Alp Yurtsever

Joel A. Tropp, Alp Yurtsever, Madeleine Udell et al.

This paper argues that randomized linear sketching is a natural tool for on-the-fly compression of data matrices that arise from large-scale scientific simulations and data collection. The technical contribution consists in a new algorithm for constructing an accurate low-rank approximation of a matrix from streaming data. This method is accompanied by an a priori analysis that allows the user to set algorithm parameters with confidence and an a posteriori error estimator that allows the user to validate the quality of the reconstructed matrix. In comparison to previous techniques, the new method achieves smaller relative approximation errors and is less sensitive to parameter choices. As concrete applications, the paper outlines how the algorithm can be used to compress a Navier--Stokes simulation and a sea surface temperature dataset.

Alp Yurtsever, Tolga Birdal, Vladislav Golyanik

We present a hybrid classical-quantum framework based on the Frank-Wolfe algorithm, Q-FW, for solving quadratic, linearly-constrained, binary optimization problems on quantum annealers (QA). The computational premise of quantum computers has cultivated the re-design of various existing vision problems into quantum-friendly forms. Experimental QA realizations can solve a particular non-convex problem known as the quadratic unconstrained binary optimization (QUBO). Yet a naive-QUBO cannot take into account the restrictions on the parameters. To introduce additional structure in the parameter space, researchers have crafted ad-hoc solutions incorporating (linear) constraints in the form of regularizers. However, this comes at the expense of a hyper-parameter, balancing the impact of regularization. To date, a true constrained solver of quadratic binary optimization (QBO) problems has lacked. Q-FW first reformulates constrained-QBO as a copositive program (CP), then employs Frank-Wolfe iterations to solve CP while satisfying linear (in)equality constraints. This procedure unrolls the original constrained-QBO into a set of unconstrained QUBOs all of which are solved, in a sequel, on a QA. We use D-Wave Advantage QA to conduct synthetic and real experiments on two important computer vision problems, graph matching and permutation synchronization, which demonstrate that our approach is effective in alleviating the need for an explicit regularization coefficient.

Ali Dadras, Sourasekhar Banerjee, Karthik Prakhya et al.

Federated learning (FL) has gained a lot of attention in recent years for building privacy-preserving collaborative learning systems. However, FL algorithms for constrained machine learning problems are still limited, particularly when the projection step is costly. To this end, we propose a Federated Frank-Wolfe Algorithm (FedFW). FedFW features data privacy, low per-iteration cost, and communication of sparse signals. In the deterministic setting, FedFW achieves an $\varepsilon$-suboptimal solution within $O(\varepsilon^{-2})$ iterations for smooth and convex objectives, and $O(\varepsilon^{-3})$ iterations for smooth but non-convex objectives. Furthermore, we present a stochastic variant of FedFW and show that it finds a solution within $O(\varepsilon^{-3})$ iterations in the convex setting. We demonstrate the empirical performance of FedFW on several machine learning tasks.

Hoomaan Maskan, Konstantinos C. Zygalakis, Alp Yurtsever

We consider unconstrained minimization of smooth convex functions. We propose a novel variational perspective using forced Euler-Lagrange equation that allows for studying high-resolution ODEs. Through this, we obtain a faster convergence rate for gradient norm minimization using Nesterov's accelerated gradient method. Additionally, we show that Nesterov's method can be interpreted as a rate-matching discretization of an appropriately chosen high-resolution ODE. Finally, using the results from the new variational perspective, we propose a stochastic method for noisy gradients. Several numerical experiments compare and illustrate our stochastic algorithm with state of the art methods.

Sourasekhar Banerjee, Ali Dadras, Alp Yurtsever et al.

The key challenge of personalized federated learning (PerFL) is to capture the statistical heterogeneity properties of data with inexpensive communications and gain customized performance for participating devices. To address these, we introduced personalized federated learning in multi-tier architecture (PerMFL) to obtain optimized and personalized local models when there are known team structures across devices. We provide theoretical guarantees of PerMFL, which offers linear convergence rates for smooth strongly convex problems and sub-linear convergence rates for smooth non-convex problems. We conduct numerical experiments demonstrating the robust empirical performance of PerMFL, outperforming the state-of-the-art in multiple personalized federated learning tasks.

Karthik Prakhya, Alp Yurtsever

We show that the training problem of a deep linear neural network under the squared loss admits an exact convex reformulation in a lifted space over a generalized completely positive cone. The reformulation has the same optimal value as the original nonconvex problem and is linear in the lifted variables, with all nonconvexity encoded in the cone constraint. Its ambient lifted dimension depends only on the input and output dimensions, independent of the network depth and the number of data points, and the bottleneck width enters only through scalar constraints. The construction proceeds by reducing the multilayer parameterization to a bilinear factorization, lifting it to a rank-constrained semidefinite program, expressing the rank constraint via a complementarity condition, and applying a completely positive lifting. While the resulting formulation is computationally intractable in general, it gives an exact conic representation of the nonconvexity induced by linear factorization and connects linear neural network training with copositive programming.

Hoomaan Maskan, Yikun Hou, Suvrit Sra et al.

We introduce a new projection-free (Frank-Wolfe) method for optimizing structured nonconvex functions that are expressed as a difference of two convex functions. This problem class subsumes smooth nonconvex minimization, positioning our method as a promising alternative to the classical Frank-Wolfe algorithm. DC decompositions are not unique; by carefully selecting a decomposition, we can better exploit the problem structure, improve computational efficiency, and adapt to the underlying problem geometry to find better local solutions. We prove that the proposed method achieves a first-order stationary point in $O(1/ε^2)$ iterations, matching the complexity of the standard Frank-Wolfe algorithm for smooth nonconvex minimization in general. Specific decompositions can, for instance, yield a gradient-efficient variant that requires only $O(1/ε)$ calls to the gradient oracle. Finally, we present numerical experiments demonstrating the effectiveness of the proposed method compared to the standard Frank-Wolfe algorithm.

Karthik Prakhya, Tolga Birdal, Alp Yurtsever

Solving non-convex, NP-hard optimization problems is crucial for training machine learning models, including neural networks. However, non-convexity often leads to black-box machine learning models with unclear inner workings. While convex formulations have been used for verifying neural network robustness, their application to training neural networks remains less explored. In response to this challenge, we reformulate the problem of training infinite-width two-layer ReLU networks as a convex completely positive program in a finite-dimensional (lifted) space. Despite the convexity, solving this problem remains NP-hard due to the complete positivity constraint. To overcome this challenge, we introduce a semidefinite relaxation that can be solved in polynomial time. We then experimentally evaluate the tightness of this relaxation, demonstrating its competitive performance in test accuracy across a range of classification tasks.

Karlo Palenzuela, Ali Dadras, Alp Yurtsever et al.

Multiple local steps are key to communication-efficient federated learning. However, theoretical guarantees for such algorithms, without data heterogeneity-bounding assumptions, have been lacking in general non-smooth convex problems. Leveraging projection-efficient optimization methods, we propose FedMLS, a federated learning algorithm with provable improvements from multiple local steps. FedMLS attains an $ε$-suboptimal solution in $\mathcal{O}(1/ε)$ communication rounds, requiring a total of $\mathcal{O}(1/ε^2)$ stochastic subgradient oracle calls.

Yikun Hou, Suvrit Sra, Alp Yurtsever

Gradient descent for matrix factorization exhibits an implicit bias toward approximately low-rank solutions. While existing theories often assume the boundedness of iterates, empirically the bias persists even with unbounded sequences. This reflects a dynamic where factors develop low-rank structure while their magnitudes increase, tending to align with certain directions. To capture this behavior in a stable way, we introduce a new factorization model: $X\approx UDV^\top$, where $U$ and $V$ are constrained within norm balls, while $D$ is a diagonal factor allowing the model to span the entire search space. Experiments show that this model consistently exhibits a strong implicit bias, yielding truly (rather than approximately) low-rank solutions. Extending the idea to neural networks, we introduce a new model featuring constrained layers and diagonal components that achieves competitive performance on various regression and classification tasks while producing lightweight, low-rank representations.

Gideon Dresdner, Maria-Luiza Vladarean, Gunnar Rätsch et al.

We propose a stochastic conditional gradient method (CGM) for minimizing convex finite-sum objectives formed as a sum of smooth and non-smooth terms. Existing CGM variants for this template either suffer from slow convergence rates, or require carefully increasing the batch size over the course of the algorithm's execution, which leads to computing full gradients. In contrast, the proposed method, equipped with a stochastic average gradient (SAG) estimator, requires only one sample per iteration. Nevertheless, it guarantees fast convergence rates on par with more sophisticated variance reduction techniques. In applications we put special emphasis on problems with a large number of separable constraints. Such problems are prevalent among semidefinite programming (SDP) formulations arising in machine learning and theoretical computer science. We provide numerical experiments on matrix completion, unsupervised clustering, and sparsest-cut SDPs.

Lijun Ding, Alp Yurtsever, Volkan Cevher et al.

This paper develops a new storage-optimal algorithm that provably solves generic semidefinite programs (SDPs) in standard form. This method is particularly effective for weakly constrained SDPs. The key idea is to formulate an approximate complementarity principle: Given an approximate solution to the dual SDP, the primal SDP has an approximate solution whose range is contained in the eigenspace with small eigenvalues of the dual slack matrix. For weakly constrained SDPs, this eigenspace has very low dimension, so this observation significantly reduces the search space for the primal solution. This result suggests an algorithmic strategy that can be implemented with minimal storage: (1) Solve the dual SDP approximately; (2) compress the primal SDP to the eigenspace with small eigenvalues of the dual slack matrix; (3) solve the compressed primal SDP. The paper also provides numerical experiments showing that this approach is successful for a range of interesting large-scale SDPs.

Francesco Locatello, Alp Yurtsever, Olivier Fercoq et al.

A broad class of convex optimization problems can be formulated as a semidefinite program (SDP), minimization of a convex function over the positive-semidefinite cone subject to some affine constraints. The majority of classical SDP solvers are designed for the deterministic setting where problem data is readily available. In this setting, generalized conditional gradient methods (aka Frank-Wolfe-type methods) provide scalable solutions by leveraging the so-called linear minimization oracle instead of the projection onto the semidefinite cone. Most problems in machine learning and modern engineering applications, however, contain some degree of stochasticity. In this work, we propose the first conditional-gradient-type method for solving stochastic optimization problems under affine constraints. Our method guarantees $\mathcal{O}(k^{-1/3})$ convergence rate in expectation on the objective residual and $\mathcal{O}(k^{-5/12})$ on the feasibility gap.

Kfir Y. Levy, Alp Yurtsever, Volkan Cevher

We present a novel method for convex unconstrained optimization that, without any modifications, ensures: (i) accelerated convergence rate for smooth objectives, (ii) standard convergence rate in the general (non-smooth) setting, and (iii) standard convergence rate in the stochastic optimization setting. To the best of our knowledge, this is the first method that simultaneously applies to all of the above settings. At the heart of our method is an adaptive learning rate rule that employs importance weights, in the spirit of adaptive online learning algorithms (Duchi et al., 2011; Levy, 2017), combined with an update that linearly couples two sequences, in the spirit of (Allen-Zhu and Orecchia, 2017). An empirical examination of our method demonstrates its applicability to the above mentioned scenarios and corroborates our theoretical findings.

Joel A. Tropp, Alp Yurtsever, Madeleine Udell et al.

Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retain a sketch of the psd matrix. This paper develops a new algorithm for fixed-rank psd approximation from a sketch. The approach combines the Nystrom approximation with a novel mechanism for rank truncation. Theoretical analysis establishes that the proposed method can achieve any prescribed relative error in the Schatten 1-norm and that it exploits the spectral decay of the input matrix. Computer experiments show that the proposed method dominates alternative techniques for fixed-rank psd matrix approximation across a wide range of examples.

Alp Yurtsever, Madeleine Udell, Joel A. Tropp et al.

This paper concerns a fundamental class of convex matrix optimization problems. It presents the first algorithm that uses optimal storage and provably computes a low-rank approximation of a solution. In particular, when all solutions have low rank, the algorithm converges to a solution. This algorithm, SketchyCGM, modifies a standard convex optimization scheme, the conditional gradient method, to store only a small randomized sketch of the matrix variable. After the optimization terminates, the algorithm extracts a low-rank approximation of the solution from the sketch. In contrast to nonconvex heuristics, the guarantees for SketchyCGM do not rely on statistical models for the problem data. Numerical work demonstrates the benefits of SketchyCGM over heuristics.

Joel A. Tropp, Alp Yurtsever, Madeleine Udell et al.

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as positive-semidefiniteness, and they can produce approximations with a user-specified rank. The algorithms are simple, accurate, numerically stable, and provably correct. Moreover, each method is accompanied by an informative error bound that allows users to select parameters a priori to achieve a given approximation quality. These claims are supported by numerical experiments with real and synthetic data.