Related papers: A Dantzig Selector Approach to Temporal Difference…

The L1 regularization (Lasso) has proven to be a versatile tool to select relevant features and estimate the model coefficients simultaneously and has been widely used in many research areas such as genomes studies, finance, and biomedical…

Learning-to-optimize (L2O) is an emerging research area in large-scale optimization with applications in data science. Recently, researchers have proposed a novel L2O framework called learned mirror descent (LMD), based on the classical…

We tackle the problem of Selective Classification where the objective is to achieve the best performance on a predetermined ratio (coverage) of the dataset. Recent state-of-the-art selective methods come with architectural changes either…

Randomized smoothing is a widely adopted technique for optimizing nonsmooth objective functions. However, its efficiency analysis typically relies on global Lipschitz continuity, a condition rarely met in practical applications. To address…

We propose a novel algorithm for greedy forward feature selection for regularized least-squares (RLS) regression and classification, also known as the least-squares support vector machine or ridge regression. The algorithm, which we call…

In this paper, we consider statistical inference with generalized linear models in high dimensions under a longitudinal clustered data framework. Specifically, we propose a de-sparsified version of an initial Dantzig-type regularized…

In this paper we propose a primal-dual proximal extragradient algorithm to solve the generalized Dantzig selector (GDS) estimation problem, based on a new convex-concave saddle-point (SP) reformulation. Our new formulation makes it possible…

The Least Absolute Shrinkage and Selection Operator (LASSO) has gained attention in a wide class of continuous parametric estimation problems with promising results. It has been a subject of research for more than a decade. Due to the…

We consider a class of linear-programming based estimators in reconstructing a sparse signal from linear measurements. Specific formulations of the reconstruction problem considered here include Dantzig selector, basis pursuit (for the case…

Regularization plays a major role in modern deep learning. From classic techniques such as L1,L2 penalties to other noise-based methods such as Dropout, regularization often yields better generalization properties by avoiding overfitting.…

This paper addresses the issue of policy evaluation in Markov Decision Processes, using linear function approximation. It provides a unified view of algorithms such as TD(lambda), LSTD(lambda), iLSTD, residual-gradient TD. It is asserted…

We study a family of sparse estimators defined as minimizers of some empirical Lipschitz loss function -- which include the hinge loss, the logistic loss and the quantile regression loss -- with a convex, sparse or group-sparse…

Linear mixed models (LMMs), which incorporate fixed and random effects, are key tools for analyzing heterogeneous data, such as in personalized medicine. Nowadays, this type of data is increasingly wide, sometimes containing thousands of…

In this paper, we introduce proximal gradient temporal difference learning, which provides a principled way of designing and analyzing true stochastic gradient temporal difference learning algorithms. We show how gradient TD (GTD)…

In this paper, we propose a coupled tensor norm regularization that could enable the model output feature and the data input to lie in a low-dimensional manifold, which helps us to reduce overfitting. We show this regularization term is…

Long-horizon tasks, which have a large discount factor, pose a challenge for most conventional reinforcement learning (RL) algorithms. Algorithms such as Value Iteration and Temporal Difference (TD) learning have a slow convergence rate and…

Recently, tensor data (or multidimensional array) have been generated in many modern applications, such as functional magnetic resonance imaging (fMRI) in neuroscience and videos in video analysis. Many efforts are made in recent years to…

In this paper, we propose a novel sparse learning based feature selection method that directly optimizes a large margin linear classification model sparsity with l_(2,p)-norm (0 < p < 1)subject to data-fitting constraints, rather than using…

We consider $d$-dimensional linear stochastic approximation algorithms (LSAs) with a constant step-size and the so called Polyak-Ruppert (PR) averaging of iterates. LSAs are widely applied in machine learning and reinforcement learning…

We propose a generalized version of the Dantzig selector. We show that it satisfies sparsity oracle inequalities in prediction and estimation. We consider then the particular case of high-dimensional linear regression model selection with…