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This work considers low-rank canonical polyadic decomposition (CPD) under a class of non-Euclidean loss functions that frequently arise in statistical machine learning and signal processing. These loss functions are often used for certain…
Vector autoregressions (VARs) are popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to…
Because tensor data appear more and more frequently in various scientific researches and real-world applications, analyzing the relationship between tensor features and the univariate outcome becomes an elementary task in many fields. To…
Tensor train decomposition is a powerful tool for dealing with high-dimensional, large-scale tensor data, which is not suffering from the curse of dimensionality. To accelerate the calculation of the auxiliary unfolding matrix, some…
An increasing number of data science and machine learning problems rely on computation with tensors, which better capture the multi-way relationships and interactions of data than matrices. When tapping into this critical advantage, a key…
We consider the problem of estimating high-dimensional covariance matrices of a particular structure, which is a summation of low rank and sparse matrices. This covariance structure has a wide range of applications including factor analysis…
We introduce a "learning-based" algorithm for the low-rank decomposition problem: given an $n \times d$ matrix $A$, and a parameter $k$, compute a rank-$k$ matrix $A'$ that minimizes the approximation loss $\|A-A'\|_F$. The algorithm uses a…
Computing low-rank approximations of kernel matrices is an important problem with many applications in scientific computing and data science. We propose methods to efficiently approximate and store low-rank approximations to kernel matrices…
The Tensor-Train (TT) format is a highly compact low-rank representation for high-dimensional tensors. TT is particularly useful when representing approximations to the solutions of certain types of parametrized partial differential…
Tensors are ubiquitous in science and engineering and tensor factorization approaches have become important tools for the characterization of higher order structure. Factorizations includes the outer-product rank Canonical Polyadic…
Portfolio allocation and risk management make use of correlation matrices and heavily rely on the choice of a proper correlation matrix to be used. In this regard, one important question is related to the choice of the proper sample period…
We propose a deep importance sampling method that is suitable for estimating rare event probabilities in high-dimensional problems. We approximate the optimal importance distribution in a general importance sampling problem as the…
This paper describes a flexible framework for generalized low-rank tensor estimation problems that includes many important instances arising from applications in computational imaging, genomics, and network analysis. The proposed estimator…
Factored stochastic constraint programming (FSCP) is a formalism to represent multi-stage decision making problems under uncertainty. FSCP models support factorized probabilistic models and involve constraints over decision and random…
In low-rank tensor completion tasks, due to the underlying multiple large-scale singular value decomposition (SVD) operations and rank selection problem of the traditional methods, they suffer from high computational cost and high…
This paper presents a methodology for using varying sample sizes in sequential quadratic programming (SQP) methods for solving equality constrained stochastic optimization problems. The first part of the paper deals with the delicate issue…
Low-rank approximation of a matrix by means of structured random sampling has been consistently efficient in its extensive empirical studies around the globe, but adequate formal support for this empirical phenomenon has been missing so…
Tensor decomposition is an effective tool for learning multi-way structures and heterogeneous features from high-dimensional data, such as the multi-view images and multichannel electroencephalography (EEG) signals, are often represented by…
This paper introduces a new multivariate convolutional sparse coding based on tensor algebra with a general model enforcing both element-wise sparsity and low-rankness of the activations tensors. By using the CP decomposition, this model…
Low rank approximation is an important tool used in many applications of signal processing and machine learning. Recently, randomized sketching algorithms were proposed to effectively construct low rank approximations and obtain approximate…