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An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
We study high-dimensional covariance/precision matrix estimation under the assumption that the covariance/precision matrix can be decomposed into a low-rank component L and a diagonal component D. The rank of L can either be chosen to be…
Latent variable models are powerful tools for modeling complex phenomena involving in particular partially observed data, unobserved variables or underlying complex unknown structures. Inference is often difficult due to the latent…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
This paper takes a different approach for the distributed linear parameter estimation over a multi-agent network. The parameter vector is considered to be stochastic with a Gaussian distribution. The sensor measurements at each agent are…
This paper studies the problem of estimating a large coefficient matrix in a multiple response linear regression model when the coefficient matrix could be both of low rank and sparse in the sense that most nonzero entries concentrate on a…
Estimation of parameters is a crucial part of model development. When models are deterministic, one can minimise the fitting error; for stochastic systems one must be more careful. Broadly parameterisation methods for stochastic dynamical…
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…
We propose novel randomized optimization methods for high-dimensional convex problems based on restrictions of variables to random subspaces. We consider oblivious and data-adaptive subspaces and study their approximation properties via…
In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…
Stochastic gradient descent (SGD) and projected stochastic gradient descent (PSGD) are scalable algorithms to compute model parameters in unconstrained and constrained optimization problems. In comparison with SGD, PSGD forces its iterative…
Optimal experimental design is a well studied field in applied science and engineering. Techniques for estimating such a design are commonly used within the framework of parameter estimation. Nonetheless, in recent years parameter…
Stochastic nonlinear dynamical systems are ubiquitous in modern, real-world applications. Yet, estimating the unknown parameters of stochastic, nonlinear dynamical models remains a challenging problem. The majority of existing methods…
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The…
Machine learning provides algorithms that can learn from data and make inferences or predictions on data. Stochastic acceptors or probabilistic automata are stochastic automata without output that can model components in machine learning…
This paper introduces a novel error estimator for the Proper Generalized Decomposition (PGD) approximation of parametrized equations. The estimator is intrinsically random: It builds on concentration inequalities of Gaussian maps and an…
We present a new adaptive algorithm for learning discrete distributions under distribution drift. In this setting, we observe a sequence of independent samples from a discrete distribution that is changing over time, and the goal is to…
Latent variable models have been playing a central role in psychometrics and related fields. In many modern applications, the inference based on latent variable models involves one or several of the following features: (1) the presence of…