Related papers: Joint Estimation of Precision Matrices in Heteroge…
We consider the problem of joint estimation of structured covariance matrices. Assuming the structure is unknown, estimation is achieved using heterogeneous training sets. Namely, given groups of measurements coming from centered…
This paper introduces a regularized projection matrix approximation framework designed to recover cluster information from the affinity matrix. The model is formulated as a projection approximation problem, incorporating an entry-wise…
In this paper, we consider the Group Lasso estimator of the covariance matrix of a stochastic process corrupted by an additive noise. We propose to estimate the covariance matrix in a high-dimensional setting under the assumption that the…
This work proposes a novel adaptive linearized alternating direction multiplier method (LADMM) to convex optimization, which improves the convergence rate of the LADMM-based algorithm by adjusting step-size iteratively.The innovation of…
We consider the problem of joint estimation of structured inverse covariance matrices. We perform the estimation using groups of measurements with different covariances of the same unknown structure. Assuming the inverse covariances to span…
Estimating conditional dependence graphs and precision matrices are some of the most common problems in modern statistics and machine learning. When data are fully observed, penalized maximum likelihood-type estimators have become standard…
In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. This inverse covariance matrix also prescribes the hedge trades in which a stock is hedged by all the other…
It has been proposed that complex populations, such as those that arise in genomics studies, may exhibit dependencies among observations as well as among variables. This gives rise to the challenging problem of analyzing unreplicated…
We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…
We propose a framework to shrink a user-specified characteristic of a precision matrix estimator that is needed to fit a predictive model. Estimators in our framework minimize the Gaussian negative loglikelihood plus an $L_1$ penalty on a…
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…
Precision matrix estimation is a fundamental topic in multivariate statistics and modern machine learning. This paper proposes an adversarially perturbed precision matrix estimation framework, motivated by recent developments in adversarial…
In this paper, we propose a unified framework of inexact stochastic Alternating Direction Method of Multipliers (ADMM) for solving nonconvex problems subject to linear constraints, whose objective comprises an average of finite-sum smooth…
This paper considers the problem of networks reconstruction from heterogeneous data using a Gaussian Graphical Mixture Model (GGMM). It is well known that parameter estimation in this context is challenging due to large numbers of variables…
We propose a new relative-error inexact version of the alternating direction method of multipliers (ADMM) for convex optimization. We prove the asymptotic convergence of our main algorithm as well as pointwise and ergodic…
In this paper we propose an iterative method using alternating direction method of multipliers (ADMM) strategy to solve linear inverse problems in Hilbert spaces with general convex penalty term. When the data is given exactly, we give a…
A constrained L1 minimization method is proposed for estimating a sparse inverse covariance matrix based on a sample of $n$ iid $p$-variate random variables. The resulting estimator is shown to enjoy a number of desirable properties. In…
Estimation of the precision matrix (or inverse covariance matrix) is of great importance in statistical data analysis and machine learning. However, as the number of parameters scales quadratically with the dimension $p$, computation…
The alternating direction method of multipliers (ADMM) is widely used to solve large-scale linearly constrained optimization problems, convex or nonconvex, in many engineering fields. However there is a general lack of theoretical…
In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of models studied by us can be broadly categorized as: Gaussian…