A Random Walk in 10 Dimensions (2021)

133 pointsposted 6 days ago
by just_human
(galileo-unbound.blog)

19 Comments

antognini

6 days ago

The behavior of a random walk in a high dimensional space can be counter-intuitive. If you take the random walk trajectory and then perform principal components analysis on it, it turns out more than half of the variance is along a single direction. More than 80% is along the first two principal components.

To make matters even more surprising, if you project the random walk trajectory down into these PCA subspaces they are no longer random at all. Instead the trajectory traces a Lissajous curve. (For example see figure 1 of this paper: https://proceedings.neurips.cc/paper/2018/file/7a576629fef88...)

thirtygeo

6 days ago

I use PCA quite often for a variety of signal enhancement tasks in natural sciences. This paper presented something that I would not have expected and I found it really interesting.

vladimirralev

6 days ago

They say "these results are completely general for any probability distribution with zero mean and a finite covariance matrix with rank much larger than the number of steps". It's not clear to me if that condition implies the number of steps is much lower than the dimensions of the random walk space or perhaps the probability distribution needs to be concentrated into a smaller number of dimensions to begin with? In which case the results is much less shocking.

antognini

6 days ago

The condition is the former. The probability distribution spans the full dimensionality of the space. Basically, the result will hold for an infinite number of dimensions and a finite number of steps. But it will also hold if you take both the number of steps and the dimensionality to infinity while holding the ratio N_steps / D constant with N_steps / D << 1.

jadbox

6 days ago

Thank you for sharing. Learning about PCA subspaces and Lissajous curves wasn't originally on my agenda today.

smokel

6 days ago

> There is one chance in ten that the walker will take a positive or negative step along any given dimension at each time point.

This confused me a bit. To clarify: at each step, the random walker selects a dimension (with probability 1/10 for any given dimension), and then chooses a direction along that dimension (positive or negative, each with probability 1/2). There are 20 possible moves to choose from at any step.

mturmon

6 days ago

Thanks for this. It goes back to the node connectivity graphs he shows just above that statement.

He is thinking about a random choice among the 20 edges branching out from each vertex.

atoav

6 days ago

I thought multidimensional random walkers would make random choices on all dimensions, so:

  step = [random.choice([-1,0,1]) for _d in range(n_dimensions)]
At least this is how I did 2D random walks as this allows for diagonal steps (with the downside that the walker travels longer steps in that direction).

smokel

6 days ago

The common definition for random walks moves only by unit vectors. Unfortunately, the information on Wikipedia is somewhat limited. The book "Random Walk: A Modern Introduction" (2010) by Gregory Lawler describes things in the first chapter, and is available online for free [1].

[1] https://www.math.uchicago.edu/~lawler/srwbook.pdf

MarkusQ

6 days ago

> On the other hand, a so-called mountain peak would be a 5 surrounded by 4’s or lower. The odds for having this happen in 10D are 0.2*(1-0.8^10) = 0.18. Then the total density of mountain peaks, in a 10D hyperlattice with 5 potential values, is only 18%.

I believe the odds are actually

0.2 (odds of it being a 5) ×

0.8^10 (odds of each of the neighbors being ∈ {1,2,3,4})

which is ~0.021 or around 2%. This makes much more sense, since 18% of the nodes being peaks doesn't sound like they are rare.

jlokier

5 days ago

It's not 0.8^10 anyway, because there aren't 10 neighbours.

There are neighbours in both directions in each dimension, i.e. 20 neighbours in 10 dimensions if you're allowed to wrap around the edges of the lattice.

With wrapping, I think the probability is 0.2 × (0.8^20) ≈ 0.002306 ≈ 0.23%.

If you're not allowed to wrap at the edges, a unformly random point has 2/N probability of having one neighbour on each dimension independently, and (N-2)/N probability of having two. With D dimensions, that's on average D(2N-2)/N neighbours.

With D = 10, N = 5, I think it's 16 neighbours on average, with a distribution from 10 to 20.

That makes the probability of landing on a mountain peak lower than ~2% and higher than ~0.23%. (Not 0.2 × (0.8^16) though, due to the distribution.)

MarkusQ

4 days ago

You are correct about the first part (I actually came back here to add a comment to mine saying that I'd goofed and the exponent should be 20, not 10).

Also, I suspect that the width (your N) should be large enough in most of the cases where we'd be wondering about peaks vs. ridge lines that the large-N limit of (2N-2)/N could safely be taken (that is, 2). [The whole motivation for peaks vs. ridges is the question of whether there is a connected path that passes "near" all the points in the space, which is generally taken to mean within a ball of radius r, with 1 < r << N; since the grid is discrete, this implies N is >> 1.]

ted_dunning

6 days ago

Even if you assume that they are asking about when given a node is a 5 what is the probability it will not have any 5 as a neighbor the result is about 10% which is your result without the leading 0.2.

That's still not what they got.

ngriffiths

6 days ago

> Therefore, despite the insanely large number of adjustable parameters, general solutions, that are meaningful and predictive, can be found by adding random walks around the objective landscape as a partial strategy in combination with gradient descent.

Are there methods that specifically apply this idea?

I guess this is a good explanation for why deep learning isn't just automatically impossible, because if local minima were everywhere then it would be impossible. But on the other hand, usually the goal isn't to add more and more parameters, it's to add just enough so that common features can be identified but not enough to "memorize the dataset." And to design an architecture that is flexible enough but is still quite restricted, and can't represent any function. And of course in many cases (especially when there's less data) it makes sense to manually design transformations from the high dimensional space to a lower dimensional one that contains less noise and can be modeled more easily.

The article feels connected to the manifold hypothesis, where the function we're modeling has some projection into a low dimensional space, making it possible to model. I could imagine a similar thing where if a potential function has lots of ridges, you can "glue it together" so all the level sets line up, and that corresponds with some lower dimensional optimization problem that's easier to solve. Really interesting and I found it super clearly written.

tech_ken

6 days ago

> Are there methods that specifically apply this idea?

Stochastic gradient descent is basically this (not exactly the sane, but the core intuitions align IMO). Not exactly optimization but Hamiltonian MCMC also seems highly related.

> I could imagine a similar thing where if a potential function has lots of ridges, you can "glue it together" so all the level sets line up, and that corresponds with some lower dimensional optimization problem that's easier to solve.

Excellent intuition, this is exactly the idea of HMC (as far as I recall); the concrete math behind this is (IIRC) a "fiber bundle".

evanb

6 days ago

HMC was essentially designed to mix random walks (the momentum refresh step) with gradient descent (that is, the state likes to 'roll down the potential' ie. minimize the action (loss)).

lordnacho

6 days ago

Tangentially related:

https://www.youtube.com/watch?v=iH2kATv49rc

Turns out there is a very interesting theorem by Polya about random walks that separate 1 or 2 dimensional random walks from higher dimensional ones. I thought I'd link this video, because it's so well done.

just_human

6 days ago

Love this quote from Shizuo Kakutani to describe Polya's result: "A drunk man will find his way home, but a drunk bird may get lost forever."