Correlation decay and decentralized optimization in graphical models
Massachusetts Institute of Technology. Operations Research Center.
David Gamarnik and John Tsitsiklis.
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Many models of optimization, statistics, social organizations and machine learning capture local dependencies by means of a network that describes the interconnections and interactions of different components. However, in most cases, optimization or inference on these models is hard due to the dimensionality of the networks. This is so even when using algorithms that take advantage of the underlying graphical structure. Approximate methods are therefore needed. The aim of this thesis is to study such large-scale systems, focusing on the question of how randomness affects the complexity of optimizing in a graph; of particular interest is the study of a phenomenon known as correlation decay, namely, the phenomenon where the influence of a node on another node of the network decreases quickly as the distance between them grows. In the first part of this thesis, we develop a new message-passing algorithm for optimization in graphical models. We formally prove a connection between the correlation decay property and (i) the near-optimality of this algorithm, as well as (ii) the decentralized nature of optimal solutions. In the context of discrete optimization with random costs, we develop a technique for establishing that a system exhibits correlation decay. We illustrate the applicability of the method by giving concrete results for the cases of uniform and Gaussian distributed cost coefficients in networks with bounded connectivity. In the second part, we pursue similar questions in a combinatorial optimization setting: we consider the problem of finding a maximum weight independent set in a bounded degree graph, when the node weights are i.i.d. random variables.(cont.) Surprisingly, we discover that the problem becomes tractable for certain distributions. Specifically, we construct a PTAS for the case of exponentially distributed weights and arbitrary graphs with degree at most 3, and obtain generalizations for higher degrees and different distributions. At the same time we prove that no PTAS exists for the case of exponentially distributed weights for graphs with sufficiently large but bounded degree, unless P=NP. Next, we shift our focus to graphical games, which are a game-theoretic analog of graphical models. We establish a connection between the problem of finding an approximate Nash equilibrium in a graphical game and the problem of optimization in graphical models. We use this connection to re-derive NashProp, a message-passing algorithm which computes Nash equilibria for graphical games on trees; we also suggest several new search algorithms for graphical games in general networks. Finally, we propose a definition of correlation decay in graphical games, and establish that the property holds in a restricted family of graphical games. The last part of the thesis is devoted to a particular application of graphical models and message-passing algorithms to the problem of early prediction of Alzheimer's disease. To this end, we develop a new measure of synchronicity between different parts of the brain, and apply it to electroencephalogram data. We show that the resulting prediction method outperforms a vast number of other EEG-based measures in the task of predicting the onset of Alzheimer's disease.
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2010.Cataloged from PDF version of thesis.Includes bibliographical references (p. 213-229) and index.
DepartmentMassachusetts Institute of Technology. Operations Research Center; Sloan School of Management
Massachusetts Institute of Technology
Operations Research Center.