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We establish conditions under which Metropolis-Hastings (MH) algorithms with a position-dependent proposal covariance matrix will or will not have the geometric rate of convergence. Some of the diffusions based MH algorithms like the…
Machine learning and artificial intelligence algorithms typically require large amount of data for training. This means that for nonlinear aeroelastic applications, where small training budgets are driven by the high computational burden…
Random projections or sketching are widely used in many algorithmic and learning contexts. Here we study the performance of iterative Hessian sketch for least-squares problems. By leveraging and extending recent results from random matrix…
We present an overview of randomized orthogonalization techniques that construct a well-conditioned basis whose sketch is orthonormal. Randomized orthogonalization has recently emerged as a powerful paradigm for reducing the computational…
Although projection-based reduced-order models (ROMs) for parameterized nonlinear dynamical systems have demonstrated exciting results across a range of applications, their broad adoption has been limited by their intrusivity: implementing…
Estimation and hypothesis tests for the covariance matrix in high dimensions is a challenging problem as the traditional multivariate asymptotic theory is no longer valid. When the dimension is larger than or increasing with the sample…
In longitudinal studies, repeated measures are collected over time and hence they tend to be serially correlated. In this paper we consider an extension of skew-normal/independent linear mixed models introduced by Lachos et al. (2010),…
Generating random variates from high-dimensional distributions is often done approximately using Markov chain Monte Carlo. In certain cases, perfect simulation algorithms exist that allow one to draw exactly from the stationary…
As one of Bayesian analysis tools, Hidden Markov Model (HMM) has been used to in extensive applications. Most HMMs are solved by Baum-Welch algorithm (BWHMM) to predict the model parameters, which is difficult to find global optimal…
Linear reduced-order modeling (ROM) is widely used for efficient simulation of deformation dynamics, but its accuracy is often limited by the fixed linearization of the reduced mapping. We propose a new adaptive strategy for linear ROM that…
We explore and illustrate the concept of ranked sparsity, a phenomenon that often occurs naturally in modeling applications when an expected disparity exists in the quality of information between different feature sets. Its presence can…
The estimation of covariance matrices of multiple classes with limited training data is a difficult problem. The sample covariance matrix (SCM) is known to perform poorly when the number of variables is large compared to the available…
Random projections (RP) are a popular tool for reducing dimensionality while preserving local geometry. In many applications the data set to be projected is given to us in advance, yet the current RP techniques do not make use of…
Nonlinear parametric inverse problems appear in many applications. Here, we focus on diffuse optical tomography (DOT) in medical imaging to recover unknown images of interest, such as cancerous tissue in a given medium, using a mathematical…
We introduce the Hamiltonian Monte Carlo Particle Swarm Optimizer (HMC-PSO), an optimization algorithm that reaps the benefits of both Exponentially Averaged Momentum PSO and HMC sampling. The coupling of the position and velocity of each…
We study complex networks under random matrix theory (RMT) framework. Using nearest-neighbor and next-nearest-neighbor spacing distributions we analyze the eigenvalues of adjacency matrix of various model networks, namely, random,…
This paper considers errors-in-variables models in a high-dimensional setting where the number of covariates can be much larger than the sample size, and there are only a small number of non-zero covariates. The presence of measurement…
We apply a method recently introduced to the statistical literature to directly estimate the precision matrix from an ensemble of samples drawn from a corresponding Gaussian distribution. Motivated by the observation that cosmological…
Demanding sparsity in estimated models has become a routine practice in statistics. In many situations, we wish to require that the sparsity patterns attained honor certain problem-specific constraints. Hierarchical sparse modeling (HSM)…
The mixed effects model for repeated measures (MMRM) has been widely used for the analysis of longitudinal clinical data collected at a number of fixed time points. We propose a robust extension of the MMRM for skewed and heavy-tailed data…