Related papers: An Efficient Approach to Sparse Linear Discriminan…
This paper provides a statistical analysis of high-dimensional batch Reinforcement Learning (RL) using sparse linear function approximation. When there is a large number of candidate features, our result sheds light on the fact that…
We propose a new approach to safe variable preselection in high-dimensional penalized regression, such as the lasso. Preselection - to start with a manageable set of covariates - has often been implemented without clear appreciation of its…
Nonconvex penalty methods for sparse modeling in linear regression have been a topic of fervent interest in recent years. Herein, we study a family of nonconvex penalty functions that we call the trimmed Lasso and that offers exact control…
Linear Discriminant Analysis (LDA) is a well-known method for dimensionality reduction and classification. Previous studies have also extended the binary-class case into multi-classes. However, many applications, such as object detection…
Estimation in generalized linear models (GLM) is complicated by the presence of constraints. One can handle constraints by maximizing a penalized log-likelihood. Penalties such as the lasso are effective in high dimensions, but often lead…
In this paper, we investigate the problem of optimization multivariate performance measures, and propose a novel algorithm for it. Different from traditional machine learning methods which optimize simple loss functions to learn prediction…
Reduced-rank linear discriminant analysis (RRLDA) is a foundational method of dimension reduction for classification that has been useful in a wide range of applications. The goal is to identify an optimal subspace to project the…
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance…
We consider the problem of estimation of a covariance matrix for Gaussian data in a high dimensional setting. Existing approaches include maximum likelihood estimation under a pre-specified sparsity pattern, l_1-penalized loglikelihood…
The development of computing has made credit scoring approaches possible, with various machine learning (ML) and deep learning (DL) techniques becoming more and more valuable. While complex models yield more accurate predictions, their…
The lasso is the most famous sparse regression and feature selection method. One reason for its popularity is the speed at which the underlying optimization problem can be solved. Sorted L-One Penalized Estimation (SLOPE) is a…
We propose a sparse coefficient estimation and automated model selection procedure for autoregressive (AR) processes with heavy-tailed innovations based on penalized conditional maximum likelihood. Under mild moment conditions on the…
Linear Dynamical System (LDS) is an elegant mathematical framework for modeling and learning multivariate time series. However, in general, it is difficult to set the dimension of its hidden state space. A small number of hidden states may…
High resolution microarrays and second-generation sequencing platforms are powerful tools to investigate genome-wide alterations in DNA copy number, methylation and gene expression associated with a disease. An integrated genomic profiling…
This paper considers a high-dimensional linear regression problem where there are complex correlation structures among predictors. We propose a graph-constrained regularization procedure, named Sparse Laplacian Shrinkage with the Graphical…
Sparse Group LASSO (SGL) is a regularized model for high-dimensional linear regression problems with grouped covariates. SGL applies $l_1$ and $l_2$ penalties on the individual predictors and group predictors, respectively, to guarantee…
In high-dimensional settings, sparse structures are critical for efficiency in term of memory and computation complexity. For a linear system, to find the sparsest solution provided with an over-complete dictionary of features directly is…
This paper studies the asymptotic properties of the penalized least squares estimator using an adaptive group Lasso penalty for the reduced rank regression. The group Lasso penalty is defined in the way that the regression coefficients…
We consider a problem of model selection in high-dimensional binary Markov random fields. The usefulness of the Ising model in studying systems of complex interactions has been confirmed in many papers. The main drawback of this model is…
Motivated by distributed machine learning settings such as Federated Learning, we consider the problem of fitting a statistical model across a distributed collection of heterogeneous data sets whose similarity structure is encoded by a…