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We develop fixed-point algorithms for the approximation of structured matrices with rank penalties. In particular we use these fixed-point algorithms for making approximations by sums of exponentials, or frequency estimation. For the basic…
We shall present an elementary approach to extremal decompositions of (quantum) covariance matrices determined by densities. We give a new proof on former results and provide a sharp estimate of the ranks of the densities that appear in the…
Symmetric nonnegative matrix factorization (NMF), a special but important class of the general NMF, is demonstrated to be useful for data analysis and in particular for various clustering tasks. Unfortunately, designing fast algorithms for…
Submodular function minimization is a fundamental optimization problem that arises in several applications in machine learning and computer vision. The problem is known to be solvable in polynomial time, but general purpose algorithms have…
We introduce a novel algorithm that computes the $k$-sparse principal component of a positive semidefinite matrix $A$. Our algorithm is combinatorial and operates by examining a discrete set of special vectors lying in a low-dimensional…
Factor Analysis is a widely used modeling technique for stationary time series which achieves dimensionality reduction by revealing a hidden low-rank plus sparse structure of the covariance matrix. Such an idea of parsimonious modeling has…
We present a method for estimating sparse high-dimensional inverse covariance and partial correlation matrices, which exploits the connection between the inverse covariance matrix and linear regression. The method is a two-stage estimation…
The computation of the sparse principal component of a matrix is equivalent to the identification of its principal submatrix with the largest maximum eigenvalue. Finding this optimal submatrix is what renders the problem…
We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a…
We propose new approximate alternating projection methods, based on randomized sketching, for the low-rank nonnegative matrix approximation problem: find a low-rank approximation of a nonnegative matrix that is nonnegative, but whose…
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…
Nonnegative matrix factorization is the following problem: given a nonnegative input matrix $V$ and a factorization rank $K$, compute two nonnegative matrices, $W$ with $K$ columns and $H$ with $K$ rows, such that $WH$ approximates $V$ as…
Kaczmarz's alternating projection method has been widely used for solving a consistent (mostly over-determined) linear system of equations Ax=b. Because of its simple iterative nature with light computation, this method was successfully…
Coupled decompositions are a widely used tool for data fusion. As the volume of data increases, so does the dimensionality of matrices and tensors, highlighting the need for more efficient coupled decomposition algorithms. This paper…
Data-fusion involves the integration of multiple related datasets. The statistical file-matching problem is a canonical data-fusion problem in multivariate analysis, where the objective is to characterise the joint distribution of a set of…
Recovering low-rank and sparse matrices from incomplete or corrupted observations is an important problem in machine learning, statistics, bioinformatics, computer vision, as well as signal and image processing. In theory, this problem can…
This paper is about how to partition decision variables while decomposing a large-scale optimization problem for the best performance of distributed solution methods. Solving a large-scale optimization problem sequen- tially can be…
We present an approach to decomposition and factor analysis of matrices with ordinal data. The matrix entries are grades to which objects represented by rows satisfy attributes represented by columns, e.g. grades to which an image is red, a…
Non-negative matrix factorization (NMF) has previously been shown to be a useful decomposition for multivariate data. We interpret the factorization in a new way and use it to generate missing attributes from test data. We provide a joint…
We study high-dimensional covariance/precision matrix estimation under the assumption that the covariance/precision matrix can be decomposed into a low-rank component L and a diagonal component D. The rank of L can either be chosen to be…