Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging

Chung-En Tsai, Hao-Chung Cheng, Yen-Huan Li
Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, PMLR 238:2908-2916, 2024.

Abstract

Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solving the Poisson inverse problem, computing the maximum-likelihood estimate for quantum state tomography, and approximating positive semi-definite matrix permanents with the currently tightest approximation ratio. Although the optimization problem is convex, standard iteration complexity guarantees for first-order methods do not directly apply due to the absence of Lipschitz continuity and smoothness in the loss function. In this work, we propose a stochastic first-order algorithm named $B$-sample stochastic dual averaging with the logarithmic barrier. For the Poisson inverse problem, our algorithm attains an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^2/\varepsilon^2)$ time, matching the state of the art, where $d$ denotes the dimension. When computing the maximum-likelihood estimate for quantum state tomography, our algorithm yields an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^3/\varepsilon^2)$ time. This improves on the time complexities of existing stochastic first-order methods by a factor of $d^{\omega-2}$ and those of batch methods by a factor of $d^2$, where $\omega$ denotes the matrix multiplication exponent. Numerical experiments demonstrate that empirically, our algorithm outperforms existing methods with explicit complexity guarantees.

Cite this Paper

BibTeX
@InProceedings{pmlr-v238-tsai24a, title = { Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging }, author = {Tsai, Chung-En and Cheng, Hao-Chung and Li, Yen-Huan}, booktitle = {Proceedings of The 27th International Conference on Artificial Intelligence and Statistics}, pages = {2908--2916}, year = {2024}, editor = {Dasgupta, Sanjoy and Mandt, Stephan and Li, Yingzhen}, volume = {238}, series = {Proceedings of Machine Learning Research}, month = {02--04 May}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v238/tsai24a/tsai24a.pdf}, url = {https://proceedings.mlr.press/v238/tsai24a.html}, abstract = { Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solving the Poisson inverse problem, computing the maximum-likelihood estimate for quantum state tomography, and approximating positive semi-definite matrix permanents with the currently tightest approximation ratio. Although the optimization problem is convex, standard iteration complexity guarantees for first-order methods do not directly apply due to the absence of Lipschitz continuity and smoothness in the loss function. In this work, we propose a stochastic first-order algorithm named $B$-sample stochastic dual averaging with the logarithmic barrier. For the Poisson inverse problem, our algorithm attains an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^2/\varepsilon^2)$ time, matching the state of the art, where $d$ denotes the dimension. When computing the maximum-likelihood estimate for quantum state tomography, our algorithm yields an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^3/\varepsilon^2)$ time. This improves on the time complexities of existing stochastic first-order methods by a factor of $d^{\omega-2}$ and those of batch methods by a factor of $d^2$, where $\omega$ denotes the matrix multiplication exponent. Numerical experiments demonstrate that empirically, our algorithm outperforms existing methods with explicit complexity guarantees. } }
Endnote
%0 Conference Paper %T Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging %A Chung-En Tsai %A Hao-Chung Cheng %A Yen-Huan Li %B Proceedings of The 27th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2024 %E Sanjoy Dasgupta %E Stephan Mandt %E Yingzhen Li %F pmlr-v238-tsai24a %I PMLR %P 2908--2916 %U https://proceedings.mlr.press/v238/tsai24a.html %V 238 %X Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solving the Poisson inverse problem, computing the maximum-likelihood estimate for quantum state tomography, and approximating positive semi-definite matrix permanents with the currently tightest approximation ratio. Although the optimization problem is convex, standard iteration complexity guarantees for first-order methods do not directly apply due to the absence of Lipschitz continuity and smoothness in the loss function. In this work, we propose a stochastic first-order algorithm named $B$-sample stochastic dual averaging with the logarithmic barrier. For the Poisson inverse problem, our algorithm attains an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^2/\varepsilon^2)$ time, matching the state of the art, where $d$ denotes the dimension. When computing the maximum-likelihood estimate for quantum state tomography, our algorithm yields an $\varepsilon$-optimal solution in $\smash{\tilde{O}}(d^3/\varepsilon^2)$ time. This improves on the time complexities of existing stochastic first-order methods by a factor of $d^{\omega-2}$ and those of batch methods by a factor of $d^2$, where $\omega$ denotes the matrix multiplication exponent. Numerical experiments demonstrate that empirically, our algorithm outperforms existing methods with explicit complexity guarantees.
APA
Tsai, C., Cheng, H. & Li, Y.. (2024). Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging . Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 238:2908-2916 Available from https://proceedings.mlr.press/v238/tsai24a.html.

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