A Simple Optimization Algorithm for Stochastic (Epi) Objective Functions
Dan Klein, IDM Symposium, 4/18/2017
A First-Order Optimization Method for DTK
Overview
Direction from Numerical Derivative
• State in a D-dimensional box
• User provides initial guess, x0
Choose ascent
direction, dx
f
Update state:
x  x + k dx
x2
Line search,
pick k
x0
ε-ball
x1
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Copyright © 2016 Intellectual Ventures Management, LLC (IVM). All rights reserved.
Applications and Implementation
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HIV-Zimbabwe: VMMC, PrEP (Dan)
HIV-Kenya: VMMC, PrEP (Adam)
HIV-Nyanza: VMMC, PrEP (Anna)
HIV-South Africa: Vaccine (Christian)
HIV-Uganda: SEARCH trial (Britta)
Typhoid-Santiago: Vaccine (Jillian)
LSHTM and Avenir soon!
Implementation
• Algorithm now in dtk-tools
• Runs locally or via COMPS
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Copyright © 2016 Intellectual Ventures Management, LLC (IVM). All rights reserved.
Likelihood
Applications (9x, max likelihood)
Iteration
Computational Modeling Platform Service (COMPS)
Databases
Web
Workers
HPC Clusters
User Interface
( Dashboard, Search, Output
Interface
DataUser
Visualization,
Geospatial
Visualization, Input Data
Visualization )
RESTful API
Clients
Authentication
Search Service
Asset Service
Job, Asset, Suites,
Simulation
Data
Experiments,
StorageWork
Simulations,
Items
SQL Server
( Fail Over )
Demographics
Merge Nodes
Simulation
Building
Nan Check
HPC Job Scheduling
HPC
Job Scheduling
Worker
Iterative
Algorithms
Climate Data Storage
Climate Data Storage
Work Items
Clean up Worker
Clean up Service
Worker Hosting
Postgres SQL
High Performance Storage Area Network
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Copyright © 2016 Intellectual Ventures Management, LLC (IVM). All rights reserved.
On Premise
Builder Worker
RESTful
Input File API
Creation
Usage Metrics
Input File Creation
Workers
Input File Creation
CAGE
Stochastic Gradient Optimization Demo?
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Copyright © 2016 Intellectual Ventures Management, LLC (IVM). All rights reserved.
Available Software Tools for Model Optimization
• Stochastic gradient ascent
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Code is ready to go and available in dtk-tools
Visit the software panel session this afternoon
Visit the software session tomorrow
Come talk to Dan Klein, or email [email protected]
• More advanced algorithm (Dr. Atiye Alaeddini, IDM)
– Parallel Simultaneous Perturbation Optimization (PSPO)
– Uncertainty quantification around optimal point
• Implementing global optimization later this year with TingYu Ho,
student of Prof. Zabinsky
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