Related papers: A Dynamically Adaptive Sparse Grid Method for Quas…

In this manuscript, a new high-dimensional approach for simultaneous variable and group selection is proposed, called sparse-group SLOPE (SGS). SGS achieves false discovery rate control at both variable and group levels by incorporating the…

We develop a numerical strategy to solve multi-dimensional Poisson equations on dynamically adapted grids for evolutionary problems disclosing propagating fronts. The method is an extension of the multiresolution finite volume scheme used…

We introduce Soft Kernel Interpolation (SoftKI), a method that combines aspects of Structured Kernel Interpolation (SKI) and variational inducing point methods, to achieve scalable Gaussian Process (GP) regression on high-dimensional…

We consider the problem of inferring the conditional independence graph (CIG) of a sparse, high-dimensional, stationary matrix-variate Gaussian time series. All past work on high-dimensional matrix graphical models assumes that independent…

We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic…

Using a deterministic framework allows us to estimate a function with the purpose of interpolating data in spatial statistics. Radial basis functions are commonly used for scattered data interpolation in a d-dimensional space, however,…

In this paper we present an algorithm for adaptive sparse grid approximations of quantities of interest computed from discretized partial differential equations. We use adjoint-based a posteriori error estimates of the physical…

Sparsity-inducing regularization problems are ubiquitous in machine learning applications, ranging from feature selection to model compression. In this paper, we present a novel stochastic method -- Orthant Based Proximal Stochastic…

The dynamic mode decomposition (DMD) is a data-driven approach that extracts the dominant features from spatiotemporal data. In this work, we introduce sparse-mode DMD, a new variant of the optimized DMD framework that specifically…

In this paper, we propose a novel adaptive-rank method for simulating multi-scale BGK equations, based on a greedy sampling strategy. The method adaptively selects important rows and columns of the solution matrix and updates them using a…

Detection of a signal under noise is a classical signal processing problem. When monitoring spatial phenomena under a fixed budget, i.e., either physical, economical or computational constraints, the selection of a subset of available…

The most effective dimensionality reduction procedures produce interpretable features from the raw input space while also providing good performance for downstream supervised learning tasks. For many methods, this requires optimizing one or…

We propose a fast greedy algorithm to compute sparse representations of signals from continuous dictionaries that are factorizable, i.e., with atoms that can be separated as a product of sub-atoms. Existing algorithms strongly reduce the…

Stochastic gradient descent (SGD) is commonly used for optimization in large-scale machine learning problems. Langford et al. (2009) introduce a sparse online learning method to induce sparsity via truncated gradient. With high-dimensional…

We consider the sparse polynomial approximation of a multivariate function on a tensor product domain from samples of both the function and its gradient. When only function samples are prescribed, weighted $\ell^1$ minimization has recently…

We propose and study Sparse Polyak, a variant of Polyak's adaptive step size, designed to solve high-dimensional statistical estimation problems where the problem dimension is allowed to grow much faster than the sample size. In such…

The need for fast sparse optimization is emerging, e.g., to deal with large-dimensional data-driven problems and to track time-varying systems. In the framework of linear sparse optimization, the iterative shrinkage-thresholding algorithm…

This work presents a new procedure for obtaining predictive distributions in the context of Gaussian process (GP) modeling, with a relaxation of the interpolation constraints outside ranges of interest: the mean of the predictive…

Dynamic Programming (DP) suffers from the well-known ``curse of dimensionality'', further exacerbated by the need to compute expectations over process noise in stochastic models. This paper presents a Monte Carlo-based sampling approach for…

Motivation: The high dimensionality of genomic data calls for the development of specific classification methodologies, especially to prevent over-optimistic predictions. This challenge can be tackled by compression and variable selection,…