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Add to EdgeLearning smooth functions in high dimensions: from sparse polynomials to deep neural networks
Apr 04, 2024
Learning approximations to smooth target functions of many variables from finite sets of pointwise samples is an important task in scientific computing and its many applications in computational science and engineering. Despite well over half a century of research on high-dimensional approximation, this remains a challenging problem. Yet, significant advances have been made in the last decade towards efficient methods for doing this, commencing with so-called sparse polynomial approximation methods and continuing most recently with methods based on Deep Neural Networks (DNNs). In tandem, there have been substantial advances in the relevant approximation theory and analysis of these techniques. In this work, we survey this recent progress. We describe the contemporary motivations for this problem, which stem from parametric models and computational uncertainty quantification; the relevant function classes, namely, classes of infinite-dimensional, Banach-valued, holomorphic functions; fundamental limits of learnability from finite data for these classes; and finally, sparse polynomial and DNN methods for efficiently learning such functions from finite data. For the latter, there is currently a significant gap between the approximation theory of DNNs and the practical performance of deep learning. Aiming to narrow this gap, we develop the topic of practical existence theory, which asserts the existence of dimension-independent DNN architectures and training strategies that achieve provably near-optimal generalization errors in terms of the amount of training data.
A unified framework for learning with nonlinear model classes from arbitrary linear samples
Nov 25, 2023This work considers the fundamental problem of learning an unknown object from training data using a given model class. We introduce a unified framework that allows for objects in arbitrary Hilbert spaces, general types of (random) linear measurements as training data and general types of nonlinear model classes. We establish a series of learning guarantees for this framework. These guarantees provide explicit relations between the amount of training data and properties of the model class to ensure near-best generalization bounds. In doing so, we also introduce and develop the key notion of the variation of a model class with respect to a distribution of sampling operators. To exhibit the versatility of this framework, we show that it can accommodate many different types of well-known problems of interest. We present examples such as matrix sketching by random sampling, compressed sensing with isotropic vectors, active learning in regression and compressed sensing with generative models. In all cases, we show how known results become straightforward corollaries of our general learning guarantees. For compressed sensing with generative models, we also present a number of generalizations and improvements of recent results. In summary, our work not only introduces a unified way to study learning unknown objects from general types of data, but also establishes a series of general theoretical guarantees which consolidate and improve various known results.
CS4ML: A general framework for active learning with arbitrary data based on Christoffel functions
Jun 01, 2023
We introduce a general framework for active learning in regression problems. Our framework extends the standard setup by allowing for general types of data, rather than merely pointwise samples of the target function. This generalization covers many cases of practical interest, such as data acquired in transform domains (e.g., Fourier data), vector-valued data (e.g., gradient-augmented data), data acquired along continuous curves, and, multimodal data (i.e., combinations of different types of measurements). Our framework considers random sampling according to a finite number of sampling measures and arbitrary nonlinear approximation spaces (model classes). We introduce the concept of generalized Christoffel functions and show how these can be used to optimize the sampling measures. We prove that this leads to near-optimal sample complexity in various important cases. This paper focuses on applications in scientific computing, where active learning is often desirable, since it is usually expensive to generate data. We demonstrate the efficacy of our framework for gradient-augmented learning with polynomials, Magnetic Resonance Imaging (MRI) using generative models and adaptive sampling for solving PDEs using Physics-Informed Neural Networks (PINNs).
Restarts subject to approximate sharpness: A parameter-free and optimal scheme for first-order methods
Jan 05, 2023
Sharpness is an almost generic assumption in continuous optimization that bounds the distance from minima by objective function suboptimality. It leads to the acceleration of first-order methods via restarts. However, sharpness involves problem-specific constants that are typically unknown, and previous restart schemes reduce convergence rates. Moreover, such schemes are challenging to apply in the presence of noise or approximate model classes (e.g., in compressive imaging or learning problems), and typically assume that the first-order method used produces feasible iterates. We consider the assumption of approximate sharpness, a generalization of sharpness that incorporates an unknown constant perturbation to the objective function error. This constant offers greater robustness (e.g., with respect to noise or relaxation of model classes) for finding approximate minimizers. By employing a new type of search over the unknown constants, we design a restart scheme that applies to general first-order methods and does not require the first-order method to produce feasible iterates. Our scheme maintains the same convergence rate as when assuming knowledge of the constants. The rates of convergence we obtain for various first-order methods either match the optimal rates or improve on previously established rates for a wide range of problems. We showcase our restart scheme on several examples and point to future applications and developments of our framework and theory.
CAS4DL: Christoffel Adaptive Sampling for function approximation via Deep Learning
Aug 25, 2022
The problem of approximating smooth, multivariate functions from sample points arises in many applications in scientific computing, e.g., in computational Uncertainty Quantification (UQ) for science and engineering. In these applications, the target function may represent a desired quantity of interest of a parameterized Partial Differential Equation (PDE). Due to the large cost of solving such problems, where each sample is computed by solving a PDE, sample efficiency is a key concerning these applications. Recently, there has been increasing focus on the use of Deep Neural Networks (DNN) and Deep Learning (DL) for learning such functions from data. In this work, we propose an adaptive sampling strategy, CAS4DL (Christoffel Adaptive Sampling for Deep Learning) to increase the sample efficiency of DL for multivariate function approximation. Our novel approach is based on interpreting the second to last layer of a DNN as a dictionary of functions defined by the nodes on that layer. With this viewpoint, we then define an adaptive sampling strategy motivated by adaptive sampling schemes recently proposed for linear approximation schemes, wherein samples are drawn randomly with respect to the Christoffel function of the subspace spanned by this dictionary. We present numerical experiments comparing CAS4DL with standard Monte Carlo (MC) sampling. Our results demonstrate that CAS4DL often yields substantial savings in the number of samples required to achieve a given accuracy, particularly in the case of smooth activation functions, and it shows a better stability in comparison to MC. These results therefore are a promising step towards fully adapting DL towards scientific computing applications.
Is Monte Carlo a bad sampling strategy for learning smooth functions in high dimensions?
Aug 18, 2022
This paper concerns the approximation of smooth, high-dimensional functions from limited samples using polynomials. This task lies at the heart of many applications in computational science and engineering -- notably, those arising from parametric modelling and uncertainty quantification. It is common to use Monte Carlo (MC) sampling in such applications, so as not to succumb to the curse of dimensionality. However, it is well known this strategy is theoretically suboptimal. There are many polynomial spaces of dimension $n$ for which the sample complexity scales log-quadratically in $n$. This well-documented phenomenon has led to a concerted effort to design improved, in fact, near-optimal strategies, whose sample complexities scale log-linearly, or even linearly in $n$. Paradoxically, in this work we show that MC is actually a perfectly good strategy in high dimensions. We first document this phenomenon via several numerical examples. Next, we present a theoretical analysis that resolves this paradox for holomorphic functions of infinitely-many variables. We show that there is a least-squares scheme based on $m$ MC samples whose error decays algebraically fast in $m/\log(m)$, with a rate that is the same as that of the best $n$-term polynomial approximation. This result is non-constructive, since it assumes knowledge of a suitable polynomial space in which to perform the approximation. We next present a compressed sensing-based scheme that achieves the same rate, except for a larger polylogarithmic factor. This scheme is practical, and numerically it performs as well as or better than well-known adaptive least-squares schemes. Overall, our findings demonstrate that MC sampling is eminently suitable for smooth function approximation when the dimension is sufficiently high. Hence the benefits of improved sampling strategies are generically limited to lower-dimensional settings.
On efficient algorithms for computing near-best polynomial approximations to high-dimensional, Hilbert-valued functions from limited samples
Mar 25, 2022
Sparse polynomial approximation has become indispensable for approximating smooth, high- or infinite-dimensional functions from limited samples. This is a key task in computational science and engineering, e.g., surrogate modelling in UQ where the function is the solution map of a parametric or stochastic PDE. Yet, sparse polynomial approximation lacks a complete theory. On the one hand, there is a well-developed theory of best $s$-term polynomial approximation, which asserts exponential or algebraic rates of convergence for holomorphic functions. On the other hand, there are increasingly mature methods such as (weighted) $\ell^1$-minimization for computing such approximations. While the sample complexity of these methods has been analyzed in detail, the matter of whether or not these methods achieve such rates is not well understood. Furthermore, these methods are not algorithms per se, since they involve exact minimizers of nonlinear optimization problems. This paper closes these gaps. Specifically, we pose and answer the following question: are there robust, efficient algorithms for computing approximations to finite- or infinite-dimensional, holomorphic and Hilbert-valued functions from limited samples that achieve best $s$-term rates? We answer this in the affirmative by introducing algorithms and theoretical guarantees that assert exponential or algebraic rates of convergence, along with robustness to sampling, algorithmic, and physical discretization errors. We tackle both scalar- and Hilbert-valued functions, this being particularly relevant to parametric and stochastic PDEs. Our work involves several significant developments of existing techniques, including a novel restarted primal-dual iteration for solving weighted $\ell^1$-minimization problems in Hilbert spaces. Our theory is supplemented by numerical experiments demonstrating the practical efficacy of these algorithms.
Stable, accurate and efficient deep neural networks for inverse problems with analysis-sparse models
Mar 02, 2022
Solving inverse problems is a fundamental component of science, engineering and mathematics. With the advent of deep learning, deep neural networks have significant potential to outperform existing state-of-the-art, model-based methods for solving inverse problems. However, it is known that current data-driven approaches face several key issues, notably instabilities and hallucinations, with potential impact in critical tasks such as medical imaging. This raises the key question of whether or not one can construct stable and accurate deep neural networks for inverse problems. In this work, we present a novel construction of an accurate, stable and efficient neural network for inverse problems with general analysis-sparse models. To construct the network, we unroll NESTA, an accelerated first-order method for convex optimization. Combined with a compressed sensing analysis, we prove accuracy and stability. Finally, a restart scheme is employed to enable exponential decay of the required network depth, yielding a shallower, and consequently more efficient, network. We showcase this approach in the case of Fourier imaging, and verify its stability and performance via a series of numerical experiments. The key impact of this work is to provide theoretical guarantees for computing and developing stable neural networks in practice.
Deep Neural Networks Are Effective At Learning High-Dimensional Hilbert-Valued Functions From Limited Data
Dec 11, 2020
The accurate approximation of scalar-valued functions from sample points is a key task in mathematical modeling and computational science. Recently, machine learning techniques based on Deep Neural Networks (DNNs) have begun to emerge as promising tools for function approximation in scientific computing problems, with impressive results achieved on problems where the dimension of the underlying data or problem domain is large. In this work, we broaden this perspective by focusing on approximation of functions that are Hilbert-valued, i.e. they take values in a separable, but typically infinite-dimensional, Hilbert space. This problem arises in many science and engineering problems, in particular those involving the solution of parametric Partial Differential Equations (PDEs). Such problems are challenging for three reasons. First, pointwise samples are expensive to acquire. Second, the domain of the function is usually high dimensional, and third, the range lies in a Hilbert space. Our contributions are twofold. First, we present a novel result on DNN training for holomorphic functions with so-called hidden anisotropy. This result introduces a DNN training procedure and a full theoretical analysis with explicit guarantees on the error and sample complexity. This error bound is explicit in the three key errors occurred in the approximation procedure: best approximation error, measurement error and physical discretization error. Our result shows that there is a procedure for learning Hilbert-valued functions via DNNs that performs as well as current best-in-class schemes. Second, we provide preliminary numerical results illustrating the practical performance of DNNs on Hilbert-valued functions arising as solutions to parametric PDEs. We consider different parameters, modify the DNN architecture to achieve better and competitive results and compare these to current best-in-class schemes.
The gap between theory and practice in function approximation with deep neural networks
Jan 16, 2020
Deep learning (DL) is transforming whole industries as complicated decision-making processes are being automated by Deep Neural Networks (DNNs) trained on real-world data. Driven in part by a rapidly-expanding literature on DNN approximation theory showing that DNNs can approximate a rich variety of functions, these tools are increasingly being considered for problems in scientific computing. Yet, unlike more traditional algorithms in this field, relatively little is known about DNNs from the principles of numerical analysis, namely, stability, accuracy, computational efficiency and sample complexity. In this paper we introduce a computational framework for examining DNNs in practice, and use it to study their empirical performance with regard to these issues. We examine the performance of DNNs of different widths and depths on a variety of test functions in various dimensions, including smooth and piecewise smooth functions. We also compare DL against best-in-class methods for smooth function approximation based on compressed sensing. Our main conclusion is that there is a crucial gap between the approximation theory of DNNs and their practical performance, with trained DNNs performing relatively poorly on functions for which there are strong approximation results (e.g. smooth functions), yet performing well in comparison to best-in-class methods for other functions. Finally, we present a novel practical existence theorem, which asserts the existence of a DNN architecture and training procedure which offers the same performance as current best-in-class schemes. This result indicates the potential for practical DNN approximation, and the need for future research into practical architecture design and training strategies.