Related papers: Optimal detection of sparse principal components i…

In this paper, we study high-dimensional sparse Quadratic Discriminant Analysis (QDA) and aim to establish the optimal convergence rates for the classification error. Minimax lower bounds are established to demonstrate the necessity of…

We consider the problem of sparsity testing in the high-dimensional linear regression model. The problem is to test whether the number of non-zero components (aka the sparsity) of the regression parameter $\theta^*$ is less than or equal to…

Given a sample covariance matrix, we solve a maximum likelihood problem penalized by the number of nonzero coefficients in the inverse covariance matrix. Our objective is to find a sparse representation of the sample data and to highlight…

We propose a Bayesian methodology for estimating spiked covariance matrices with jointly sparse structure in high dimensions. The spiked covariance matrix is reparametrized in terms of the latent factor model, where the loading matrix is…

This manuscript makes two contributions to the field of change-point detection. In a generalchange-point setting, we provide a generic algorithm for aggregating local homogeneity testsinto an estimator of change-points in a time series.…

In this paper, we develop new statistical theory for probabilistic principal component analysis models in high dimensions. The focus is the estimation of the noise variance, which is an important and unresolved issue when the number of…

We study a practical algorithm for sparse principal component analysis (PCA) of incomplete and noisy data. Our algorithm is based on the semidefinite program (SDP) relaxation of the non-convex $l_1$-regularized PCA problem. We provide…

We analyze a practical algorithm for sparse PCA on incomplete and noisy data under a general non-random sampling scheme. The algorithm is based on a semidefinite relaxation of the $\ell_1$-regularized PCA problem. We provide theoretical…

We formulate the sparse classification problem of $n$ samples with $p$ features as a binary convex optimization problem and propose a cutting-plane algorithm to solve it exactly. For sparse logistic regression and sparse SVM, our algorithm…

Sparse Principal Component Analysis (SPCA) is a fundamental technique for dimensionality reduction, and is NP-hard. In this paper, we introduce a randomized approximation algorithm for SPCA, which is based on the basic SDP relaxation. Our…

We consider the problem of reconstructing an infinite set of sparse, finite-dimensional vectors, that share a common sparsity pattern, from incomplete measurements. This is in contrast to the work [17], where the single vector signal can be…

We study minimax rates for denoising simultaneously sparse and low rank matrices in high dimensions. We show that an iterative thresholding algorithm achieves (near) optimal rates adaptively under mild conditions for a large class of loss…

Principal component analysis (PCA) is a widely used dimension reduction technique in machine learning and multivariate statistics. To improve the interpretability of PCA, various approaches to obtain sparse principal direction loadings have…

High-dimensional matrix regression has been studied in various aspects, such as statistical properties, computational efficiency and application to specific instances including multivariate regression, system identification and matrix…

Precision matrix is of significant importance in a wide range of applications in multivariate analysis. This paper considers adaptive minimax estimation of sparse precision matrices in the high dimensional setting. Optimal rates of…

This paper delivers improved theoretical guarantees for the convex programming approach in low-rank matrix estimation, in the presence of (1) random noise, (2) gross sparse outliers, and (3) missing data. This problem, often dubbed as…

Repeated measurements are common in many fields, where random variables are observed repeatedly across different subjects. Such data have an underlying hierarchical structure, and it is of interest to learn covariance/correlation at…

Recovering a low-rank matrix from highly corrupted measurements arises in compressed sensing of structured high-dimensional signals (e.g., videos and hyperspectral images among others). Robust principal component analysis (RPCA), solved via…

We consider the mixed regression problem with two components, under adversarial and stochastic noise. We give a convex optimization formulation that provably recovers the true solution, and provide upper bounds on the recovery errors for…

Sparse Principal Components Analysis aims to find principal components with few non-zero loadings. We derive such sparse solutions by adding a genuine sparsity requirement to the original Principal Components Analysis (PCA) objective…