Related papers: Optimal Shrinkage of Singular Values
In large-scale, data-driven applications, parameters are often only known approximately due to noise and limited data samples. In this paper, we focus on high-dimensional optimization problems with linear constraints under uncertain…
We study the problem of estimating functions of a large symmetric matrix $A_n$ when we only have access to a noisy estimate $\hat{A}_n=A_n+\sigma Z_n/\sqrt{n}.$ We are interested in the case that $Z_n$ is a Wigner ensemble and suggest an…
We prove new results about the robustness of well-known convex noise-blind optimization formulations for the reconstruction of low-rank matrices from underdetermined linear measurements. Our results are applicable for symmetric rank-one…
We study a seemingly unexpected and relatively less understood overfitting aspect of a fundamental tool in sparse linear modeling - best subset selection, which minimizes the residual sum of squares subject to a constraint on the number of…
We consider the matrix completion problem under a form of row/column weighted entrywise sampling, including the case of uniform entrywise sampling as a special case. We analyze the associated random observation operator, and prove that with…
Across many disciplines from neuroscience and genomics to machine learning, atmospheric science and finance, the problems of denoising large data matrices to recover signals obscured by noise, and of estimating the structure of these…
This paper studies the long-existing idea of adding a nice smooth function to "smooth" a non-differentiable objective function in the context of sparse optimization, in particular, the minimization of $||x||_1+1/(2\alpha)||x||_2^2$, where…
In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal…
Modern datasets are trending towards ever higher dimension. In response, recent theoretical studies of covariance estimation often assume the proportional-growth asymptotic framework, where the sample size $n$ and dimension $p$ are…
We analyze a class of estimators based on convex relaxation for solving high-dimensional matrix decomposition problems. The observations are noisy realizations of a linear transformation $\mathfrak{X}$ of the sum of an approximately) low…
This paper describes a fast algorithm for recovering low-rank matrices from their linear measurements contaminated with Poisson noise: the Poisson noise Maximum Likelihood Singular Value thresholding (PMLSV) algorithm. We propose a convex…
Denoising by frame thresholding is one of the most basic and efficient methods for recovering a discrete signal or image from data that are corrupted by additive Gaussian white noise. The basic idea is to select a frame of analyzing…
In this article we provide some nonnegative and positive estimators of the mean squared errors(MSEs) for shrinkage estimators of multivariate normal means. Proposed estimators are shown to improve on the uniformly minimum variance unbiased…
We consider the problem of recovering a lowrank matrix M from a small number of random linear measurements. A popular and useful example of this problem is matrix completion, in which the measurements reveal the values of a subset of the…
In the present paper, we consider the problem of matrix completion with noise. Unlike previous works, we consider quite general sampling distribution and we do not need to know or to estimate the variance of the noise. Two new nuclear-norm…
Matrix completion algorithms recover a low rank matrix from a small fraction of the entries, each entry contaminated with additive errors. In practice, the singular vectors and singular values of the low rank matrix play a pivotal role for…
Low-rank matrix recovery problems involving high-dimensional and heterogeneous data appear in applications throughout statistics and machine learning. The contribution of this paper is to establish the fundamental limits of recovery for a…
Reduced-rank approach has been used for decades in robust linear estimation of both deterministic and random vector of parameters in linear model y=Hx+\sqrt{epsilon}n. In practical settings, estimation is frequently performed under…
In this paper we investigate the performance of periodogram based estimators of the spectral density matrix of possibly high-dimensional time series. We suggest and study shrinkage as a remedy against numerical instabilities due to…
We consider the problem of sparse signal recovery from noisy measurements. Many of frequently used recovery methods rely on some sort of tuning depending on either noise or signal parameters. If no estimates for either of them are…