Related papers: Half-Region Depth for Stochastic Processes

Bilevel programming has recently received a great deal of attention due to its abundant applications in many areas. The optimal value function approach provides a useful reformulation of the bilevel problem, but its utility is often limited…

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In this paper, we discuss the problem of minimizing the sum of two convex functions: a smooth function plus a non-smooth function. Further, the smooth part can be expressed by the average of a large number of smooth component functions, and…

Stochastic methods for minimizing a convex integral functional, as initiated by Robbins and Monro in the early 1950s, rely on the evaluation of a gradient (or subgradient if the function is not smooth) and moving in the corresponding…

We propose regularizing the empirical loss for semi-supervised learning by acting on both the input (data) space, and the weight (parameter) space. We show that the two are not equivalent, and in fact are complementary, one affecting the…

We present a new simple method for rounding a semidefinite programming relaxation of a constraint satisfaction problem. We apply it to the problem of approximate angular synchronization. Specifically, we are given directed distances on a…

We propose a framework for computing, optimizing and integrating with respect to a smooth marginal likelihood in statistical models that involve high-dimensional parameters/latent variables and continuous low-dimensional hyperparameters.…

In this paper we consider the unconstrained minimization problem of a smooth function in ${\mathbb{R}}^n$ in a setting where only function evaluations are possible. We design a novel randomized derivative-free algorithm --- the stochastic…

In this paper, we propose a low-rank coordinate descent approach to structured semidefinite programming with diagonal constraints. The approach, which we call the Mixing method, is extremely simple to implement, has no free parameters, and…

Statistical depth, a commonly used analytic tool in non-parametric statistics, has been extensively studied for multivariate and functional observations over the past few decades. Although various forms of depth were introduced, they are…

Functional data analysis has been a growing field of study in recent decades, and one fundamental task in functional data analysis is estimating the sample location. A notion called statistical depth has been extended from multivariate data…

Due to developments in instruments and computers, functional observations are increasingly popular. However, effective methodologies for flexibly estimating the underlying trends with valid uncertainty quantification for a sequence of…

We refine a recently-proposed class of local entropic loss functions by restricting the smoothening regularization to only a subset of weights. The new loss functions are referred to as partial local entropies. They can adapt to the…

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A general stochastic algorithm for solving mixed linear and nonlinear problems was introduced in [11]. We show in this paper how it can be used to solve the fault inverse problem, where a planar fault in elastic half-space and a slip on…

In this paper, we address stochastic optimization problems involving a composition of a non-smooth outer function and a smooth inner function, a formulation frequently encountered in machine learning and operations research. To deal with…

An algorithm is proposed for solving stochastic and finite sum minimization problems. Based on a trust region methodology, the algorithm employs normalized steps, at least as long as the norms of the stochastic gradient estimates are within…

In state space models, smoothing refers to the task of estimating a latent stochastic process given noisy measurements related to the process. We propose an unbiased estimator of smoothing expectations. The lack-of-bias property has…

We propose halfspace depth concepts for scatter, concentration and shape matrices. For scatter matrices, our concept is similar to those from Chen, Gao and Ren (2017) and Zhang (2002). Rather than focusing, as in these earlier works, on…

We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…