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The increased availability of massive data sets provides a unique opportunity to discover subtle patterns in their distributions, but also imposes overwhelming computational challenges. To fully utilize the information contained in big…
Most of machine learning approaches have stemmed from the application of minimizing the mean squared distance principle, based on the computationally efficient quadratic optimization methods. However, when faced with high-dimensional and…
Bayesian inference is a widely used technique for real-time characterization of quantum systems. It excels in experimental characterization in the low data regime, and when the measurements have degrees of freedom. A decisive factor for its…
Quantization can be used to form new vectors/matrices with shared values close to the original. In recent years, the popularity of scalar quantization for value-sharing applications has been soaring as it has been found huge utilities in…
Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…
Neural networks are a commonly used approach to replace physical models with computationally cheap surrogates. Parametric uncertainty quantification can be included in training, assuming that an accurate prior distribution of the model…
Compressed sensing is a signal processing technique in which data is acquired directly in a compressed form. There are two modeling approaches that can be considered: the worst-case (Hamming) approach and a statistical mechanism, in which…
In this paper, we focus on distributed estimation and support recovery for high-dimensional linear quantile regression. Quantile regression is a popular alternative tool to the least squares regression for robustness against outliers and…
We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization…
We introduce a method for aggregating many least squares estimator so that the resulting estimate has two properties: sparsity and structure. That is, only a few candidate covariates are used in the resulting model, and the selected…
This paper introduces a unified family of smoothed quantile estimators that continuously interpolate between classical empirical quantiles and the sample mean. The estimators q(z, h) are defined as minimizers of a regularized objective…
We consider new formulations and methods for sparse quantile regression in the high-dimensional setting. Quantile regression plays an important role in many applications, including outlier-robust exploratory analysis in gene selection. In…
We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…
Subsampling is a computationally effective approach to extract information from massive data sets when computing resources are limited. After a subsample is taken from the full data, most available methods use an inverse probability…
We present large sample results for partitioning-based least squares nonparametric regression, a popular method for approximating conditional expectation functions in statistics, econometrics, and machine learning. First, we obtain a…
Quantile regression is a powerful data analysis tool that accommodates heterogeneous covariate-response relationships. We find that by coupling the asymmetric Laplace working likelihood with appropriate shrinkage priors, we can deliver…
A general adaptive approach rooted in stratified sampling (SS) is proposed for sample-based uncertainty quantification (UQ). To motivate its use in this context the space-filling, orthogonality, and projective properties of SS are compared…
We propose a new stochastic optimization framework for empirical risk minimization problems such as those that arise in machine learning. The traditional approaches, such as (mini-batch) stochastic gradient descent (SGD), utilize an…
This paper considers the problem of estimating a high-dimensional (HD) covariance matrix when the sample size is smaller, or not much larger, than the dimensionality of the data, which could potentially be very large. We develop a…
We introduce the Multiple Quantile Graphical Model (MQGM), which extends the neighborhood selection approach of Meinshausen and Buhlmann for learning sparse graphical models. The latter is defined by the basic subproblem of modeling the…