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Modern large-scale ML applications require stochastic optimization algorithms to be implemented on distributed computational architectures. A key bottleneck is the communication overhead for exchanging information such as stochastic gradients among different workers. In this paper, to reduce the communication cost, we propose a convex optimization formulation to minimize the coding length of stochastic gradients.
The authors suggest a general oracle-based framework that captures different parallel stochastic optimization settings described by a dependency graph, and derive generic lower bounds in terms of this graph, as well as lower bounds for several specific parallel optimization settings. They highlight gaps between lower and upper bounds on the oracle complexity, and cases where the “natural” algorithms are not known to be optimal.
Sparse Principal Component Analysis (SPCA) and Sparse Linear Regression (SLR) have a wide range of applications and have attracted attention as canonical examples of statistical problems in high dimension. A variety of algorithms have been proposed for both SPCA and SLR, but an explicit connection between the two had not been made. This paper shows how to efficiently transform a black-box solver for SLR into an algorithm for SPCA.
Bolted is a new architecture for a bare metal cloud with the goal of providing security-sensitive customers of a cloud the same level of security and control that they can obtain in their own private data centers.
This Street View proposes a method for teasing election-related risk out of options prices and tests it against FiveThirtyEight’s 2018 election forecasts based on polls and fundamental data.
An overview of Flint, an open source library Two Sigma developed to enhance Spark’s functionality for time series analysis.
The MiSoSouP algorithm provides a novel way to identify interesting subgroups in a dataset accurately and efficiently.
An overview of the Two Sigma Factor Lens, designed for analyzing multi-asset portfolios and derived from returns of broad, liquid asset class proxy indexes.
A Two Sigma engineer explains how how Ibis works with BigQuery to provide an elegant and flexible Python interface for composing SQL queries.
Two Sigma researchers highlight several papers from ICML 2018 that they found particularly novel, practical, or otherwise compelling.