Integer Programming for Bayesian Network Structure Learning

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Transcription:

Integer Programming for Bayesian Network Structure Learning James Cussens Helsinki, 2013-04-09 James Cussens IP for BNs Helsinki, 2013-04-09 1 / 20

Linear programming The Belgian diet problem Fat Sugar Salt Cost Chocolate 4 6 1 5 Chips 6 1 8 4 Needs 12 8 4 y Minimise 5x + 4y, subject to: x, y 0 4x + 6y 12 5x + y 8 x + 8y 4 x, y R x James Cussens IP for BNs Helsinki, 2013-04-09 2 / 20

Linear programming Solving an LP using SCIP presolved problem has 2 variables (0 bin, 0 int, 0 impl, 2 cont) and 3 constraints LP iter cols rows dualbound primalbound gap 0 0 0 -- 5.2000e+01 Inf 2 2 3 1.0625e+01 5.2000e+01 389.41% 2 2 3 1.0625e+01 1.0625e+01 0.00% chocolate 1.125 chips 1.25 James Cussens IP for BNs Helsinki, 2013-04-09 3 / 20

Integer linear programming Discrete dieting Fat Sugar Salt Cost Chocolate 4 6 1 5 Chips 6 1 8 3 Needs 12 8 4 y Minimise 5x + 4y, subject to: x, y 0 4x + 6y 12 5x + y 8 x + 8y 4 x, y Z x James Cussens IP for BNs Helsinki, 2013-04-09 4 / 20

Integer linear programming Discrete dieting Finding a solution Fat Sugar Salt Cost Chocolate 4 6 1 5 Chips 6 1 8 3 Needs 12 8 4 y Minimise 5x + 4y, subject to: x, y 0 4x + 6y 12 5x + y 8 x + 8y 4 x, y Z x James Cussens IP for BNs Helsinki, 2013-04-09 4 / 20

Integer linear programming Discrete dieting Finding the solution Fat Sugar Salt Cost Chocolate 4 6 1 5 Chips 6 1 8 3 Needs 12 8 4 y Minimise 5x + 4y, subject to: x, y 0 4x + 6y 12 5x + y 8 x + 8y 4 x, y Z x James Cussens IP for BNs Helsinki, 2013-04-09 4 / 20

Integer linear programming Solving an IP using SCIP presolved problem has 2 variables (0 bin, 2 int, 0 impl, 0 cont) and 3 constraints LP iters cols rows cuts dualbound p bnd gap 0 0 0 0 -- 5.2e+01 Inf 0 2 3 0 -- 2.0e+01 Inf 2 2 3 0 1.0625e+01 2.0e+01 88.24% 2 2 3 0 1.0625e+01 1.8e+01 69.41% 2 2 3 0 1.0625e+01 1.3e+01 22.35% 3 2 4 1 1.3000e+01 1.3e+01 0.00% 3 2 4 1 1.3000e+01 1.3e+01 0.00% James Cussens IP for BNs Helsinki, 2013-04-09 5 / 20

Integer linear programming Cutting planes James Cussens IP for BNs Helsinki, 2013-04-09 6 / 20

Integer linear programming Cutting planes James Cussens IP for BNs Helsinki, 2013-04-09 6 / 20

Integer linear programming Branch-and-bound James Cussens IP for BNs Helsinki, 2013-04-09 7 / 20

Integer linear programming Branch-and-bound James Cussens IP for BNs Helsinki, 2013-04-09 7 / 20

Integer linear programming (Mixed) Integer (linear) programming All variables x i have numeric values. Binary (0/1), Integer and Real ILP: Linear objective function c i x i Pure ILP: All constraints are linear. James Cussens IP for BNs Helsinki, 2013-04-09 8 / 20

BN learning with IP Encoding graphs with binary family variables Suppose there are p fully-observed discrete variables V in some dataset. We want to find a MAP BN (with p vertices) conditional on this data. Can encode any graph by creating a binary variable I (u W ) for each BN variable u V and each candidate parent set W. James Cussens IP for BNs Helsinki, 2013-04-09 9 / 20

BN learning with IP Encoding graphs with binary family variables Suppose there are p fully-observed discrete variables V in some dataset. We want to find a MAP BN (with p vertices) conditional on this data. Can encode any graph by creating a binary variable I (u W ) for each BN variable u V and each candidate parent set W. Assume known parameters (pedigrees) or Dirichlet parameter priors (general BN) and a uniform (or at least decomposable ) structural prior. Each I (u W ) has a local score c(u, W ). Instantiate the I (u W ) to maximise: u,w c(u, W )I (u W ) subject to the I (u W ) representing a DAG. James Cussens IP for BNs Helsinki, 2013-04-09 9 / 20

BN learning with IP Ruling out non-dags with linear constraints u V : W I (u W ) = 1 Where C V : u C W :W C= I (u W ) 1 (1) Let x be the solution to the LP relaxation. We search for a cluster C such that x violates (1) and then add (1) to get a new LP. Repeat as long as a cutting plane can be found. These constraints introduced by Jaakkola et al, AISTATS2010 [Jaakkola et al., 2010]. James Cussens IP for BNs Helsinki, 2013-04-09 10 / 20

BN learning with IP Time for a demo Do: Pigs 100 1 2 alarm James Cussens IP for BNs Helsinki, 2013-04-09 11 / 20

Improving efficiency Primal heuristic Primal heuristics in IP A good (typically suboptimal) solution helps prune the search tree. Can also help in the root search node due to reduced cost strengthening. If we fail to solve to optimality even more important to have a reasonable solution. James Cussens IP for BNs Helsinki, 2013-04-09 12 / 20

Improving efficiency Primal heuristic Sink finding As we learn from [Silander and Myllymäki, 2006]... Every DAG has at least one sink node (node with no children). For this node we can choose the best parents without fear of creating a cycle. Once a sink v p selected from V then just worry about learning the best BN with nodes V \ {v p }. Basically the same as finding the best total order (in reverse). James Cussens IP for BNs Helsinki, 2013-04-09 13 / 20

Improving efficiency Primal heuristic Using the LP solution to find sinks I (1 W 1,1 ) I (1 W 1,2 )... I (1 W 1,k1 ) I (2 W 2,1 ) I (2 W 2,2 )... I (2 W 2,k2 ) I (3 W 3,1 ) I (3 W 3,2 )... I (3 W 3,k3 )............ I (p W p,1 ) I (p W p,2 )... I (p W p,kp ) For each variable, order its parent set choices from best to worst. James Cussens IP for BNs Helsinki, 2013-04-09 14 / 20

Improving efficiency Primal heuristic Using the LP solution to find sinks I (1 W 1,1 ) I (1 W 1,2 )... I (1 W 1,k1 ) I (2 W 2,1 ) I (2 W 2,2 )... I (2 W 2,k2 ) I (3 W 3,1 ) I (3 W 3,2 )... I (3 W 3,k3 )............ I (p W p,1 ) I (p W p,2 )... I (p W p,kp ) (With only the acyclicity constraint) for an optimal BN at least one BN variable has its best parent set selected. James Cussens IP for BNs Helsinki, 2013-04-09 14 / 20

Improving efficiency Primal heuristic Using the LP solution to find sinks I (1 W 1,1 ) I (1 W 1,2 )... I (1 W 1,k1 ) I(2 W 2,1 ) I (2 W 2,2 )... I (2 W 2,k2 ) I (3 W 3,1 ) I (3 W 3,2 )... I (3 W 3,k3 )............ I (p W p,1 ) I (p W p,2 )... I (p W p,kp ) (With only the acyclicity constraint) for an optimal BN at least one BN variable has its best parent set selected. Let x be the LP solution and suppose xi (2 W 2,1 ) is closer to 1 than the best parent set choice for any other variable. James Cussens IP for BNs Helsinki, 2013-04-09 14 / 20

Improving efficiency Primal heuristic Using the LP solution to find sinks I (1 W 1,1 ) I (1 W 1,2 )... I (1 W 1,k1 ) I(2 W 2,1 ) I (2 W 2,2 )... I (2 W 2,k2 ) I (3 W 3,1 ) I (3 W 3,2 )... I (3 W 3,k3 )............ I (p W p,1 ) I (p W p,2 )... I (p W p,kp ) (With only the acyclicity constraint) for an optimal BN at least one BN variable has its best parent set selected. Let x be the LP solution and suppose xi (2 W 2,1 ) is closer to 1 than the best parent set choice for any other variable. Select it. James Cussens IP for BNs Helsinki, 2013-04-09 14 / 20

Improving efficiency Primal heuristic Using the LP solution to find sinks I (1 W 1,1 ) I (1 W 1,2 )... I (1 W 1,k1 ) I(2 W 2,1 ) I (2 W 2,2 )... I (2 W 2,k2 ) I (3 W 3,1 ) I (3 W 3,2 )... I (3 W 3,k3 )............ I (p W p,1 ) I (p W p,2 )... I (p W p,kp ) (With only the acyclicity constraint) for an optimal BN at least one BN variable has its best parent set selected. Let x be the LP solution and suppose xi (2 W 2,1 ) is closer to 1 than the best parent set choice for any other variable. Select it. Suppose 2 is a member of W 1,1, W 3,2, W p,1 and W p,2 James Cussens IP for BNs Helsinki, 2013-04-09 14 / 20

Improving efficiency Primal heuristic Sink finding primal heuristic The BN returned is always best for some total ordering. Basically a greedy search for such a BN near the LP solution (L 1 ). Complications if some IP variables already fixed (due to branching). James Cussens IP for BNs Helsinki, 2013-04-09 15 / 20

Improving efficiency Tightening the LP relaxation Implied constraints The cluster constraints of [Jaakkola et al., 2010] ensure that any integer solution is a DAG :-) But they do not define the convex hull of DAGs. :-( Adding in at least some of the facets of the convex hull (at least those which pass through an optimal DAG) can provide dramatic improvements. SCIP adds some extra cuts automatically (e.g. Gomory). James Cussens IP for BNs Helsinki, 2013-04-09 16 / 20

Improving efficiency Tightening the LP relaxation Towards the convex hull Adding in valid inequalities like this is a big win: +1<t_I(2<-{1,3,9,})> +1<t_I(2<-{3,9,})> +1<t_I(3<-{2,9,33,})> +1<t_I(3<-{2,9,29,})> +1<t_I(3<-{2,9,31,})> +1<t_I(3<-{2,9,15,})> +1<t_I(3<-{2,8,9,})> +1<t_I(3<-{2,9,12,})> +1<t_I(3<-{2,9,})> +1<t_I(9<-{2,3,13,})> +1<t_I(9<-{2,3,})> <= 1 On the Pigs 1000 1 2 problem: With 3 hours Without > 30 hours After re-implementing our propagator now down to 38 minutes. (Coming soon in the next GOBNILP release.) James Cussens IP for BNs Helsinki, 2013-04-09 17 / 20

Improving efficiency Propagation Propagation If, say, I (1 2, 3) and I (4 1) set to 1 then immediately fix e.g. I (2 4) to 0. Compute transitive closure efficiently! James Cussens IP for BNs Helsinki, 2013-04-09 18 / 20

Conditional independence constraints Conditional independence constraints Solutions only checked for conditional independence constraints after they get through integrality and acyclicity constraints. If a DAG does not meet a conditional independence constraint a cutting plane ruling out just that DAG is added. There is also some simple presolving and some obvious simple valid inequalities added at the start. Also in next release. (Do demo with citest.constraints) James Cussens IP for BNs Helsinki, 2013-04-09 19 / 20

Scaling up Column generation Just as one can create constraints on the fly (cutting planes) one can also create variables dynamically (column generation). Think of the not-currently-created variables as being initially fixed to zero. After solving the LP we look for a variable with negative reduced cost. If we can t find one we have all the variables we need for an optimal solution. For reduced cost we need the objective coefficient of the new variable and dual values for all the constraints in which it will appear. James Cussens IP for BNs Helsinki, 2013-04-09 20 / 20

References Jaakkola, T., Sontag, D., Globerson, A., and Meila, M. (2010). Learning Bayesian network structure using LP relaxations. In Proceedings of 13th International Conference on Artificial Intelligence and Statistics (AISTATS 2010), volume 9, pages 358 365. Journal of Machine Learning Research Workshop and Conference Proceedings. Silander, T. and Myllymäki, P. (2006). A simple approach for finding the globally optimal Bayesian network structure. In UAI. James Cussens IP for BNs Helsinki, 2013-04-09 20 / 20

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