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We show how the notion of message passing can be used to streamline the algebra and computer coding for fast approximate inference in large Bayesian semiparametric regression models. In particular, this approach is amenable to handling…
Motivated by the recent interest in approximate message passing (AMP) for matrix-valued linear observations with superposition of \emph{multiple statistically asymmetric signal sources}, we introduce a multi-source AMP framework in which…
We consider the estimation of an i.i.d.\ random vector observed through a linear transform followed by a componentwise, probabilistic (possibly nonlinear) measurement channel. A novel algorithm, called generalized approximate message…
This manuscripts contains the proofs for "A Primal-Dual Message-Passing Algorithm for Approximated Large Scale Structured Prediction".
We consider the problem of localizing change points in a generalized linear model (GLM), a model that covers many widely studied problems in statistical learning including linear, logistic, and rectified linear regression. We propose a…
Conformal prediction has emerged as a powerful tool for building prediction intervals that are valid in a distribution-free way. However, its evaluation may be computationally costly, especially in the high-dimensional setting where the…
Gaussian and quadratic approximations of message passing algorithms on graphs have attracted considerable recent attention due to their computational simplicity, analytic tractability, and wide applicability in optimization and statistical…
In a recent paper, the authors proposed a new class of low-complexity iterative thresholding algorithms for reconstructing sparse signals from a small set of linear measurements \cite{DMM}. The new algorithms are broadly referred to as AMP,…
Over the last decade or so, Approximate Message Passing (AMP) algorithms have become extremely popular in various structured high-dimensional statistical problems. The fact that the origins of these techniques can be traced back to notions…
For the problem of multi-class linear classification and feature selection, we propose approximate message passing approaches to sparse multinomial logistic regression (MLR). First, we propose two algorithms based on the Hybrid Generalized…
Vector approximate message passing (VAMP) is an efficient approximate inference algorithm used for generalized linear models. Although VAMP exhibits excellent performance, particularly when measurement matrices are sampled from rotationally…
This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous…
Characterizing the distribution of high-dimensional statistical estimators is a challenging task, due to the breakdown of classical asymptotic theory in high dimension. This paper makes progress towards this by developing non-asymptotic…
Approximate Message Passing (AMP) has been shown to be a superior method for inference problems, such as the recovery of signals from sets of noisy, lower-dimensionality measurements, both in terms of reconstruction accuracy and in…
In a recent paper, the authors proposed a new class of low-complexity iterative thresholding algorithms for reconstructing sparse signals from a small set of linear measurements \cite{DMM}. The new algorithms are broadly referred to as AMP,…
Fast variational approximate algorithms are developed for Bayesian semiparametric regression when the response variable is a count, i.e. a non-negative integer. We treat both the Poisson and Negative Binomial families as models for the…
In a recent article (Proc. Natl. Acad. Sci., 110(36), 14557-14562), El Karoui et al. study the distribution of robust regression estimators in the regime in which the number of parameters p is of the same order as the number of samples n.…
Approximate message passing (AMP) methods and their variants have attracted considerable recent attention for the problem of estimating a random vector $\mathbf{x}$ observed through a linear transform $\mathbf{A}$. In the case of large…
Retraining a model using its own predictions together with the original, potentially noisy labels is a well-known strategy for improving the model performance. While prior works have demonstrated the benefits of specific heuristic…
Resampling techniques are widely used in statistical inference and ensemble learning, in which estimators' statistical properties are essential. However, existing methods are computationally demanding, because repetitions of…