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In this paper, we consider the sparse least squares regression problem with probabilistic simplex constraint. Due to the probabilistic simplex constraint, one could not apply the L1 regularization to the considered regression model. To find…
Classical stochastic gradient methods are well suited for minimizing expected-value objective functions. However, they do not apply to the minimization of a nonlinear function involving expected values or a composition of two expected-value…
Conjugate gradient (CG) methods are a class of important methods for solving linear equations and nonlinear optimization problems. In this paper, we propose a new stochastic CG algorithm with variance reduction and we prove its linear…
We study nonconvex finite-sum problems and analyze stochastic variance reduced gradient (SVRG) methods for them. SVRG and related methods have recently surged into prominence for convex optimization given their edge over stochastic gradient…
In recent years, spectral clustering has become a standard method for data analysis used in a broad range of applications. In this paper we propose a new class of algorithms for multiway spectral clustering based on optimization of a…
An unsolved issue in widely used methods such as Support Vector Data Description (SVDD) and Small Sphere and Large Margin SVM (SSLM) for anomaly detection is their nonconvexity, which hampers the analysis of optimal solutions in a manner…
Non-linear least squares solvers are used across a broad range of offline and real-time model fitting problems. Most improvements of the basic Gauss-Newton algorithm tackle convergence guarantees or leverage the sparsity of the underlying…
Graph sampling with noise is a fundamental problem in graph signal processing (GSP). Previous works assume an unbiased least square (LS) signal reconstruction scheme and select samples greedily via expensive extreme eigenvector computation.…
We consider optimization problems in which the goal is find a $k$-dimensional subspace of $\mathbb{R}^n$, $k<<n$, which minimizes a convex and smooth loss. Such problems generalize the fundamental task of principal component analysis (PCA)…
Nonlinear Mixed effects models are hidden variables models that are widely used in many fields such as pharmacometrics. In such models, the distribution characteristics of hidden variables can be specified by including several parameters…
In this paper, we consider a nonconvex optimization problem with nonlinear equality constraints. We assume that both, the objective function and the functional constraints are locally smooth. For solving this problem, we propose a…
Hyperspectral analysis has gained popularity over recent years as a way to infer what materials are displayed on a picture whose pixels consist of a mixture of spectral signatures. Computing both signatures and mixture coefficients is known…
Spectral Clustering (SC) is a widely used data clustering method which first learns a low-dimensional embedding $U$ of data by computing the eigenvectors of the normalized Laplacian matrix, and then performs k-means on $U^\top$ to get the…
We obtain an improved finite-sample guarantee on the linear convergence of stochastic gradient descent for smooth and strongly convex objectives, improving from a quadratic dependence on the conditioning $(L/\mu)^2$ (where $L$ is a bound on…
The recent emergence of deep learning has led to a great deal of work on designing supervised deep semantic segmentation algorithms. As in many tasks sufficient pixel-level labels are very difficult to obtain, we propose a method which…
We develop and analyze the Generalized Multiplicative Gradient (GMG) method for solving a class of convex optimization problems over symmetric cones, where the objective function does not have Lipschitz gradient over the feasible region.…
In this paper, we introduce the tamed stochastic gradient descent method (TSGD) for optimization problems. Inspired by the tamed Euler scheme, which is a commonly used method within the context of stochastic differential equations, TSGD is…
We propose a nonconvexly regularized convex model for linear regression problems under non-Gaussian noise. The cost function of the proposed model is designed with a possibly non-quadratic data fidelity term and a nonconvex regularizer via…
In additive models with many nonparametric components, a number of regularized estimators have been proposed and proven to attain various error bounds under different combinations of sparsity and fixed smoothness conditions. Some of these…
State-space models (SSMs) are a common tool for modeling multi-variate discrete-time signals. The linear-Gaussian (LG) SSM is widely applied as it allows for a closed-form solution at inference, if the model parameters are known. However,…