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We study Bayesian linear regression models with skew-symmetric scale mixtures of normal error distributions. These kinds of models can be used to capture departures from the usual assumption of normality of the errors in terms of heavy…
An inexact accelerated stochastic Alternating Direction Method of Multipliers (AS-ADMM) scheme is developed for solving structured separable convex optimization problems with linear constraints. The objective function is the sum of a…
Sparse representation of a single measurement vector (SMV) has been explored in a variety of compressive sensing applications. Recently, SMV models have been extended to solve multiple measurement vectors (MMV) problems, where the…
A new technique for nonparametric regression of multichannel signals is presented. The technique is based on the use of the Rational-Dilation Wavelet Transform (RADWT), equipped with a tunable Q-factor able to provide sparse representations…
Modern statistical applications often involve minimizing an objective function that may be nonsmooth and/or nonconvex. This paper focuses on a broad Bregman-surrogate algorithm framework including the local linear approximation, mirror…
We propose a metric learning paradigm, Regression-based Elastic Metric Learning (REML), which optimizes the elastic metric for geodesic regression on the manifold of discrete curves. Geodesic regression is most accurate when the chosen…
Latent Markov (LM) models represent an important class of models for the analysis of longitudinal data (Bartolucci et. al., 2013), especially when response variables are categorical. These models have a great potential of application for…
We consider the high-dimensional linear regression model and assume that a fraction of the measurements are altered by an adversary with complete knowledge of the data and the underlying distribution. We are interested in a scenario where…
We consider the problem of sparsity-constrained $M$-estimation when both explanatory and response variables have heavy tails (bounded 4-th moments), or a fraction of arbitrary corruptions. We focus on the $k$-sparse, high-dimensional regime…
The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for example, financial time series data, are…
We propose an efficient ADMM method with guarantees for high-dimensional problems. We provide explicit bounds for the sparse optimization problem and the noisy matrix decomposition problem. For sparse optimization, we establish that the…
The Student-$t$ distribution is widely used in statistical modeling of datasets involving outliers since its longer-than-normal tails provide a robust approach to hand such data. Furthermore, data collected over time may contain censored or…
Convex optimization over the spectrahedron, i.e., the set of all real $n\times n$ positive semidefinite matrices with unit trace, has important applications in machine learning, signal processing and statistics, mainly as a convex…
We study stochastic convex optimization subjected to linear equality constraints. Traditional Stochastic Alternating Direction Method of Multipliers and its Nesterov's acceleration scheme can only achieve ergodic O(1/\sqrt{K}) convergence…
Many Markov Chain Monte Carlo (MCMC) methods leverage gradient information of the potential function of target distribution to explore sample space efficiently. However, computing gradients can often be computationally expensive for large…
In this paper, a stochastic alternating direction method of multipliers (ADMM) is proposed for a class of nonsmooth composite and stochastic convex optimization problems in Hilbert space, motivated by optimization problems constrained by…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
Simulated Tempering (ST) is an MCMC algorithm for complex target distributions that operates on a path between the target and a more amenable reference distribution. Crucially, if the reference enables i.i.d. sampling, ST is regenerative…
Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…
We study distributed stochastic convex optimization under the delayed gradient model where the server nodes perform parameter updates, while the worker nodes compute stochastic gradients. We discuss, analyze, and experiment with a setup…