Related papers: Estimating the Average of a Lipschitz-Continuous F…
Given an unknown $\mathbb{R}^n$-valued function $f$ on a metric space $X$, can we approximate the persistent homology of $f$ from a finite sampling of $X$ with known pairwise distances and function values? This question has been answered in…
In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representation of that function. An error estimate of $O(n^{-1/5})$ for…
This paper addresses the problem of stochastic optimization with decision-dependent uncertainty, a class of problems where the probability distribution of the uncertain parameters is influenced by the decision-maker's actions. While recent…
The estimation of information measures of continuous distributions based on samples is a fundamental problem in statistics and machine learning. In this paper, we analyze estimates of differential entropy in $K$-dimensional Euclidean space,…
One classical measure of the quality of an interpolating function is its Lipschitz constant. In this paper we consider interpolants with additional smoothness requirements, in particular that their derivatives be Lipschitz. We show that…
We shed new light on the \textit{smoothness} of optimization problems arising in prediction error parameter estimation of linear and nonlinear systems. We show that for regions of the parameter space where the model is not contractive, the…
This manuscript bridges nonparametric smoothness-based and shape-restricted estimation, which may appear as two disjoint paradigms in the field. The proposed approach is motivated by a conceptually simple observation: every Lipschitz…
The aim of this paper is to prove the exponential convergence, local and global, of Adam algorithm under precise conditions on the parameters, when the objective function lacks differentiability. More precisely, we require Lipschitz…
We propose a distributed algorithm based on Alternating Direction Method of Multipliers (ADMM) to minimize the sum of locally known convex functions using communication over a network. This optimization problem emerges in many applications…
This study presents an effective global optimization technique designed for multivariate functions that are H\"older continuous. Unlike traditional methods that construct lower bounding proxy functions, this algorithm employs a…
An algorithm is proposed, analyzed, and tested for minimizing locally Lipschitz objective functions that may be nonconvex and/or nonsmooth. The algorithm, which is built upon the gradient-sampling methodology, is designed specifically for…
We study the problem of global maximization of a function f given a finite number of evaluations perturbed by noise. We consider a very weak assumption on the function, namely that it is locally smooth (in some precise sense) with respect…
Complex scientific models where the likelihood cannot be evaluated present a challenge for statistical inference. Over the past two decades, a wide range of algorithms have been proposed for learning parameters in computationally feasible…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
Single-parameter summaries of variable effects in regression settings are desirable for ease of interpretation. However (partially) linear models for example, which would deliver these, may fit poorly to the data. On the other hand, an…
We consider the sampling problem for functional PCA (fPCA), where the simplest example is the case of taking time samples of the underlying functional components. More generally, we model the sampling operation as a continuous linear map…
We study the problem of constructing a linear sketch of minimum dimension that allows approximation of a given real-valued function $f \colon \mathbb{F}_2^n \rightarrow \mathbb R$ with small expected squared error. We develop a general…
Motivated by applications for simulating quantum many body functions, we propose a new universal ansatz for approximating anti-symmetric functions. The main advantage of this ansatz over previous alternatives is that it is bi-Lipschitz with…
We introduce average-distortion sketching for metric spaces. As in (worst-case) sketching, these algorithms compress points in a metric space while approximately recovering pairwise distances. The novelty is studying average-distortion: for…
We study the problem of estimating the joint probability mass function (pmf) over two random variables. In particular, the estimation is based on the observation of $m$ samples containing both variables and $n$ samples missing one fixed…