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Enforcing complex (e.g., nonconvex) operational constraints is a critical challenge in real-world learning and control systems. However, existing methods struggle to efficiently enforce general classes of constraints. To address this, we…
From an optimizer's perspective, achieving the global optimum for a general nonconvex problem is often provably NP-hard using the classical worst-case analysis. In the case of Cox's proportional hazards model, by taking its statistical…
Motivated by value function estimation in reinforcement learning, we study statistical linear inverse problems, i.e., problems where the coefficients of a linear system to be solved are observed in noise. We consider penalized estimators,…
Quantifying uncertainty in predictions or, more generally, estimating the posterior conditional distribution, is a core challenge in machine learning and statistics. We introduce Convex Nonparanormal Regression (CNR), a conditional…
We consider the problem of recovering elements of a low-dimensional model from under-determined linear measurements. To perform recovery, we consider the minimization of a convex regularizer subject to a data fit constraint. Given a model,…
Robust Optimization has traditionally taken a pessimistic, or worst-case viewpoint of uncertainty which is motivated by a desire to find sets of optimal policies that maintain feasibility under a variety of operating conditions. In this…
We present the viewpoint that optimization problems encountered in machine learning can often be interpreted as minimizing a convex functional over a function space, but with a non-convex constraint set introduced by model parameterization.…
We study the problem of variable selection in convex nonparametric regression. Under the assumption that the true regression function is convex and sparse, we develop a screening procedure to select a subset of variables that contains the…
In this paper, a convex optimization-based method is proposed for numerically solving dynamic programs in continuous state and action spaces. The key idea is to approximate the output of the Bellman operator at a particular state by the…
In this paper, we introduce the first principled adaptive-sampling procedure for learning a convex function in the $L_\infty$ norm, a problem that arises often in the behavioral and social sciences. We present a function-specific measure of…
Sparse estimation methods are aimed at using or obtaining parsimonious representations of data or models. They were first dedicated to linear variable selection but numerous extensions have now emerged such as structured sparsity or kernel…
The implementation of computational sensing strategies often faces calibration problems typically solved by means of multiple, accurately chosen training signals, an approach that can be resource-consuming and cumbersome. Conversely, blind…
We propose a stochastic variance reduced optimization algorithm for solving sparse learning problems with cardinality constraints. Sufficient conditions are provided, under which the proposed algorithm enjoys strong linear convergence…
Within the statistical and machine learning literature, regularization techniques are often used to construct sparse (predictive) models. Most regularization strategies only work for data where all predictors are treated identically, such…
We consider a general class of regression models with normally distributed covariates, and the associated nonconvex problem of fitting these models from data. We develop a general recipe for analyzing the convergence of iterative algorithms…
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk,…
The paper introduces the first formulation of convex Q-learning for Markov decision processes with function approximation. The algorithms and theory rest on a relaxation of a dual of Manne's celebrated linear programming characterization of…
Sliced inverse regression is a popular tool for sufficient dimension reduction, which replaces covariates with a minimal set of their linear combinations without loss of information on the conditional distribution of the response given the…
Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random…
We consider a composite convex minimization problem associated with regularized empirical risk minimization, which often arises in machine learning. We propose two new stochastic gradient methods that are based on stochastic dual averaging…