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Binary optimization is a central problem in mathematical optimization and its applications are abundant. To solve this problem, we propose a new class of continuous optimization techniques which is based on Mathematical Programming with…
The problem of low-rank matrix estimation recently received a lot of attention due to challenging applications. A lot of work has been done on rank-penalized methods and convex relaxation, both on the theoretical and applied sides. However,…
Statistical inference for sparse covariance matrices is crucial to reveal dependence structure of large multivariate data sets, but lacks scalable and theoretically supported Bayesian methods. In this paper, we propose beta-mixture…
In this letter, we propose an algorithm for learning a sparse weighted graph by estimating its adjacency matrix under the assumption that the observed signals vary smoothly over the nodes of the graph. The proposed algorithm is based on the…
This work introduces a Bayesian methodology for fitting large discrete graphical models with spike-and-slab priors to encode sparsity. We consider a quasi-likelihood approach that enables node-wise parallel computation resulting in reduced…
Bagging, a powerful ensemble method from machine learning, improves the performance of unstable predictors. Although the power of Bagging has been shown mostly in classification problems, we demonstrate the success of employing Bagging in…
Many imaging problems require solving an inverse problem that is ill-conditioned or ill-posed. Imaging methods typically address this difficulty by regularising the estimation problem to make it well-posed. This often requires setting the…
Dimension reduction and variable selection are performed routinely in case-control studies, but the literature on the theoretical aspects of the resulting estimates is scarce. We bring our contribution to this literature by studying…
We propose a novel method for sampling and optimization tasks based on a stochastic interacting particle system. We explain how this method can be used for the following two goals: (i) generating approximate samples from a given target…
Laplacian-P-splines (LPS) associate the P-splines smoother and the Laplace approximation in a unifying framework for fast and flexible inference under the Bayesian paradigm. Gaussian Markov field priors imposed on penalized latent variables…
In this paper, we aim at unifying, simplifying and improving the convergence rate analysis of Lagrangian-based methods for convex optimization problems. We first introduce the notion of nice primal algorithmic map, which plays a central…
In Bayesian optimization, accounting for the importance of the output relative to the input is a crucial yet challenging exercise, as it can considerably improve the final result but often involves inaccurate and cumbersome entropy…
Support vector machine is an important and fundamental technique in machine learning. Soft-margin SVM models have stronger generalization performance compared with the hard-margin SVM. Most existing works use the hinge-loss function which…
In this paper, we consider Bayesian variable selection problem of linear regression model with global-local shrinkage priors on the regression coefficients. We propose a variable selection procedure that select a variable if the ratio of…
Variable selection is a classic problem in statistics. In this paper, we consider a Bayes variable selection problem based on spike-and-slab prior with mixed normal distribution proposed by Ro\v{c}kov\'a and George (2014). Motivated by…
Bayesian Optimization is a popular approach for optimizing expensive black-box functions. Its key idea is to use a surrogate model to approximate the objective and, importantly, quantify the associated uncertainty that allows a sequential…
Sparse deep neural networks have proven to be efficient for predictive model building in large-scale studies. Although several works have studied theoretical and numerical properties of sparse neural architectures, they have primarily…
In this paper, we suggest a new framework for analyzing primal subgradient methods for nonsmooth convex optimization problems. We show that the classical step-size rules, based on normalization of subgradient, or on the knowledge of optimal…
We consider the problem of minimizing a block separable convex function (possibly nondifferentiable, and including constraints) plus Laplacian regularization, a problem that arises in applications including model fitting, regularizing…
We study the foundations of variational inference, which frames posterior inference as an optimisation problem, for probabilistic programming. The dominant approach for optimisation in practice is stochastic gradient descent. In particular,…