3/15/18 | 4:15pm | E51-345
Reception to follow.
Abstract: Statistics and optimization have been closely linked since the very outset. This connection has become more essential lately, mainly because of the recent advances in computational resources, the availability of large amount of data, and the consequent growing interest in statistical and machine learning algorithms. In this talk, I will discuss how one can use tools from statistics such as Stein’s lemma and subsampling to design scalable, efficient, and reliable optimization algorithms. The focus will be on large-scale problems where the iterative minimization of the empirical risk is computationally intractable, i.e., the number of observations n is much larger than the dimension of the parameter p, n >> p >> 1. The proposed algorithms have wide applicability to many supervised learning problems such as binary classification with smooth surrogate losses, generalized linear problems in their canonical representation, and M-estimators. The algorithms rely on iterations that are constructed by Stein’s lemma, that achieve quadratic convergence rate, and that are cheaper than any batch optimization method by at least a factor of O(p). I will discuss theoretical guarantees of the proposed algorithms, along with their convergence behavior in terms of data dimensions. Finally, I will demonstrate their performance on well-known classification and regression problems, through extensive numerical studies on large-scale real datasets, and show that they achieve the highest performance compared to other widely used and specialized algorithms.
Bio: Murat Erdogdu is currently a postdoctoral researcher at Microsoft Research - New England lab. He will join the departments of Computer Science and Statistics at University of Toronto, and Vector Institute for AI as a faculty in July 2018. His research interests include optimization, machine learning, statistics, applied probability, and the connections among these fields. He obtained his Ph.D. from Department of Statistics at Stanford University, where he was jointly advised by Mohsen Bayati and Andrea Montanari. He has an M.S. degree in Computer Science from Stanford, and B.S. degrees in Electrical Engineering and Mathematics, both from Bogazici University.