Related papers: Constrained Least Squares for Extended Complex Fac…
This paper studies optimal estimation of large-dimensional nonlinear factor models. The key challenge is that the observed variables are possibly nonlinear functions of some latent variables where the functional forms are left unspecified.…
Tensor decomposition is an effective tool for learning multi-way structures and heterogeneous features from high-dimensional data, such as the multi-view images and multichannel electroencephalography (EEG) signals, are often represented by…
Non-negative matrix factorization (NMF) is a recently developed technique for finding parts-based, linear representations of non-negative data. Although it has successfully been applied in several applications, it does not always result in…
We consider the problem of recovering low-rank matrices from random rank-one measurements, which spans numerous applications including covariance sketching, phase retrieval, quantum state tomography, and learning shallow polynomial neural…
Dimensionality reduction methods, such as principal component analysis (PCA) and factor analysis, are central to many problems in data science. There are, however, serious and well-understood challenges to finding robust low dimensional…
This paper presents a unified Least-Squares framework for solving nonlinear partial differential equations by recasting the governing system as a residual minimisation problem. A Least-Squares functional is formulated and the corresponding…
This paper describes an extension of the BFGS and L-BFGS methods for the minimization of a nonlinear function subject to errors. This work is motivated by applications that contain computational noise, employ low-precision arithmetic, or…
This paper presents a new algorithm, termed \emph{truncated amplitude flow} (TAF), to recover an unknown vector $\bm{x}$ from a system of quadratic equations of the form $y_i=|\langle\bm{a}_i,\bm{x}\rangle|^2$, where $\bm{a}_i$'s are given…
A rank-$r$ matrix $X \in \mathbb{R}^{m \times n}$ can be written as a product $U V^\top$, where $U \in \mathbb{R}^{m \times r}$ and $V \in \mathbb{R}^{n \times r}$. One could exploit this observation in optimization: e.g., consider the…
Nonnegative Matrix Factorization (NMF) is a versatile and powerful tool for discovering latent structures in data matrices, with many variations proposed in the literature. Recently, Leplat et al.\@ (2019) introduced a minimum-volume NMF…
In this paper, we study convex optimization methods for computing the trace norm regularized least squares estimate in multivariate linear regression. The so-called factor estimation and selection (FES) method, recently proposed by Yuan et…
Given a parametrized family of finite frames, we consider the optimization problem of finding the member of this family whose coefficient space most closely contains a given data vector. This nonlinear least squares problem arises naturally…
We propose a flexible and theoretically supported framework for scalable nonnegative matrix factorization. The goal is to find nonnegative low-rank components directly from compressed measurements, accessing the original data only once or…
In this paper we analyze and solve eigenvalue programs, which consist of the task of minimizing a function subject to constraints on the "eigenvalues" of the decision variable. Here, by making use of the FTvN systems framework introduced by…
Joint diagonalization, the process of finding a shared set of approximate eigenvectors for a collection of matrices, arises in diverse applications such as multidimensional harmonic analysis or quantum information theory. This task is…
Matrix denoising is central to signal processing and machine learning. Its statistical analysis when the matrix to infer has a factorised structure with a rank growing proportionally to its dimension remains a challenge, except when it is…
We propose a new method to learn the structure of a Gaussian graphical model with finite sample false discovery rate control. Our method builds on the knockoff framework of Barber and Cand\`{e}s for linear models. We extend their approach…
In identification of dynamical systems, the prediction error method using a quadratic cost function provides asymptotically efficient estimates under Gaussian noise and additional mild assumptions, but in general it requires solving a…
Least squares form one of the most prominent classes of optimization problems, with numerous applications in scientific computing and data fitting. When such formulations aim at modeling complex systems, the optimization process must…
We have recently presented a method to solve an overdetermined linear system of equations with multiple right hand side vectors, where the unknown matrix is to be symmetric and positive definite. The coefficient and the right hand side…