Related papers: The trace norm constrained matrix-variate Gaussian…

Gaussian Processes are widely used for regression tasks. A known limitation in the application of Gaussian Processes to regression tasks is that the computation of the solution requires performing a matrix inversion. The solution also…

In this paper, we introduce a novel theoretical framework for multi-task regression, applying random matrix theory to provide precise performance estimations, under high-dimensional, non-Gaussian data distributions. We formulate a…

We propose a set of convex low rank inducing norms for a coupled matrices and tensors (hereafter coupled tensors), which shares information between matrices and tensors through common modes. More specifically, we propose a mixture of the…

We consider the problem of estimating high-dimensional covariance matrices of a particular structure, which is a summation of low rank and sparse matrices. This covariance structure has a wide range of applications including factor analysis…

Gaussian variational approximation is a popular methodology to approximate posterior distributions in Bayesian inference especially in high dimensional and large data settings. To control the computational cost while being able to capture…

In minimum trace (MinT) forecast reconciliation, the covariance matrix of the base forecasts errors plays a crucial role. Typically, this matrix is estimated and then treated as known. This can lead to underestimation of the variance of the…

We study the generalized trace regression with a near low-rank regression coefficient matrix, which extends notion of sparsity for regression coefficient vectors. Specifically, given a matrix covariate $X$, the probability density function…

We study Bayesian inference methods for solving linear inverse problems, focusing on hierarchical formulations where the prior or the likelihood function depend on unspecified hyperparameters. In practice, these hyperparameters are often…

We study the problem of recovery of matrices that are simultaneously low rank and row and/or column sparse. Such matrices appear in recent applications in cognitive neuroscience, imaging, computer vision, macroeconomics, and genetics. We…

Covariance estimation and selection for multivariate datasets in a high-dimensional regime is a fundamental problem in modern statistics. Gaussian graphical models are a popular class of models used for this purpose. Current Bayesian…

We introduce a method that uses low-rank approximations of cross-correlation matrices in mixed continuous and categorical Gaussian Process models. This new method -- called Low-Rank Correlation (LRC) -- offers the ability to flexibly adapt…

This paper gives two theoretical results on estimating low-rank parameter matrices for linear models with multivariate responses. We first focus on robust parameter estimation of low-rank multi-task learning with heavy-tailed data and…

The aim of reduced rank regression is to connect multiple response variables to multiple predictors. This model is very popular, especially in biostatistics where multiple measurements on individuals can be re-used to predict multiple…

We introduce a novel Bayesian approach for variable selection using Gaussian process regression, which is crucial for enhancing interpretability and model regularization. Our method employs nearest neighbor Gaussian processes, serving as…

Recently, there is a revival of interest in low-rank matrix completion-based unsupervised learning through the lens of dual-graph regularization, which has significantly improved the performance of multidisciplinary machine learning tasks…

This paper presents a sequential randomized lowrank matrix factorization approach for incrementally predicting values of an unknown function at test points using the Gaussian Processes framework. It is well-known that in the Gaussian…

Learning of matrix-valued data has recently surged in a range of scientific and business applications. Trace regression is a widely used method to model effects of matrix predictors and has shown great success in matrix learning. However,…

This paper is devoted to the bipartite ranking problem, a classical statistical learning task, in a high dimensional setting. We propose a scoring and ranking strategy based on the PAC-Bayesian approach. We consider nonlinear additive…

In this paper, we propose three approaches for the estimation of the Tucker decomposition of multi-way arrays (tensors) from partial observations. All approaches are formulated as convex minimization problems. Therefore, the minimum is…

We address the problem of continual learning in multi-task Gaussian process (GP) models for handling sequential input-output observations. Our approach extends the existing prior-posterior recursion of online Bayesian inference, i.e.\ past…