Related papers: A parallel algorithm for penalized learning of the…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
Multivariate Hawkes processes are a widely used class of self-exciting point processes, but maximum likelihood estimation naively scales as $O(N^2)$ in the number of events. The canonical linear exponential Hawkes process admits a faster…
We present a unified framework for estimation and analysis of generalized additive models in high dimensions. The framework defines a large class of penalized regression estimators, encompassing many existing methods. An efficient…
We study a two armed-bandit algorithm with penalty. We show the convergence of the algorithm and establish the rate of convergence. For some choices of the parameters, we obtain a central limit theorem in which the limit distribution is…
Constructing unbiased estimators from Markov chain Monte Carlo (MCMC) outputs is a difficult problem that has recently received a lot of attention in the statistics and machine learning communities. However, the current unbiased MCMC…
It has been shown that a class of probabilistic domain models cannot be learned correctly by several existing algorithms which employ a single-link look ahead search. When a multi-link look ahead search is used, the computational complexity…
In this paper, we explore how numerical calculations can be accelerated by implementing several numerical methods of fractional-order systems using parallel computing techniques. We investigate the feasibility of parallel computing…
We consider the problem of estimating the parameters of a Gaussian or binary distribution in such a way that the resulting undirected graphical model is sparse. Our approach is to solve a maximum likelihood problem with an added l_1-norm…
This paper proposes an improved quasi-Newton penalty decomposition algorithm for the minimization of continuously differentiable functions, possibly nonconvex, over sparse symmetric sets. The method solves a sequence of penalty subproblems…
We consider the question of learning the natural parameters of a $k$ parameter minimal exponential family from i.i.d. samples in a computationally and statistically efficient manner. We focus on the setting where the support as well as the…
We propose a randomized a posteriori error estimator for reduced order approximations of parametrized (partial) differential equations. The error estimator has several important properties: the effectivity is close to unity with prescribed…
The growing interest for high dimensional and functional data analysis led in the last decade to an important research developing a consequent amount of techniques. Parallelized algorithms, which consist in distributing and treat the data…
Finding effective ways to exploit parallel computing to accelerate Markov chain Monte Carlo methods is an important problem in Bayesian computation and related disciplines. In this paper, we consider the zeroth-order setting where the…
We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order…
Due to the potential benefits of parallelization, designing unbiased Monte Carlo estimators, primarily in the setting of randomized multilevel Monte Carlo, has recently become very popular in operations research and computational…
In this paper we present nonparametric estimators for coefficients in stochastic differential equation if the data are described by independent, identically distributed random variables. The problem is formulated as a nonlinear ill-posed…
We propose a methodology to parallelize Hamiltonian Monte Carlo estimators. Our approach constructs a pair of Hamiltonian Monte Carlo chains that are coupled in such a way that they meet exactly after some random number of iterations. These…
We develop a method for estimating well-conditioned and sparse covariance and inverse covariance matrices from a sample of vectors drawn from a sub-gaussian distribution in high dimensional setting. The proposed estimators are obtained by…
Pairwise Markov Random Fields (MRFs) or undirected graphical models are parsimonious representations of joint probability distributions. Variables correspond to nodes of a graph, with edges between nodes corresponding to conditional…
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…