Related papers: Greedy Gaussian Segmentation of Multivariate Time …
We show for several computational problems how classical greedy algorithms for special cases can be derived in a simple way from dynamic programs for the general case: interval scheduling (restricted to unit weights), knapsack (restricted…
In this paper, we consider a subset selection problem in a spatial field where we seek to find a set of k locations whose observations provide the best estimate of the field value at a finite set of prediction locations. The measurements…
Sampling-based algorithms are classical approaches to perform Bayesian inference in inverse problems. They provide estimators with the associated credibility intervals to quantify the uncertainty on the estimators. Although these methods…
We consider the problem of estimating the parameters of a Gaussian or binary distribution in such a way that the resulting undirected graphical model is sparse. Our approach is to solve a maximum likelihood problem with an added l_1-norm…
Multivariate Gaussian is often used as a first approximation to the distribution of high-dimensional data. Determining the parameters of this distribution under various constraints is a widely studied problem in statistics, and is often…
Complex multivariate time series arise in many fields, ranging from computer vision to robotics or medicine. Often we are interested in the independent underlying factors that give rise to the high-dimensional data we are observing. While…
Greedy-GQ is a value-based reinforcement learning (RL) algorithm for optimal control. Recently, the finite-time analysis of Greedy-GQ has been developed under linear function approximation and Markovian sampling, and the algorithm is shown…
Standard Gaussian Process (GP) regression, a powerful machine learning tool, is computationally expensive when it is applied to large datasets, and potentially inaccurate when data points are sparsely distributed in a high-dimensional…
Multivariate categorical data occur in many applications of machine learning. One of the main difficulties with these vectors of categorical variables is sparsity. The number of possible observations grows exponentially with vector length,…
We introduce a scalable approach to Gaussian process inference that combines spatio-temporal filtering with natural gradient variational inference, resulting in a non-conjugate GP method for multivariate data that scales linearly with…
Gaussian Graphical Models (GGM) are often used to describe the conditional correlations between the components of a random vector. In this article, we compare two families of GGM inference methods: nodewise edge selection and penalised…
The Gaussian process (GP) regression can be severely biased when the data are contaminated by outliers. This paper presents a new robust GP regression algorithm that iteratively trims the most extreme data points. While the new algorithm…
A method is proposed to generate an optimal fit of a number of connected linear trend segments onto time-series data. To be able to efficiently handle many lines, the method employs a stochastic search procedure to determine optimal…
The problem of column subset selection has recently attracted a large body of research, with feature selection serving as one obvious and important application. Among the techniques that have been applied to solve this problem, the greedy…
In this paper we study the problem of discovering a timeline of events in a temporal network. We model events as dense subgraphs that occur within intervals of network activity. We formulate the event-discovery task as an optimization…
In many prediction problems, it is not uncommon that the number of variables used to construct a forecast is of the same order of magnitude as the sample size, if not larger. We then face the problem of constructing a prediction in the…
Consider the Hitting Set problem where, for a given universe $\mathcal{X} = \left\{ 1, ... , n \right\}$ and a collection of subsets $\mathcal{S}_1, ... , \mathcal{S}_m$, one seeks to identify the smallest subset of $\mathcal{X}$ which has…
We investigate a clustering problem with data from a mixture of Gaussians that share a common but unknown, and potentially ill-conditioned, covariance matrix. We start by considering Gaussian mixtures with two equally-sized components and…
Identifying breakpoints in piecewise regression is critical in enhancing the reliability and interpretability of data fitting. In this paper, we propose novel algorithms based on the greedy algorithm to accurately and efficiently identify…
Gaussian graphical regression is a powerful means that regresses the precision matrix of a Gaussian graphical model on covariates, permitting the numbers of the response variables and covariates to far exceed the sample size. Model fitting…