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Generalized Fourier series with orthogonal polynomial bases have useful applications in several fields, including differential equations, pattern recognition, and image and signal processing. However, computing the generalized Fourier…
In this paper we discuss an application of Stochastic Approximation to statistical estimation of high-dimensional sparse parameters. The proposed solution reduces to resolving a penalized stochastic optimization problem on each stage of a…
Sparse graphs built by sparse representation has been demonstrated to be effective in clustering high-dimensional data. Albeit the compelling empirical performance, the vanilla sparse graph ignores the geometric information of the data by…
Gaussianization is a simple generative model that can be trained without backpropagation. It has shown compelling performance on low dimensional data. As the dimension increases, however, it has been observed that the convergence speed…
In recent years, the use of sparse recovery techniques in the approximation of high-dimensional functions has garnered increasing interest. In this work we present a survey of recent progress in this emerging topic. Our main focus is on the…
The bilateral filter is an edge-preserving smoother that has diverse applications in image processing, computer vision, computer graphics, and computational photography. The filter uses a spatial kernel along with a range kernel to perform…
The bilateral filter is a non-linear filter that uses a range filter along with a spatial filter to perform edge-preserving smoothing of images. A direct computation of the bilateral filter requires $O(S)$ operations per pixel, where $S$ is…
This paper proposes a novel scheme for reduced-rank Gaussian process regression. The method is based on an approximate series expansion of the covariance function in terms of an eigenfunction expansion of the Laplace operator in a compact…
Popular machine learning estimators involve regularization parameters that can be challenging to tune, and standard strategies rely on grid search for this task. In this paper, we revisit the techniques of approximating the regularization…
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…
Sparse variational approximations allow for principled and scalable inference in Gaussian Process (GP) models. In settings where several GPs are part of the generative model, theses GPs are a posteriori coupled. For many applications such…
This paper investigates the numerical approximation of integrals for functions in fractional Gaussian Sobolev spaces $W^s_{p}(\mathbb{R}^d,\gamma)$ with dominating mixed smoothness defined via kernel related to the fractional…
In this paper, we utilize stochastic optimization to reduce the space complexity of convex composite optimization with a nuclear norm regularizer, where the variable is a matrix of size $m \times n$. By constructing a low-rank estimate of…
This paper proposes a thorough theoretical analysis of Stochastic Gradient Descent (SGD) with non-increasing step sizes. First, we show that the recursion defining SGD can be provably approximated by solutions of a time inhomogeneous…
The problem of optimal precision switching for the conjugate gradient (CG) method applied to sparse linear systems is considered. A sparse matrix is defined as an $n\!\times\!n$ matrix with $m\!=\!O(n)$ nonzero entries. The algorithm first…
We consider in this work small random perturbations (of multiplicative noise type) of the gradient flow. We prove that under mild conditions, when the potential function is a Morse function with additional strong saddle condition, the…
Point-mass filters solve Bayesian recursive relations by approximating probability density functions of a system state over grids of discrete points. The approach suffers from the curse of dimensionality. The exponential increase of the…
Stochastic optimization algorithms update models with cheap per-iteration costs sequentially, which makes them amenable for large-scale data analysis. Such algorithms have been widely studied for structured sparse models where the sparsity…
Many modern data analysis algorithms either assume that or are considerably more efficient if the distances between the data points satisfy a metric. These algorithms include metric learning, clustering, and dimensionality reduction.…
Motivated by small bandwidth asymptotics for kernel-based semiparametric estimators in econometrics, this paper establishes Gaussian approximation results for high-dimensional fixed-order $U$-statistics whose kernels depend on the sample…