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Improving Offline Reinforcement Learning with Inaccurate Simulators
May 07, 2024
Offline reinforcement learning (RL) provides a promising approach to avoid costly online interaction with the real environment. However, the performance of offline RL highly depends on the quality of the datasets, which may cause extrapolation error in the learning process. In many robotic applications, an inaccurate simulator is often available. However, the data directly collected from the inaccurate simulator cannot be directly used in offline RL due to the well-known exploration-exploitation dilemma and the dynamic gap between inaccurate simulation and the real environment. To address these issues, we propose a novel approach to combine the offline dataset and the inaccurate simulation data in a better manner. Specifically, we pre-train a generative adversarial network (GAN) model to fit the state distribution of the offline dataset. Given this, we collect data from the inaccurate simulator starting from the distribution provided by the generator and reweight the simulated data using the discriminator. Our experimental results in the D4RL benchmark and a real-world manipulation task confirm that our method can benefit more from both inaccurate simulator and limited offline datasets to achieve better performance than the state-of-the-art methods.
A least-square method for non-asymptotic identification in linear switching control
Apr 11, 2024The focus of this paper is on linear system identification in the setting where it is known that the underlying partially-observed linear dynamical system lies within a finite collection of known candidate models. We first consider the problem of identification from a given trajectory, which in this setting reduces to identifying the index of the true model with high probability. We characterize the finite-time sample complexity of this problem by leveraging recent advances in the non-asymptotic analysis of linear least-square methods in the literature. In comparison to the earlier results that assume no prior knowledge of the system, our approach takes advantage of the smaller hypothesis class and leads to the design of a learner with a dimension-free sample complexity bound. Next, we consider the switching control of linear systems, where there is a candidate controller for each of the candidate models and data is collected through interaction of the system with a collection of potentially destabilizing controllers. We develop a dimension-dependent criterion that can detect those destabilizing controllers in finite time. By leveraging these results, we propose a data-driven switching strategy that identifies the unknown parameters of the underlying system. We then provide a non-asymptotic analysis of its performance and discuss its implications on the classical method of estimator-based supervisory control.
Private Synthetic Data Meets Ensemble Learning
Oct 15, 2023When machine learning models are trained on synthetic data and then deployed on real data, there is often a performance drop due to the distribution shift between synthetic and real data. In this paper, we introduce a new ensemble strategy for training downstream models, with the goal of enhancing their performance when used on real data. We generate multiple synthetic datasets by applying a differential privacy (DP) mechanism several times in parallel and then ensemble the downstream models trained on these datasets. While each synthetic dataset might deviate more from the real data distribution, they collectively increase sample diversity. This may enhance the robustness of downstream models against distribution shifts. Our extensive experiments reveal that while ensembling does not enhance downstream performance (compared with training a single model) for models trained on synthetic data generated by marginal-based or workload-based DP mechanisms, our proposed ensemble strategy does improve the performance for models trained using GAN-based DP mechanisms in terms of both accuracy and calibration of downstream models.
A Unified Approach to Controlling Implicit Regularization via Mirror Descent
Jun 24, 2023
Inspired by the remarkable success of deep neural networks, there has been significant interest in understanding the generalization performance of overparameterized models. Substantial efforts have been invested in characterizing how optimization algorithms impact generalization through their "preferred" solutions, a phenomenon commonly referred to as implicit regularization. In particular, it has been argued that gradient descent (GD) induces an implicit $\ell_2$-norm regularization in regression and classification problems. However, the implicit regularization of different algorithms are confined to either a specific geometry or a particular class of learning problems, indicating a gap in a general approach for controlling the implicit regularization. To address this, we present a unified approach using mirror descent (MD), a notable generalization of GD, to control implicit regularization in both regression and classification settings. More specifically, we show that MD with the general class of homogeneous potential functions converges in direction to a generalized maximum-margin solution for linear classification problems, thereby answering a long-standing question in the classification setting. Further, we show that MD can be implemented efficiently and under suitable conditions, enjoys fast convergence. Through comprehensive experiments, we demonstrate that MD is a versatile method to produce learned models with different regularizers, which in turn have different generalization performances.
Online Learning for Equilibrium Pricing in Markets under Incomplete Information
Mar 28, 2023The study of market equilibria is central to economic theory, particularly in efficiently allocating scarce resources. However, the computation of equilibrium prices at which the supply of goods matches their demand typically relies on having access to complete information on private attributes of agents, e.g., suppliers' cost functions, which are often unavailable in practice. Motivated by this practical consideration, we consider the problem of setting equilibrium prices in the incomplete information setting wherein a market operator seeks to satisfy the customer demand for a commodity by purchasing the required amount from competing suppliers with privately known cost functions unknown to the market operator. In this incomplete information setting, we consider the online learning problem of learning equilibrium prices over time while jointly optimizing three performance metrics -- unmet demand, cost regret, and payment regret -- pertinent in the context of equilibrium pricing over a horizon of $T$ periods. We first consider the setting when suppliers' cost functions are fixed and develop algorithms that achieve a regret of $O(\log \log T)$ when the customer demand is constant over time, or $O(\sqrt{T} \log \log T)$ when the demand is variable over time. Next, we consider the setting when the suppliers' cost functions can vary over time and illustrate that no online algorithm can achieve sublinear regret on all three metrics when the market operator has no information about how the cost functions change over time. Thus, we consider an augmented setting wherein the operator has access to hints/contexts that, without revealing the complete specification of the cost functions, reflect the variation in the cost functions over time and propose an algorithm with sublinear regret in this augmented setting.
Mirror Descent Maximizes Generalized Margin and Can Be Implemented Efficiently
May 25, 2022
Driven by the empirical success and wide use of deep neural networks, understanding the generalization performance of overparameterized models has become an increasingly popular question. To this end, there has been substantial effort to characterize the implicit bias of the optimization algorithms used, such as gradient descent (GD), and the structural properties of their preferred solutions. This paper answers an open question in this literature: For the classification setting, what solution does mirror descent (MD) converge to? Specifically, motivated by its efficient implementation, we consider the family of mirror descent algorithms with potential function chosen as the $p$-th power of the $\ell_p$-norm, which is an important generalization of GD. We call this algorithm $p$-$\textsf{GD}$. For this family, we characterize the solutions it obtains and show that it converges in direction to a generalized maximum-margin solution with respect to the $\ell_p$-norm for linearly separable classification. While the MD update rule is in general expensive to compute and perhaps not suitable for deep learning, $p$-$\textsf{GD}$ is fully parallelizable in the same manner as SGD and can be used to train deep neural networks with virtually no additional computational overhead. Using comprehensive experiments with both linear and deep neural network models, we demonstrate that $p$-$\textsf{GD}$ can noticeably affect the structure and the generalization performance of the learned models.
Analytic Continued Fractions for Regression: A Memetic Algorithm Approach
Dec 18, 2019
We present an approach for regression problems that employs analytic continued fractions as a novel representation. Comparative computational results using a memetic algorithm are reported in this work. Our experiments included fifteen other different machine learning approaches including five genetic programming methods for symbolic regression and ten machine learning methods. The comparison on training and test generalization was performed using 94 datasets of the Penn State Machine Learning Benchmark. The statistical tests showed that the generalization results using analytic continued fractions provides a powerful and interesting new alternative in the quest for compact and interpretable mathematical models for artificial intelligence.
Beyond Online Balanced Descent: An Optimal Algorithm for Smoothed Online Optimization
Jun 04, 2019
We study online convex optimization in a setting where the learner seeks to minimize the sum of a per-round hitting cost and a movement cost which is incurred when changing decisions between rounds. We prove a new lower bound on the competitive ratio of any online algorithm in the setting where the costs are $m$-strongly convex and the movement costs are the squared $\ell_2$ norm. This lower bound shows that no algorithm can achieve a competitive ratio that is $o(m^{-1/2})$ as $m$ tends to zero. No existing algorithms have competitive ratios matching this bound, and we show that the state-of-the-art algorithm, Online Balanced Decent (OBD), has a competitive ratio that is $\Omega(m^{-2/3})$. We additionally propose two new algorithms, Greedy OBD (G-OBD) and Regularized OBD (R-OBD) and prove that both algorithms have an $O(m^{-1/2})$ competitive ratio. The result for G-OBD holds when the hitting costs are quasiconvex and the movement costs are the squared $\ell_2$ norm, while the result for R-OBD holds when the hitting costs are $m$-strongly convex and the movement costs are Bregman Divergences. Further, we show that R-OBD simultaneously achieves constant, dimension-free competitive ratio and sublinear regret when hitting costs are strongly convex.