At The University Of California, Santa Cruz

Speaker Name:

Michael W. Mahoney

Speaker Title:

ICSI and Department of Statistics

Speaker Organization:

UC Berkeley

Start Time:

Tuesday, November 28, 2017 - 2:00pm

End Time:

Tuesday, November 28, 2017 - 3:00pm

Location:

UCSC, E2-599

Organizer:

Computer Science Department Distinguished Lecture

Abstract: A major challenge for large-scale machine learning, and one that will only increase in importance as we develop models that are more and more domain-informed, involves going beyond high-variance first-order optimization methods to more robust second order methods. Here, we consider the problem of minimizing the sum of a large number of functions over a convex constraint set, a problem that arises in many data analysis, machine learning, and more traditional scientific computing applications, as well as non-convex variants of these basic methods. While this is of interest in many situations, it has received attention recently due to challenges associated with training so-called deep neural networks. We establish improved bounds for algorithms that incorporate sub-sampling as a way to improve computational efficiency, while maintaining the original convergence properties of these algorithms. These methods exploit recent results from Randomized Linear Algebra on approximate matrix multiplication. Within the context of second order optimization methods, they provide quantitative convergence results for variants of Newton's methods, where the Hessian and/or the gradient is uniformly or non-uniformly sub-sampled, under much weaker assumptions than prior work.

Bio: Michael W. Mahoney is at the University of California at Berkeley in the Department of Statistics and at the International Computer Science Institute (ICSI). He works on algorithmic and statistical aspects of modern large-scale data analysis. Much of his recent research has focused on large-scale machine learning, including randomized matrix algorithms and randomized numerical linear algebra, geometric network analysis tools for structure extraction in large informatics graphs, scalable implicit regularization methods, and applications in genetics, astronomy, medical imaging, social network analysis, and internet data analysis. He received him PhD from Yale University with a dissertation in computational statistical mechanics, and he has worked and taught at Yale University in the mathematics department, at Yahoo Research, and at Stanford University in the mathematics department. Among other things, he is on the national advisory committee of the Statistical and Applied Mathematical Sciences Institute (SAMSI), he was on the National Research Council's Committee on the Analysis of Massive Data, he co-organized the Simons Institute's fall 2013 program on the Theoretical Foundations of Big Data Analysis, and he runs the biennial MMDS Workshops on Algorithms for Modern Massive Data Sets.