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Consider a stationary discrete random process with alphabet size d, which is assumed to be the output process of an unknown stationary Hidden Markov Model (HMM). Given the joint probabilities of finite length strings of the process, we are…
A subspace method is introduced to solve large-scale trace ratio problems. This approach is matrix-free, requiring only the action of the two matrices involved in the trace ratio. At each iteration, a smaller trace ratio problem is…
We provide performance guarantees for a variant of simulation-based policy iteration for controlling Markov decision processes that involves the use of stochastic approximation algorithms along with state-of-the-art techniques that are…
Randomized subspace approximation with "matrix sketching" is an effective approach for constructing approximate partial singular value decompositions (SVDs) of large matrices. The performance of such techniques has been extensively…
The Half-Space Matching (HSM) method has recently been developed as a new method for the solution of 2D scattering problems with complex backgrounds, providing an alternative to Perfectly Matched Layers (PML) or other artificial boundary…
Subspace identification methods (SIMs) have proven to be very useful and numerically robust for building state-space models. While most SIMs are consistent, few if any can achieve the efficiency of the maximum likelihood estimate (MLE).…
Rational approximation appears in many contexts throughout science and engineering, playing a central role in linear systems theory, special function approximation, and many others. There are many existing methods for solving the rational…
An efficient, accurate and reliable approximation of a matrix by one of lower rank is a fundamental task in numerical linear algebra and signal processing applications. In this paper, we introduce a new matrix decomposition approach termed…
Nonlinear dimensionality reduction or, equivalently, the approximation of high-dimensional data using a low-dimensional nonlinear manifold is an active area of research. In this paper, we will present a thematically different approach to…
We analyze statistical features of the ``optimization landscape'' in a random version of one of the simplest constrained optimization problems of the least-square type: finding the best approximation for the solution of an overcomplete…
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed in different ways: either in terms of the value of the…
Subspace identification method (SIM) has been proven to be very useful and numerically robust for estimating state-space models. However, it is in general not believed to be as accurate as the prediction error method (PEM). Conversely, PEM,…
In recent years, various subspace algorithms have been developed to handle large-scale optimization problems. Although existing subspace Newton methods require fewer iterations to converge in practice, the matrix operations and full…
Hankel matrices are an important class of highly-structured matrices, arising across computational mathematics, engineering, and theoretical computer science. It is well-known that positive semidefinite (PSD) Hankel matrices are always…
Distance Geometry Problem (DGP) and Nonlinear Mapping (NLM) are two well established questions: Distance Geometry Problem is about finding a Euclidean realization of an incomplete set of distances in a Euclidean space, whereas Nonlinear…
Matrix completion is about recovering a matrix from its partial revealed entries, and it can often be achieved by exploiting the inherent simplicity or low dimensional structure of the target matrix. For instance, a typical notion of matrix…
We consider the problem of approximating a given matrix by a low-rank matrix so as to minimize the entrywise $\ell_p$-approximation error, for any $p \geq 1$; the case $p = 2$ is the classical SVD problem. We obtain the first provably good…
Eigensystem Realization Algorithm (ERA) is a data-driven approach for subspace system identification and is widely used in many areas of engineering. However, the computational cost of the ERA is dominated by a step that involves the…
We present a unified theoretical framework for parametric low-rank approximation, a research area devoted to the development of efficient algorithms that act as adaptive alternatives of traditional methods such as Singular Value…
In this paper, we consider the problem of minimizing a smooth objective over multiple rank constraints on Hankel-structured matrices. This kind of problems arises in system identification, system theory and signal processing, where the rank…