, we develop an efficient algorithm based on relaxation and cyclic optimization. Moreover, we exploit a reparameterization trick to avoid the significant computational burden and memory requirement brought about by relaxation. We prove that the objective values during the iterations are guaranteed to converge. Finally, we provide an effective randomization approach to obtain polyphase waveforms from the relaxed solution at convergence. Numerical examples show the effectiveness of the proposed algorithm for designing polyphase waveforms.

In this paper we develop an adaptive transform-domain technique based on rational function systems. It is of general importance in several areas of signal theory, including filter design, transfer function approximation, system identification, control theory etc. The construction of the proposed method is discussed in the framework of a general mathematical model called variable projection. First we generalize this method by adding dimension type free parameters. Then we deal with the optimization problem of the free parameters. To this order, based on the well-known particle swarm optimization (PSO) algorithm, we develop the multi-dimensional hyperbolic PSO algorithm. It is designed especially for the rational transforms in question. As a result, the system along with its dimension is dynamically optimized during the process. The main motivation was to increase the adaptivity while keeping the computational complexity manageable. We note that the proposed method is of general nature. As a case study the problem of electrocardiogram (ECG) signal compression is discussed. By means of comparison tests performed on the PhysioNet MIT-BIH Arrhythmia database we demonstrate that our method outperforms other transformation techniques., Comment: Codes are available online at https://codeocean.com/capsule/0308835/tree/v1 Simulation data is available online at http://numanal.inf.elte.hu/~kovi/docs/pubs/Generalized_Rational_VarPro.rar

We study a setup in which a system operator hires a sensor to exert costly effort to collect accurate measurements of a value of interest over time. At each time, the sensor is asked to report his observation to the operator, and is compensated based on the accuracy of this observation. Since both the effort and observation are private information for the sensor, a naive payment scheme which compensates the sensor based only on his self-reported values will lead to both shirking and falsification of outcomes by the sensor. We consider the problem of designing an appropriate compensation scheme to incentivize the sensor to at once exert costly effort and truthfully reveal the resulting observation. To this end, we formulate the problem as a repeated game and propose a compensation scheme that employs stochastic verification by the operator coupled with a system of assigning reputation to the sensor. In particular, our proposed payment scheme compensates the sensor based on both the effort in the current period as well as the history of past behavior. We show that by using past behavior in determining present payments, the operator can both incentivize higher effort as well as more frequent truthtelling by the sensor and decrease the required verification frequency., Comment: 8 pages

We introduce the primal-dual quasi-Newton (PD-QN) method as an approximated second order method for solving decentralized optimization problems. The PD-QN method performs quasi-Newton updates on both the primal and dual variables of the consensus optimization problem to find the optimal point of the augmented Lagrangian. By optimizing the augmented Lagrangian, the PD-QN method is able to find the exact solution to the consensus problem with a linear rate of convergence. We derive fully decentralized quasi-Newton updates that approximate second order information to reduce the computational burden relative to dual methods and to make the method more robust in ill-conditioned problems relative to first order methods. The linear convergence rate of PD-QN is established formally and strong performance advantages relative to existing dual and primal-dual methods are shown numerically.

Level-set optimization formulations with data-driven constraints minimize a regularization functional subject to matching observations to a given error level. These formulations are widely used, particularly for matrix completion and sparsity promotion in data interpolation and denoising. The misfit level is typically measured in the l2 norm, or other smooth metrics. In this paper, we present a new flexible algorithmic framework that targets nonsmooth level-set constraints, including L1, Linf, and even L0 norms. These constraints give greater flexibility for modeling deviations in observation and denoising, and have significant impact on the solution. Measuring error in the L1 and L0 norms makes the result more robust to large outliers, while matching many observations exactly. We demonstrate the approach for basis pursuit denoise (BPDN) problems as well as for extensions of BPDN to matrix factorization, with applications to interpolation and denoising of 5D seismic data. The new methods are particularly promising for seismic applications, where the amplitude in the data varies significantly, and measurement noise in low-amplitude regions can wreak havoc for standard Gaussian error models., Comment: 11 pages, 10 figures

We address the problem of linear precoder (beamformer) design in a multiple-input multiple-output interference channel (MIMO-IC). The aim is to design the transmit covariance matrices in order to achieve max-min utility fairness for all users. The corresponding optimization problem is non-convex and NP-hard in general. We devise an efficient algorithm based on the minorization-maximization (MM) technique to obtain quality solutions to this problem. The proposed method solves a second-order cone convex program (SOCP) at each iteration. We prove that the devised method converges to stationary points of the problem. We also extend our algorithm to the case where there are uncertainties in the noise covariance matrices or channel state information (CSI). Simulation results show the effectiveness of the proposed method compared with its main competitor.

In this paper, we consider the (global and sum) energy efficiency optimization problem in downlink multi-input multi-output multi-cell systems, where all users suffer from multi-user interference. This is a challenging problem due to several reasons: 1) it is a nonconvex fractional programming problem, 2) the transmission rate functions are characterized by (complex-valued) transmit covariance matrices, and 3) the processing-related power consumption may depend on the transmission rate. We tackle this problem by the successive pseudoconvex approximation approach, and we argue that pseudoconvex optimization plays a fundamental role in designing novel iterative algorithms, not only because every locally optimal point of a pseudoconvex optimization problem is also globally optimal, but also because a descent direction is easily obtained from every optimal point of a pseudoconvex optimization problem. The proposed algorithms have the following advantages: 1) fast convergence as the structure of the original optimization problem is preserved as much as possible in the approximate problem solved in each iteration, 2) easy implementation as each approximate problem is suitable for parallel computation and its solution has a closed-form expression, and 3) guaranteed convergence to a stationary point or a Karush-Kuhn-Tucker point. The advantages of the proposed algorithm are also illustrated numerically., submitted to IEEE Transactions on Signal Processing

Neural networks with REctified Linear Unit (ReLU) activation functions (a.k.a. ReLU networks) have achieved great empirical success in various domains. Nonetheless, existing results for learning ReLU networks either pose assumptions on the underlying data distribution being e.g. Gaussian, or require the network size and/or training size to be sufficiently large. In this context, the problem of learning a two-layer ReLU network is approached in a binary classification setting, where the data are linearly separable and a hinge loss criterion is adopted. Leveraging the power of random noise perturbation, this paper presents a novel stochastic gradient descent (SGD) algorithm, which can \emph{provably} train any single-hidden-layer ReLU network to attain global optimality, despite the presence of infinitely many bad local minima, maxima, and saddle points in general. This result is the first of its kind, requiring no assumptions on the data distribution, training/network size, or initialization. Convergence of the resultant iterative algorithm to a global minimum is analyzed by establishing both an upper bound and a lower bound on the number of non-zero updates to be performed. Moreover, generalization guarantees are developed for ReLU networks trained with the novel SGD leveraging classic compression bounds. These guarantees highlight a key difference (at least in the worst case) between reliably learning a ReLU network as well as a leaky ReLU network in terms of sample complexity. Numerical tests using both synthetic data and real images validate the effectiveness of the algorithm and the practical merits of the theory., 23 pages, 7 figures, work in progress

The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for example, financial time series data, are non-Gaussian, therefore, the AR model with more general heavy-tailed innovations is preferred. Another issue that frequently occurs in time series is missing values, due to system data record failure or unexpected data loss. Although there are numerous works about Gaussian AR time series with missing values, as far as we know, there does not exist any work addressing the issue of missing data for the heavy-tailed AR model. In this paper, we consider this issue for the first time, and propose an efficient framework for parameter estimation from incomplete heavy-tailed time series based on a stochastic approximation expectation maximization (SAEM) coupled with a Markov Chain Monte Carlo (MCMC) procedure. The proposed algorithm is computationally cheap and easy to implement. The convergence of the proposed algorithm to a stationary point of the observed data likelihood is rigorously proved. Extensive simulations and real datasets analyses demonstrate the efficacy of the proposed framework., Comment: This is a companion document to a paper that is accepted to IEEE Transaction on Signal Processing 2019, complemented with the supplementary material

This paper considers a set of multiple independent control systems that are each connected over a non-stationary wireless channel. The goal is to maximize control performance over all the systems through the allocation of transmitting power within a fixed budget. This can be formulated as a constrained optimization problem examined using Lagrangian duality. By taking samples of the unknown wireless channel at every time instance, the resulting problem takes on the form of empirical risk minimization, a well-studied problem in machine learning. Due to the non-stationarity of wireless channels, optimal allocations must be continuously learned and updated as the channel evolves. The quadratic convergence property of Newton's method motivates its use in learning approximately optimal power allocation policies over the sampled dual function as the channel evolves over time. Conditions are established under which Newton's method learns approximate solutions with a single update, and the subsequent sub-optimality of the control problem is further characterized. Numerical simulations illustrate the near-optimal performance of the method and resulting stability on a wireless control problem.

In this paper we generalize the 1-bit matrix completion problem to higher order tensors. We prove that when $r=O(1)$ a bounded rank-$r$, order-$d$ tensor $T$ in $\mathbb{R}^{N} \times \mathbb{R}^{N} \times \cdots \times \mathbb{R}^{N}$ can be estimated efficiently by only $m=O(Nd)$ binary measurements by regularizing its max-qnorm and M-norm as surrogates for its rank. We prove that similar to the matrix case, i.e., when $d=2$, the sample complexity of recovering a low-rank tensor from 1-bit measurements of a subset of its entries is the same as recovering it from unquantized measurements. Moreover, we show the advantage of using 1-bit tensor completion over matricization both theoretically and numerically. Specifically, we show how the 1-bit measurement model can be used for context-aware recommender systems., Comment: 26 pages

In this paper, we propose a provably correct algorithm for convolutive nonnegative matrix factorization (CNMF) under separability assumptions. CNMF is a convolutive variant of nonnegative matrix factorization (NMF), which functions as an NMF with additional sequential structure. This model is useful in a number of applications, such as audio source separation and neural sequence identification. While a number of heuristic algorithms have been proposed to solve CNMF, to the best of our knowledge no provably correct algorithms have been developed. We present an algorithm that takes advantage of the NMF model underlying CNMF and exploits existing algorithms for separable NMF to provably find a solution under certain conditions. Our approach guarantees the solution in low noise settings, and runs in polynomial time. We illustrate its effectiveness on synthetic datasets, and on a singing bird audio sequence., 24 pages, 4 figures, references updated

This paper studies resilient multiagent distributed estimation of an unknown vector parameter when a subset of the agents is adversarial. We present and analyze a flag raising distributed estimator ( $\mathcal {FRDE}$ ) that allows the agents under attack to perform accurate parameter estimation and detect the adversarial agents. The $\mathcal {FRDE}$ algorithm is a consensus+innovations estimator in which agents combine estimates of neighboring agents (consensus) with local sensing information (innovations). We establish that, under $\mathcal {FRDE}$ , either the uncompromised agents' estimates are almost surely consistent, or the uncompromised agents detect compromised agents (with arbitrarily small false alarm probability) if and only if the network of uncompromised agents is connected and globally observable. Numerical examples illustrate the performance of $\mathcal {FRDE}$ .

This paper develops a novel algorithm, termed \emph{SPARse Truncated Amplitude flow} (SPARTA), to reconstruct a sparse signal from a small number of magnitude-only measurements. It deals with what is also known as sparse phase retrieval (PR), which is \emph{NP-hard} in general and emerges in many science and engineering applications. Upon formulating sparse PR as an amplitude-based nonconvex optimization task, SPARTA works iteratively in two stages: In stage one, the support of the underlying sparse signal is recovered using an analytically well-justified rule, and subsequently, a sparse orthogonality-promoting initialization is obtained via power iterations restricted on the support; and, in the second stage, the initialization is successively refined by means of hard thresholding based gradient-type iterations. SPARTA is a simple yet effective, scalable, and fast sparse PR solver. On the theoretical side, for any $n$-dimensional $k$-sparse ($k\ll n$) signal $\bm{x}$ with minimum (in modulus) nonzero entries on the order of $(1/\sqrt{k})\|\bm{x}\|_2$, SPARTA recovers the signal exactly (up to a global unimodular constant) from about $k^2\log n$ random Gaussian measurements with high probability. Furthermore, SPARTA incurs computational complexity on the order of $k^2n\log n$ with total runtime proportional to the time required to read the data, which improves upon the state-of-the-art by at least a factor of $k$. Finally, SPARTA is robust against additive noise of bounded support. Extensive numerical tests corroborate markedly improved recovery performance and speedups of SPARTA relative to existing alternatives., Comment: 23 pages; 5 figures

The multiplicative update (MU) algorithm has been extensively used to estimate the basis and coefficient matrices in nonnegative matrix factorization (NMF) problems under a wide range of divergences and regularizers. However, theoretical convergence guarantees have only been derived for a few special divergences without regularization. In this work, we provide a conceptually simple, self-contained, and unified proof for the convergence of the MU algorithm applied on NMF with a wide range of divergences and regularizers. Our main result shows the sequence of iterates (i.e., pairs of basis and coefficient matrices) produced by the MU algorithm converges to the set of stationary points of the non-convex NMF optimization problem. Our proof strategy has the potential to open up new avenues for analyzing similar problems in machine learning and signal processing., 8 pages

We consider a registration-based approach for localizing sensor networks from range measurements. This is based on the assumption that one can find overlapping cliques spanning the network. That is, for each sensor, one can identify geometric neighbors for which all inter-sensor ranges are known. Such cliques can be efficiently localized using multidimensional scaling. However, since each clique is localized in some local coordinate system, we are required to register them in a global coordinate system. In other words, our approach is based on transforming the localization problem into a problem of registration. In this context, the main contributions are as follows. First, we describe an efficient method for partitioning the network into overlapping cliques. Second, we study the problem of registering the localized cliques, and formulate a necessary rigidity condition for uniquely recovering the global sensor coordinates. In particular, we present a method for efficiently testing rigidity, and a proposal for augmenting the partitioned network to enforce rigidity. A recently proposed semidefinite relaxation of global registration is used for registering the cliques. We present simulation results on random and structured sensor networks to demonstrate that the proposed method compares favourably with state-of-the-art methods in terms of run time, accuracy, and scalability.

This paper develops online algorithms to track solutions of time-varying constrained optimization problems. Particularly, resembling workhorse Kalman filtering-based approaches for dynamical systems, the proposed methods involve prediction-correction steps to provably track the trajectory of the optimal solutions of time-varying convex problems. The merits of existing prediction-correction methods have been shown for unconstrained problems and for setups where computing the inverse of the Hessian of the cost function is computationally affordable. This paper addresses the limitations of existing methods by tackling constrained problems and by designing first-order prediction steps that rely on the Hessian of the cost function (and do not require the computation of its inverse). In addition, the proposed methods are shown to improve the convergence speed of existing prediction-correction methods when applied to unconstrained problems. Numerical simulations corroborate the analytical results and showcase performance and benefits of the proposed algorithms. A realistic application of the proposed method to real-time control of energy resources is presented., 14 pages, 6 figures

Stochastic approximation techniques play an important role in solving many problems encountered in machine learning or adaptive signal processing. In these contexts, the statistics of the data are often unknown a priori or their direct computation is too intensive, and they have thus to be estimated online from the observed signals. For batch optimization of an objective function being the sum of a data fidelity term and a penalization (e.g., a sparsity promoting function), Majorize-Minimize (MM) methods have recently attracted much interest since they are fast, highly flexible, and effective in ensuring convergence. The goal of this paper is to show how these methods can be successfully extended to the case when the data fidelity term corresponds to a least squares criterion and the cost function is replaced by a sequence of stochastic approximations of it. In this context, we propose an online version of an MM subspace algorithm and we study its convergence by using suitable probabilistic tools. Simulation results illustrate the good practical performance of the proposed algorithm associated with a memory gradient subspace, when applied to both nonadaptive and adaptive filter identification problems.

Sparse approximate solutions to linear equations are classically obtained via L1 norm regularized least squares, but this method often underestimates the true solution. As an alternative to the L1 norm, this paper proposes a class of non-convex penalty functions that maintain the convexity of the least squares cost function to be minimized, and avoids the systematic underestimation characteristic of L1 norm regularization. The proposed penalty function is a multivariate generalization of the minimax-concave (MC) penalty. It is defined in terms of a new multivariate generalization of the Huber function, which in turn is defined via infimal convolution. The proposed sparse-regularized least squares cost function can be minimized by proximal algorithms comprising simple computations.

Existing approaches to resource allocation for nowadays stochastic networks are challenged to meet fast convergence and tolerable delay requirements. The present paper leverages online learning advances to facilitate stochastic resource allocation tasks. By recognizing the central role of Lagrange multipliers, the underlying constrained optimization problem is formulated as a machine learning task involving both training and operational modes, with the goal of learning the sought multipliers in a fast and efficient manner. To this end, an order-optimal offline learning approach is developed first for batch training, and it is then generalized to the online setting with a procedure termed learn-and-adapt. The novel resource allocation protocol permeates benefits of stochastic approximation and statistical learning to obtain low-complexity online updates with learning errors close to the statistical accuracy limits, while still preserving adaptation performance, which in the stochastic network optimization context guarantees queue stability. Analysis and simulated tests demonstrate that the proposed data-driven approach improves the delay and convergence performance of existing resource allocation schemes.

Phase noise correction is crucial to exploit full advantage of orthogonal frequency-division multiplexing (OFDM) in modern high-data-rate communications. OFDM channel estimation with simultaneous phase noise compensation has therefore drawn much attention and stimulated continuing efforts. Existing methods, however, either have not taken into account the fundamental properties of phase noise or are only able to provide estimates of limited applicability owing to considerable computational complexity. In this paper, we have reformulated the joint phase noise and channel estimation problem in the time domain as opposed to existing frequency-domain approaches, which enables us to develop much more efficient algorithms using the majorization–minimization technique. In addition, we propose two methods based on dimensionality reduction and regularization, respectively, that can adapt to various phase noise levels and signal-to-noise ratio and achieve much lower estimation errors than the benchmarks without incurring much additional computational cost. Several numerical examples with phase noise generated by free-running oscillators or phase-locked loops demonstrate that our proposed algorithms outperform existing methods with respect to both computational efficiency and mean squared error within a large range of SNRs.

This paper considers phase retrieval from the magnitude of 1D over-sampled Fourier measurements, a classical problem that has challenged researchers in various fields of science and engineering. We show that an optimal vector in a least-squares sense can be found by solving a convex problem, thus establishing a hidden convexity in Fourier phase retrieval. We also show that the standard semidefinite relaxation approach yields the optimal cost function value (albeit not necessarily an optimal solution) in this case. A method is then derived to retrieve an optimal minimum phase solution in polynomial time. Using these results, a new measuring technique is proposed which guarantees uniqueness of the solution, along with an efficient algorithm that can solve large-scale Fourier phase retrieval problems with uniqueness and optimality guarantees.

Non-convex quadratically constrained quadratic programming (QCQP) problems have numerous applications in signal processing, machine learning, and wireless communications, albeit the general QCQP is NP-hard, and several interesting special cases are NP-hard as well. This paper proposes a new algorithm for general QCQP. The problem is first reformulated in consensus optimization form, to which the alternating direction method of multipliers (ADMM) can be applied. The reformulation is done in such a way that each of the sub-problems is a QCQP with only one constraint (QCQP-1), which is efficiently solvable irrespective of (non-)convexity. The core components are carefully designed to make the overall algorithm more scalable, including efficient methods for solving QCQP-1, memory efficient implementation, parallel/distributed implementation, and smart initialization. The proposed algorithm is then tested in two applications: multicast beamforming and phase retrieval. The results indicate superior performance over prior state-of-the-art methods.

We propose a general algorithmic framework for constrained matrix and tensor factorization, which is widely used in signal processing and machine learning. The new framework is a hybrid between alternating optimization (AO) and the alternating direction method of multipliers (ADMM): each matrix factor is updated in turn, using ADMM, hence the name AO-ADMM. This combination can naturally accommodate a great variety of constraints on the factor matrices, and almost all possible loss measures for the fitting. Computation caching and warm start strategies are used to ensure that each update is evaluated efficiently, while the outer AO framework exploits recent developments in block coordinate descent (BCD)-type methods which help ensure that every limit point is a stationary point, as well as faster and more robust convergence in practice. Three special cases are studied in detail: non-negative matrix/tensor factorization, constrained matrix/tensor completion, and dictionary learning. Extensive simulations and experiments with real data are used to showcase the effectiveness and broad applicability of the proposed framework.

We consider distributed optimization where $N$ nodes in a connected network minimize the sum of their local costs subject to a common constraint set. We propose a distributed projected gradient method where each node, at each iteration $k$, performs an update (is active) with probability $p_k$, and stays idle (is inactive) with probability $1-p_k$. Whenever active, each node performs an update by weight-averaging its solution estimate with the estimates of its active neighbors, taking a negative gradient step with respect to its local cost, and performing a projection onto the constraint set; inactive nodes perform no updates. Assuming that nodes' local costs are strongly convex, with Lipschitz continuous gradients, we show that, as long as activation probability $p_k$ grows to one asymptotically, our algorithm converges in the mean square sense (MSS) to the same solution as the standard distributed gradient method, i.e., as if all the nodes were active at all iterations. Moreover, when $p_k$ grows to one linearly, with an appropriately set convergence factor, the algorithm has a linear MSS convergence, with practically the same factor as the standard distributed gradient method. Simulations on both synthetic and real world data sets demonstrate that, when compared with the standard distributed gradient method, the proposed algorithm significantly reduces the overall number of per-node communications and per-node gradient evaluations (computational cost) for the same required accuracy., Comment: submitted to a journal on April 15, 2015; revised on September 23, 2015, and March 10, 2016

This paper studies efficient distributed optimization methods for multi-agent networks. Specifically, we consider a convex optimization problem with a globally coupled linear equality constraint and local polyhedra constraints, and develop distributed optimization methods based on the alternating direction method of multipliers (ADMM). The considered problem has many applications in machine learning and smart grid control problems. Due to the presence of the polyhedra constraints, agents in the existing methods have to deal with polyhedra constrained subproblems at each iteration. One of the key issues is that projection onto a polyhedra constraint is not trivial, which prohibits from closed-form solutions or the use of simple algorithms for solving these subproblems. In this paper, by judiciously integrating the proximal minimization method with ADMM, we propose a new distributed optimization method where the polyhedra constraints are handled softly as penalty terms in the subproblems. This makes the subproblems efficiently solvable and consequently reduces the overall computation time. Furthermore, we propose a randomized counterpart that is robust against randomly ON/OFF agents and imperfect communication links. We analytically show that both the proposed methods have a worst-case $\mathcal{O}(1/k)$ convergence rate, where $k$ is the iteration number. Numerical results show that the proposed methods offer considerably lower computation time than the existing distributed ADMM method., submitted to IEEE Transactions on Signal Processing

Sequences with low aperiodic autocorrelation sidelobes are well known to have extensive applications in active sensing and communication systems. In this paper, we consider the problem of minimizing the weighted integrated sidelobe level (WISL), which can be used to design sequences with impulse-like autocorrelation and zero (or low) correlation zone. Two algorithms based on the general majorization-minimization method are developed to tackle the WISL minimization problem and the convergence to a stationary point is guaranteed. In addition, the proposed algorithms can be implemented via fast Fourier transform (FFT) operations and thus are computationally efficient, and an acceleration scheme has been considered to further accelerate the algorithms. Moreover, the proposed methods are extended to optimize the $\ell_{p}$-norm of the autocorrelation sidelobes, which lead to a way to minimize the peak sidelobe level (PSL) criterion. Numerical experiments show that the proposed algorithms can efficiently generate sequences with virtually zero autocorrelation sidelobes in a specified lag interval and can also produce very long sequences with much smaller PSL compared with some well known analytical sequences., arXiv admin note: text overlap with arXiv:1501.02252

This paper studies the problem of sequential Gaussian shift-in-mean hypothesis testing in a distributed multi-agent network. A sequential probability ratio test (SPRT) type algorithm in a distributed framework of the \emph{consensus}+\emph{innovations} form is proposed, in which the agents update their decision statistics by simultaneously processing latest observations (innovations) sensed sequentially over time and information obtained from neighboring agents (consensus). For each pre-specified set of type I and type II error probabilities, local decision parameters are derived which ensure that the algorithm achieves the desired error performance and terminates in finite time almost surely (a.s.) at each network agent. Large deviation exponents for the tail probabilities of the agent stopping time distributions are obtained and it is shown that asymptotically (in the number of agents or in the high signal-to-noise-ratio regime) these exponents associated with the distributed algorithm approach that of the optimal centralized detector. The expected stopping time for the proposed algorithm at each network agent is evaluated and is benchmarked with respect to the optimal centralized algorithm. The efficiency of the proposed algorithm in the sense of the expected stopping times is characterized in terms of network connectivity. Finally, simulation studies are presented which illustrate and verify the analytical findings., Comment: 37 pages. Submitted for journal publication. Initial submission: Nov. 2014. Revised: Aug. 2015

We consider the problem of approximating optimal in the Minimum Mean Squared Error (MMSE) sense nonlinear filters in a discrete time setting, exploiting properties of stochastically convergent state process approximations. More specifically, we consider a class of nonlinear, partially observable stochastic systems, comprised by a (possibly nonstationary) hidden stochastic process (the state), observed through another conditionally Gaussian stochastic process (the observations). Under general assumptions, we show that, given an approximating process which, for each time step, is stochastically convergent to the state process, an approximate filtering operator can be defined, which converges to the true optimal nonlinear filter of the state in a strong and well defined sense. In particular, the convergence is compact in time and uniform in a completely characterized measurable set of probability measure almost unity, also providing a purely quantitative justification of Egoroff's Theorem for the problem at hand. The results presented in this paper can form a common basis for the analysis and characterization of a number of heuristic approaches for approximating optimal nonlinear filters, such as approximate grid based techniques, known to perform well in a variety of applications., EXTENDED version of an original paper published in the IEEE Transactions on Signal Processing; 37 pages

Multi-agent distributed consensus optimization problems arise in many signal processing applications. Recently, the alternating direction method of multipliers (ADMM) has been used for solving this family of problems. ADMM based distributed optimization method is shown to have faster convergence rate compared with classic methods based on consensus subgradient, but can be computationally expensive, especially for problems with complicated structures or large dimensions. In this paper, we propose low-complexity algorithms that can reduce the overall computational cost of consensus ADMM by an order of magnitude for certain large-scale problems. Central to the proposed algorithms is the use of an inexact step for each ADMM update, which enables the agents to perform cheap computation at each iteration. Our convergence analyses show that the proposed methods converge well under some convexity assumptions. Numerical results show that the proposed algorithms offer considerably lower computational complexity than the standard ADMM based distributed optimization methods., submitted to IEEE Trans. Signal Processing; Revised April 2014 and August 2014

The success of compressed sensing relies essentially on the ability to efficiently find an approximately sparse solution to an under-determined linear system. In this paper, we developed an efficient algorithm for the sparsity promoting l 1 -regularized least squares problem by coupling the primal dual active set strategy with a continuation technique (on the regularization parameter). In the active set strategy, we first determine the active set from primal and dual variables, and then update the primal and dual variables by solving a low-dimensional least square problem on the active set, which makes the algorithm very efficient. The continuation technique globalizes the convergence of the algorithm, with provable global convergence under restricted isometry property (RIP). Further, we adopt two alternative methods, i.e., a modified discrepancy principle and a Bayesian information criterion, to choose the regularization parameter automatically. Numerical experiments indicate that our algorithm is very competitive with state-of-the-art algorithms in terms of accuracy and efficiency, without a priori information about the regularization parameter.