Related papers: Low-Rank Tensors for Multi-Dimensional Markov Mode…

The groundbreaking performance of deep neural networks (NNs) promoted a surge of interest in providing a mathematical basis to deep learning theory. Low-rank tensor decompositions are specially befitting for this task due to their close…

Tensor train decomposition is a powerful tool for dealing with high-dimensional, large-scale tensor data, which is not suffering from the curse of dimensionality. To accelerate the calculation of the auxiliary unfolding matrix, some…

The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to…

This paper describes a new algorithm for computing a low-Tucker-rank approximation of a tensor. The method applies a randomized linear map to the tensor to obtain a sketch that captures the important directions within each mode, as well as…

In this paper, we introduce and analyze a new low-rank multilevel strategy for the solution of random diffusion problems. Using a standard stochastic collocation scheme, we first approximate the infinite dimensional random problem by a…

Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement…

We introduce a dynamical low-rank method to reduce the computational complexity for solving the multi-scale multi-dimensional linear transport equation. The method is based on a macro-micro decomposition of the equation. The proposed…

An important problem in time-series analysis is modeling systems with time-varying dynamics. Probabilistic models with joint continuous and discrete latent states offer interpretable, efficient, and experimentally useful descriptions of…

Effective non-parametric density estimation is a key challenge in high-dimensional multivariate data analysis. In this paper,we propose a novel approach that builds upon tensor factorization tools. Any multivariate density can be…

In this paper, we propose a novel model to recover a low-rank tensor by simultaneously performing double nuclear norm regularized low-rank matrix factorizations to the all-mode matricizations of the underlying tensor. An block successive…

Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…

Learning generative probabilistic models is a core problem in machine learning, which presents significant challenges due to the curse of dimensionality. This paper proposes a joint dimensionality reduction and non-parametric density…

The minimum realization problem of hidden Markov models (HMM's) is a fundamental question of stationary discrete-time processes with a finite alphabet. It was shown in the literature that tensor decomposition methods give the hidden Markov…

Low-rank tensor sensing is a fundamental problem with broad applications in signal processing and machine learning. Among various tensor models, low-Tucker-rank tensors are particularly attractive for capturing multi-mode subspace…

Often, large, high dimensional datasets collected across multiple modalities can be organized as a higher order tensor. Low-rank tensor decomposition then arises as a powerful and widely used tool to discover simple low dimensional…

This paper develops a low-nonnegative-rank approximation method to identify the state aggregation structure of a finite-state Markov chain under an assumption that the state space can be mapped into a handful of meta-states. The number of…

In the low-rank matrix completion (LRMC) problem, the low-rank assumption means that the columns (or rows) of the matrix to be completed are points on a low-dimensional linear algebraic variety. This paper extends this thinking to cases…

This paper studies a tensor-structured linear regression model with a scalar response variable and tensor-structured predictors, such that the regression parameters form a tensor of order $d$ (i.e., a $d$-fold multiway array) in…

Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately…

In this paper, we introduce a method for multivariate function approximation using function evaluations, Chebyshev polynomials, and tensor-based compression techniques via the Tucker format. We develop novel randomized techniques to…