Related papers: An Optimal Convergence Rate for the Gaussian Regul…
In this paper we present new regularized Shannon sampling formulas which use localized sampling with special window functions, namely Gaussian, B-spline, and sinh-type window functions. In contrast to the classical Shannon sampling series,…
The generalized Gauss-Newton (GGN) optimization method incorporates curvature estimates into its solution steps, and provides a good approximation to the Newton method for large-scale optimization problems. GGN has been found particularly…
We study the problem of estimating the parameters of a Gaussian distribution when samples are only shown if they fall in some (unknown) subset $S \subseteq \R^d$. This core problem in truncated statistics has long history going back to…
We consider the problem of global optimization of a function over a continuous domain. In our setup, we can evaluate the function sequentially at points of our choice and the evaluations are noisy. We frame it as a continuum-armed bandit…
The article starts with generalizations of some classical results and new truncation error upper bounds in the sampling theorem for bandlimited stochastic processes. Then, it investigates $L_p([0,T])$ and uniform approximations of…
We consider the problem of minimizing a sum of $n$ functions over a convex parameter set $\mathcal{C} \subset \mathbb{R}^p$ where $n\gg p\gg 1$. In this regime, algorithms which utilize sub-sampling techniques are known to be effective. In…
Sample average approximation (SAA) is a tractable approach for dealing with chance constrained programming, a challenging stochastic optimization problem. The constraint of SAA is characterized by the $0/1$ loss function which results in…
Many data-fitting applications require the solution of an optimization problem involving a sum of large number of functions of high dimensional parameter. Here, we consider the problem of minimizing a sum of $n$ functions over a convex…
Stochastic gradient descent (SGD) is a simple and popular method to solve stochastic optimization problems which arise in machine learning. For strongly convex problems, its convergence rate was known to be O(\log(T)/T), by running SGD for…
This paper provides new error bounds on "consistent" reconstruction methods for signals observed from quantized random projections. Those signal estimation techniques guarantee a perfect matching between the available quantized data and a…
Error estimation is given for a regularized Shannon's sampling formulae, which was found to be accurate and robust for numerically solving partial differential equations.
In the setting of entangled single-sample distributions, the goal is to estimate some common parameter shared by a family of $n$ distributions, given one single sample from each distribution. This paper studies mean estimation for entangled…
In this paper, Gaussian two-way channel with uniform output quantization is studied. For Gaussian inputs, the optimum uniform finite-level quantizer is determined numerically for different values of Signal-to-Noise Ratio (SNR). The two-way…
Signal sampling and reconstruction is a fundamental engineering task at the heart of signal processing. The celebrated Shannon-Nyquist theorem guarantees perfect signal reconstruction from uniform samples, obtained at a rate twice the…
Large scale optimization problems are ubiquitous in machine learning and data analysis and there is a plethora of algorithms for solving such problems. Many of these algorithms employ sub-sampling, as a way to either speed up the…
We consider the estimation of quadratic functionals in a Gaussian sequence model where the eigenvalues are supposed to be unknown and accessible through noisy observations only. Imposing smoothness assumptions both on the signal and the…
A sampling-based method is introduced to approximate the Gittins index for a general family of alternative bandit processes. The approximation consists of a truncation of the optimization horizon and support for the immediate rewards, an…
The resolution of many large-scale inverse problems using MCMC methods requires a step of drawing samples from a high dimensional Gaussian distribution. While direct Gaussian sampling techniques, such as those based on Cholesky…
We provide faster algorithms for the problem of Gaussian summation, which occurs in many machine learning methods. We develop two new extensions - an O(Dp) Taylor expansion for the Gaussian kernel with rigorous error bounds and a new error…
Gaussian process (GP) regression is a powerful interpolation technique due to its flexibility in capturing non-linearity. In this paper, we provide a general framework for understanding the frequentist coverage of point-wise and…