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Fast accumulation of large amounts of complex data has created a need for more sophisticated statistical methodologies to discover interesting patterns and better extract information from these data. The large scale of the data often…

For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm that includes a penalization term depending on the positive deviation of…

This paper considers the problem of recovery of a low-rank matrix in the situation when most of its entries are not observed and a fraction of observed entries are corrupted. The observations are noisy realizations of the sum of a low rank…

Sparse covariance matrices play crucial roles by encoding the interdependencies between variables in numerous fields such as genetics and neuroscience. Despite substantial studies on sparse covariance matrices, existing methods face several…

We propose a new method of learning a sparse nonnegative-definite target matrix. Our primary example of the target matrix is the inverse of a population covariance or correlation matrix. The algorithm first estimates each column of the…

Spectral-based subspace clustering methods have proved successful in many challenging applications such as gene sequencing, image recognition, and motion segmentation. In this work, we first propose a novel spectral-based subspace…

A common assumption when sampling $p$-dimensional observations from $K$ distinct group is the equality of the covariance matrices. In this paper, we propose two penalized $M$-estimation approaches for the estimation of the covariance or…

Motivated by recent work on stochastic gradient descent methods, we develop two stochastic variants of greedy algorithms for possibly non-convex optimization problems with sparsity constraints. We prove linear convergence in expectation to…

We propose a computational framework named iterative local adaptive majorize-minimization (I-LAMM) to simultaneously control algorithmic complexity and statistical error when fitting high dimensional models. I-LAMM is a two-stage…

This paper introduces an abstract framework for randomized subspace correction methods for convex optimization, which unifies and generalizes a broad class of existing algorithms, including domain decomposition, multigrid, and block…

Multilayer graphs are appealing mathematical tools for modeling multiple types of relationship in the data. In this paper, we aim at analyzing multilayer graphs by properly combining the information provided by individual layers, while…

The Kaczmarz algorithm is popular for iteratively solving an overdetermined system of linear equations. The traditional Kaczmarz algorithm can approximate the solution in few sweeps through the equations but a randomized version of the…

We analyze the clustering problem through a flexible probabilistic model that aims to identify an optimal partition on the sample X 1 , ..., X n. We perform exact clustering with high probability using a convex semidefinite estimator that…

We consider the problem of estimation of a covariance matrix for Gaussian data in a high dimensional setting. Existing approaches include maximum likelihood estimation under a pre-specified sparsity pattern, l_1-penalized loglikelihood…

A polynomial matrix inequality is a formula asserting that a polynomial matrix is positive semidefinite. Polynomial matrix optimization concerns minimizing the smallest eigenvalue of a symmetric polynomial matrix subject to a tuple of…

We consider estimation of undirected Gaussian graphical models and inverse covariances in high-dimensional scenarios by penalizing the corresponding precision matrix. While single $L_1$ (Graphical Lasso) and $L_2$ (Graphical Ridge)…

Nonlinear convex problems arise in various areas of applied mathematics and engineering. Classical techniques such as the relaxed proximal point algorithm (PPA) and the prediction correction (PC) method were proposed for linearly…

We propose a new fast algorithm to estimate any sparse generalized linear model with convex or non-convex separable penalties. Our algorithm is able to solve problems with millions of samples and features in seconds, by relying on…

In this paper, we develop a randomized algorithm and theory for learning a sparse model from large-scale and high-dimensional data, which is usually formulated as an empirical risk minimization problem with a sparsity-inducing regularizer.…

Sparse matrices are favorable objects in machine learning and optimization. When such matrices are used, in place of dense ones, the overall complexity requirements in optimization can be significantly reduced in practice, both in terms of…