Related papers: A Note On The Randomized Kaczmarz Method With A Pa…

We propose a computationally intensive method, the random lasso method, for variable selection in linear models. The method consists of two major steps. In step 1, the lasso method is applied to many bootstrap samples, each using a set of…

In this paper we analyse the Kaczmarz projection algorithm with remotest set control of projection indices. According to this procedure, in each iteration the projection index is one which gives the maximal absolute value of the…

The Extended Randomized Kaczmarz method is a well known iterative scheme which can find the Moore-Penrose inverse solution of a possibly inconsistent linear system and requires only one additional column of the system matrix in each…

This work proposes a novel adaptive linearized alternating direction multiplier method (LADMM) to convex optimization, which improves the convergence rate of the LADMM-based algorithm by adjusting step-size iteratively.The innovation of…

We analyze convergence rates of stochastic optimization procedures for non-smooth convex optimization problems. By combining randomized smoothing techniques with accelerated gradient methods, we obtain convergence rates of stochastic…

This paper studies the effect of adding geometrically smoothed momentum to the randomized Kaczmarz algorithm, which is an instance of stochastic gradient descent on a linear least squares loss function. We prove a result about the expected…

We extend results known for the randomized Gauss-Seidel and the Gauss-Southwell methods for the case of a Hermitian and positive definite matrix to certain classes of non-Hermitian matrices. We obtain convergence results for a whole range…

The randomized extended Kaczmarz and Gauss-Seidel algorithms have attracted much attention because of their ability to treat all types of linear systems (consistent or inconsistent, full rank or rank-deficient). In this paper, we interpret…

We propose iterative projection methods for solving square or rectangular consistent linear systems Ax = b. Existing projection methods use sketching matrices (possibly randomized) to generate a sequence of small projected subproblems, but…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

We show that several versions of Floyd and Rivest's algorithm Select for finding the $k$th smallest of $n$ elements require at most $n+\min\{k,n-k\}+o(n)$ comparisons on average and with high probability. This rectifies the analysis of…

The Nystrom method has been popular for generating the low-rank approximation of kernel matrices that arise in many machine learning problems. The approximation quality of the Nystrom method depends crucially on the number of selected…

Randomized iterative methods, such as the Kaczmarz method and its variants, have gained growing attention due to their simplicity and efficiency in solving large-scale linear systems. Meanwhile, absolute value equations (AVE) have attracted…

This paper studies a method, which has been proposed in the Physics literature by [8, 7, 10], for estimating the quasi-stationary distribution. In contrast to existing methods in eigenvector estimation, the method eliminates the need for…

Consider convex optimization problems subject to a large number of constraints. We focus on stochastic problems in which the objective takes the form of expected values and the feasible set is the intersection of a large number of convex…

Piecewise deterministic Markov processes (PDMPs) are a class of continuous-time Markov processes that were recently used to develop a new class of Markov chain Monte Carlo algorithms. However, the implementation of the processes is…

We consider the problem of minimizing a sum of $n$ functions over a convex parameter set $\mathcal{C} \subset \mathbb{R}^p$ where $n\gg p\gg 1$. In this regime, algorithms which utilize sub-sampling techniques are known to be effective. In…

Covariate adjustment can improve precision in analyzing randomized experiments. With fully observed data, regression adjustment and propensity score weighting are asymptotically equivalent in improving efficiency over unadjusted analysis.…

Non-convex Machine Learning problems typically do not adhere to the standard smoothness assumption. Based on empirical findings, Zhang et al. (2020b) proposed a more realistic generalized $(L_0, L_1)$-smoothness assumption, though it…

We show that several versions of Floyd and Rivest's algorithm Select for finding the $k$th smallest of $n$ elements require at most $n+\min\{k,n-k\}+o(n)$ comparisons on average and with high probability. This rectifies the analysis of…