Related papers: Robust estimation of the mean with bounded relativ…
We present some new and explicit error bounds for the approximation of distributions. The approximation error is quantified by the maximal density ratio of the distribution $Q$ to be approximated and its proxy $P$. This non-symmetric…
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…
Many popular learning algorithms (E.g. Regression, Fourier-Transform based algorithms, Kernel SVM and Kernel ridge regression) operate by reducing the problem to a convex optimization problem over a vector space of functions. These methods…
Sample-average approximations (SAA) are a practical means of finding approximate solutions of stochastic programming problems involving an extremely large (or infinite) number of scenarios. SAA can also be used to find estimates of a lower…
We study the approximation of expectations $\E(f(X))$ for Gaussian random elements $X$ with values in a separable Hilbert space $H$ and Lipschitz continuous functionals $f \colon H \to \R$. We consider restricted Monte Carlo algorithms,…
The problem of estimating a random vector x from noisy linear measurements y = A x + w with unknown parameters on the distributions of x and w, which must also be learned, arises in a wide range of statistical learning and linear inverse…
The Robbins-Monro algorithm is a recursive, simulation-based stochastic procedure to approximate the zeros of a function that can be written as an expectation. It is known that under some technical assumptions, Gaussian limit distributions…
We study sampling problems associated with potentials that lack smoothness. The potentials can be either convex or non-convex. Departing from the standard smooth setting, the potentials are only assumed to be weakly smooth or non-smooth, or…
In this paper, we consider the parameter estimation problem over sensor networks in the presence of quantized data and directed communication links. We propose a two-stage algorithm aiming at achieving the centralized sample mean estimate…
In this paper we develop proximal methods for statistical learning. Proximal point algorithms are useful in statistics and machine learning for obtaining optimization solutions for composite functions. Our approach exploits closed-form…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
In an ordinary feature selection procedure, a set of important features is obtained by solving an optimization problem such as the Lasso regression problem, and we expect that the obtained features explain the data well. In this study,…
We consider deterministic and {\em randomized} quantum algorithms simulating $e^{-iHt}$ by a product of unitary operators $e^{-iA_jt_j}$, $j=1,...,N$, where $A_j\in\{H_1,...,H_m\}$, $H=\sum_{i=1}^m H_i$ and $t_j > 0$ for every $j$.…
Designing scalable estimation algorithms is a core challenge in modern statistics. Here we introduce a framework to address this challenge based on parallel approximants, which yields estimators with provable properties that operate on the…
In the setting where we have $n$ independent observations of a random variable $X$, we derive explicit error bounds in total variation distance when approximating the number of observations equal to the maximum of the sample (in the case…
Several numerical approximation strategies for the expectation-propagation algorithm are studied in the context of large-scale learning: the Laplace method, a faster variant of it, Gaussian quadrature, and a deterministic version of…
We consider the problem of robust mean and location estimation w.r.t. any pseudo-norm of the form $x\in\mathbb{R}^d\to ||x||_S = \sup_{v\in S}<v,x>$ where $S$ is any symmetric subset of $\mathbb{R}^d$. We show that the deviation-optimal…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
Le Cam's two-point testing method yields perhaps the simplest lower bound for estimating the mean of a distribution: roughly, if it is impossible to well-distinguish a distribution centered at $\mu$ from the same distribution centered at…
We present a deterministic approximation algorithm to compute logarithm of the number of `good' truth assignments for a random k-satisfiability (k-SAT) formula in polynomial time (by `good' we mean that violate a small fraction of clauses).…