Related papers: High-dimensional estimation of quadratic variation…
We consider efficient estimation of flexible transformation models with interval-censored data. To reduce the dimension of semi-parametric models, the unknown monotone transformation function is approximated via monotone splines. A…
We propose a nonconvex estimator for joint multivariate regression and precision matrix estimation in the high dimensional regime, under sparsity constraints. A gradient descent algorithm with hard thresholding is developed to solve the…
Mirror descent value iteration (MDVI), an abstraction of Kullback-Leibler (KL) and entropy-regularized reinforcement learning (RL), has served as the basis for recent high-performing practical RL algorithms. However, despite the use of…
This paper studies continuous-time risk-sensitive reinforcement learning (RL) under the entropy-regularized, exploratory diffusion process formulation with the exponential-form objective. The risk-sensitive objective arises either as the…
Feature selection in learning to rank has recently emerged as a crucial issue. Whereas several preprocessing approaches have been proposed, only a few works have been focused on integrating the feature selection into the learning process.…
Consider the heteroscedastic nonparametric regression model with random design \begin{align*} Y_i = f(X_i) + V^{1/2}(X_i)\varepsilon_i, \quad i=1,2,\ldots,n, \end{align*} with $f(\cdot)$ and $V(\cdot)$ $\alpha$- and $\beta$-H\"older smooth,…
Nonlinear eigenvalue problems with eigenvector nonlinearities (NEPv) are algebraic eigenvalue problems whose matrix depends on the eigenvector. Applications range from computational quantum mechanics to machine learning. Due to its…
Recent extensive research has demonstrated that the enhanced reasoning capabilities acquired by models through Reinforcement Learning with Verifiable Rewards (RLVR) are primarily concentrated within the rank-1 components. Predicated on this…
High-dimensional matrix regression has been studied in various aspects, such as statistical properties, computational efficiency and application to specific instances including multivariate regression, system identification and matrix…
RL with Verifiable Rewards (RLVR) has emerged as a promising paradigm for improving the reasoning abilities of large language models (LLMs). Current methods rely primarily on policy optimization frameworks like PPO and GRPO, which follow…
Penalized regression has become a standard tool for model building across a wide range of application domains. Common practice is to tune the amount of penalization to tradeoff bias and variance or to optimize some other measure of…
In genetic studies, not only can the number of predictors obtained from microarray measurements be extremely large, there can also be multiple response variables. Motivated by such a situation, we consider semiparametric dimension reduction…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…
Estimating and detecting faults is crucial in ensuring safe and efficient automated systems. In the presence of disturbances, noise or varying system dynamics, such estimation is even more challenging. To address this challenge, this…
We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…
It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…
In this paper, we address the issue of model specification in probabilistic latent variable models (PLVMs) using an infinite-horizon optimal control approach. Traditional PLVMs rely on joint distributions to model complex data, but…
Model selection is a crucial issue in machine-learning and a wide variety of penalisation methods (with possibly data dependent complexity penalties) have recently been introduced for this purpose. However their empirical performance is…
We consider the estimation of a sparse factor model where the factor loading matrix is assumed sparse. The estimation problem is reformulated as a penalized M-estimation criterion, while the restrictions for identifying the factor loading…
We consider a class of infinite-dimensional optimization problems in which a distributed vector-valued variable should pointwise almost everywhere take values from a given finite set $\mathcal{M}\subset\mathbb{R}^m$. Such hybrid…