Related papers: Estimation of spectral gaps for sparse symmetric m…
The problem of estimating a sparse channel, i.e. a channel with a few non-zero taps, appears in various areas of communications. Recently, we have developed an algorithm based on iterative alternating minimization which iteratively detects…
We analyze the Lanczos method for matrix function approximation (Lanczos-FA), an iterative algorithm for computing $f(\mathbf{A}) \mathbf{b}$ when $\mathbf{A}$ is a Hermitian matrix and $\mathbf{b}$ is a given vector. Assuming that $f :…
Efficient matrix trace estimation is essential for scalable computation of log-determinants, matrix norms, and distributional divergences. In many large-scale applications, the matrices involved are too large to store or access in full,…
We study the algorithmic problem of estimating the mean of heavy-tailed random vector in $\mathbb{R}^d$, given $n$ i.i.d. samples. The goal is to design an efficient estimator that attains the optimal sub-gaussian error bound, only assuming…
The performance of spectral clustering heavily relies on the quality of affinity matrix. A variety of affinity-matrix-construction (AMC) methods have been proposed but they have hyperparameters to determine beforehand, which requires strong…
An outstanding problem when computing a function of a matrix, $f(A)$, by using a Krylov method is to accurately estimate errors when convergence is slow. Apart from the case of the exponential function which has been extensively studied in…
The Graphical Lasso (GLasso) algorithm is fast and widely used for estimating sparse precision matrices (Friedman et al., 2008). Its central role in the literature of high-dimensional covariance estimation rivals that of Lasso regression…
In an era of unprecedented deluge of (mostly unstructured) data, graphs are proving more and more useful, across the sciences, as a flexible abstraction to capture complex relationships between complex objects. One of the main challenges…
In Bayesian inverse problems, it is common to consider several hyperparameters that define the prior and the noise model that must be estimated from the data. In particular, we are interested in linear inverse problems with additive…
In physics, it is sometimes desirable to compute the so-called \emph{Density Of States} (DOS), also known as the \emph{spectral density}, of a real symmetric matrix $A$. The spectral density can be viewed as a probability density…
The computation of approximating e^tA B, where A is a large sparse matrix and B is a rectangular matrix, serves as a crucial element in numerous scientific and engineering calculations. A powerful way to consider this problem is to use…
This paper addresses the problem of identifying sparse linear time-invariant (LTI) systems from a single sample trajectory generated by the system dynamics. We introduce a Lasso-like estimator for the parameters of the system, taking into…
Spectral clustering is a novel clustering method which can detect complex shapes of data clusters. However, it requires the eigen decomposition of the graph Laplacian matrix, which is proportion to $O(n^3)$ and thus is not suitable for…
State-of-the-art algorithms for sparse subspace clustering perform spectral clustering on a similarity matrix typically obtained by representing each data point as a sparse combination of other points using either basis pursuit (BP) or…
We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process. Our solution is scalable for both dense and sparse graphs and automatically selects the…
We analyze a random projection method for adjacency matrices, studying its utility in representing sparse graphs. We show that these random projections retain the functionality of their underlying adjacency matrices while having extra…
We present a new trace estimator of the matrix whose explicit form is not given but its matrix multiplication to a vector is available. The form of the estimator is similar to the Hutchison stochastic trace estimator, but instead of the…
For real symmetric matrices that are accessible only through matrix vector products, we present Monte Carlo estimators for computing the diagonal elements. Our probabilistic bounds for normwise absolute and relative errors apply to Monte…
The implicit trace estimation problem asks for an approximation of the trace of a square matrix, accessed via matrix-vector products (matvecs). This paper designs new randomized algorithms, XTrace and XNysTrace, for the trace estimation…
Line spectral estimation theory aims to estimate the off-the-grid spectral components of a time signal with optimal precision. Recent results have shown that it is possible to recover signals having sparse line spectra from few temporal…