Related papers: Adaptive Shrinkage of singular values
We consider the problem of noisy matrix completion, in which the goal is to reconstruct a structured matrix whose entries are partially observed in noise. Standard approaches to this underdetermined inverse problem are based on assuming…
We investigate the role of noise in optimization algorithms for learning over-parameterized models. Specifically, we consider the recovery of a rank one matrix $Y^*\in R^{d\times d}$ from a noisy observation $Y$ using an…
Covariance matrix tapers have a long history in signal processing and related fields. Examples of applications include autoregressive models (promoting a banded structure) or beamforming (widening the spectral null width associated with an…
We proposed a weighted l1 minimization to recover a sparse signal vector and the corrupted noise vector from a linear measurement when the sensing matrix A is an m by n row i.i.d subgaussian matrix. We obtain both uniform and nonuniform…
Sparsity promoting norms are frequently used in high dimensional regression. A limitation of such Lasso-type estimators is that the optimal regularization parameter depends on the unknown noise level. Estimators such as the concomitant…
Stochastic optimization in learning and inference often relies on Markov chain Monte Carlo (MCMC) to approximate gradients when exact computation is intractable. However, finite-time MCMC estimators are biased, and reducing this bias…
This paper considers approximately sparse signal and low-rank matrix's recovery via truncated norm minimization $\min_{x}\|x_T\|_q$ and $\min_{X}\|X_T\|_{S_q}$ from noisy measurements. We first introduce truncated sparse approximation…
In this paper we derive the optimal linear shrinkage estimator for the high-dimensional mean vector using random matrix theory. The results are obtained under the assumption that both the dimension $p$ and the sample size $n$ tend to…
We consider truncated SVD (or spectral cut-off, projection) estimators for a prototypical statistical inverse problem in dimension $D$. Since calculating the singular value decomposition (SVD) only for the largest singular values is much…
It was recently shown [7, 9] that "properly built" linear and polyhedral estimates nearly attain minimax accuracy bounds in the problem of recovery of unknown signal from noisy observations of linear images of the signal when the signal set…
Low-rank modeling has a lot of important applications in machine learning, computer vision and social network analysis. While the matrix rank is often approximated by the convex nuclear norm, the use of nonconvex low-rank regularizers has…
The problem of estimating a mean matrix of a multivariate complex normal distribution with an unknown covariance matrix is considered under an invariant loss function. By using complex versions of the Stein identity, the Stein-Haff…
The shrinking rank method is a variation of slice sampling that is efficient at sampling from multivariate distributions with highly correlated parameters. It requires that the gradient of the log-density be computable. At each individual…
Recursive Bayesian filters have been widely deployed in structural system identification where output-only filters are of higher practicality. Unfortunately, the estimation obtained by instantaneous system inversion via filters can be…
Scalability of statistical estimators is of increasing importance in modern applications and dimension reduction is often used to extract relevant information from data. A variety of popular dimension reduction approaches can be framed as…
We address the problem of signal denoising via transform-domain shrinkage based on a novel $\textit{risk}$ criterion called the minimum probability of error (MPE), which measures the probability that the estimated parameter lies outside an…
The simplest and most widely applied method for guaranteeing differential privacy is to add instance-independent noise to a statistic of interest that is scaled to its global sensitivity. However, global sensitivity is a worst-case notion…
In this paper, we propose a novel method to select significant variables and estimate the corresponding coefficients in multiple-index models with a group structure. All existing approaches for single-index models cannot be extended…
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…
Matrix recovery from sparse observations is an extensively studied topic emerging in various applications, such as recommendation system and signal processing, which includes the matrix completion and compressed sensing models as special…