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Standard stochastic optimization methods are brittle, sensitive to stepsize choices and other algorithmic parameters, and they exhibit instability outside of well-behaved families of objectives. To address these challenges, we investigate…
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…
We study the problem of estimating low-rank matrices from linear measurements (a.k.a., matrix sensing) through nonconvex optimization. We propose an efficient stochastic variance reduced gradient descent algorithm to solve a nonconvex…
We explore the performance of a recursive least-squares algorithm to determine the bandwidth $\omega_{12}$ and the detuning $\Delta\omega$ of a superconducting cavity. We base the simulations on parameters of the ESS double-spoke cavities.…
In real-time applications the characteristics and properties of a signal vary inconsistently. So, to maintain the integrity of such signals there is a need for effective adaptive filters. The conventional Least Mean Squared(LMS) algorithm…
Clustering of time series based on their underlying dynamics is keeping attracting researchers due to its impacts on assisting complex system modelling. Most current time series clustering methods handle only scalar time series, treat them…
Many problems in data science can be treated as estimating a low-rank matrix from highly incomplete, sometimes even corrupted, observations. One popular approach is to resort to matrix factorization, where the low-rank matrix factors are…
This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…
Many machine learning and optimization algorithms can be cast as instances of stochastic approximation (SA). The convergence rate of these algorithms is known to be slow, with the optimal mean squared error (MSE) of order $O(n^{-1})$. In…
The evaluation of the path-integral representation for stochastic processes in the weak-noise limit shows that these systems are governed by a set of equations which are those of a classical dynamics. We show that, even when the noise is…
Accurate state estimation requires careful consideration of uncertainty surrounding the process and measurement models; these characteristics are usually not well-known and need an experienced designer to select the covariance matrices. An…
Fractional learning algorithms are trending in signal processing and adaptive filtering recently. However, it is unclear whether the proclaimed superiority over conventional algorithms is well-grounded or is a myth as their performance has…
The hereditary discrepancy of a set system is a certain quantitative measure of the pseudorandom properties of the system. Roughly, hereditary discrepancy measures how well one can $2$-color the elements of the system so that each set…
This paper details how to parameterize the posterior distribution of state-space systems to generate improved optimization problems for system identification using variational inference. Three different parameterizations of the assumed…
Up to date, only lower and upper bounds for the optimal configuration of a Square Array (A2) Group Testing (GT) algorithm are known. We establish exact analytical formulae and provide a couple of applications of our result. First, we…
The main purpose of this article is to prove that, under certain assumptions in a linear prediction setting, optimal methods based upon model reduction and even an optimal predictor can be provided. The optimality is formulated in terms of…
The problem of time series approximation by series of finite rank is considered from the viewpoint of signal extraction. For signal estimation, a weighted least-squares method is applied to the trajectory matrix of the considered time…
Least-squares approximation is one of the most important methods for recovering an unknown function from data. While in many applications the data is fixed, in many others there is substantial freedom to choose where to sample. In this…
Bayesian optimization (BO) developed as an approach for the efficient optimization of expensive black-box functions without gradient information. A typical BO paper introduces a new approach and compares it to some alternatives on simulated…
Stochastic approximation techniques have been used in various contexts in data science. We propose a stochastic version of the forward-backward algorithm for minimizing the sum of two convex functions, one of which is not necessarily…