Related papers: Highly Adaptive Principal Component Regression

Conformal prediction is a general method that converts almost any point predictor to a prediction set. The resulting set keeps good statistical properties of the original estimator under standard assumptions, and guarantees valid average…

We provide a novel -- and to the best of our knowledge, the first -- algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse…

A new generalized multilinear regression model, termed the Higher-Order Partial Least Squares (HOPLS), is introduced with the aim to predict a tensor (multiway array) $\tensor{Y}$ from a tensor $\tensor{X}$ through projecting the data onto…

The linear primal-dual hybrid gradient (PDHG) method is a first-order method that splits convex optimization problems with saddle-point structure into smaller subproblems. Unlike those obtained in most splitting methods, these subproblems…

Models of sensory processing and learning in the cortex need to efficiently assign credit to synapses in all areas. In deep learning, a known solution is error backpropagation, which however requires biologically implausible weight…

Varying coefficient regression is a flexible technique for modeling data where the coefficients are functions of some effect-modifying parameter, often time or location in a certain domain. While there are a number of methods for variable…

Across a variety of scientific disciplines, sparse inverse covariance estimation is a popular tool for capturing the underlying dependency relationships in multivariate data. Unfortunately, most estimators are not scalable enough to handle…

We study low-rank matrix regression in settings where matrix-valued predictors and scalar responses are observed across multiple individuals. Rather than assuming a fully homogeneous coefficient matrices across individuals, we accommodate…

The recent surge in large-scale foundation models has spurred the development of efficient methods for adapting these models to various downstream tasks. Low-rank adaptation methods, such as LoRA, have gained significant attention due to…

Penalized (or regularized) regression, as represented by Lasso and its variants, has become a standard technique for analyzing high-dimensional data when the number of variables substantially exceeds the sample size. The performance of…

Variable selection in linear models plays a pivotal role in modern statistics. Hard-thresholding methods such as $l_0$ regularization are theoretically ideal but computationally infeasible. In this paper, we propose a new approach, called…

The Primal-Dual hybrid gradient (PDHG) method is a powerful optimization scheme that breaks complex problems into simple sub-steps. Unfortunately, PDHG methods require the user to choose stepsize parameters, and the speed of convergence is…

We extend our previous work on a semi-Lagrangian adaptive rank (SLAR) integrator, in the finite difference framework for nonlinear Vlasov-Poisson systems, to the general high-order tensor setting. The proposed scheme retains the high-order…

While Weighted Lasso sparse regression has appealing statistical guarantees that would entail a major real-world impact in finance, genomics, and brain imaging applications, it is typically scarcely adopted due to its complex…

The success of the Lasso in the era of high-dimensional data can be attributed to its conducting an implicit model selection, i.e., zeroing out regression coefficients that are not significant. By contrast, classical ridge regression can…

We propose a novel adaptive learning algorithm based on iterative orthogonal projections in the Cartesian product of multiple reproducing kernel Hilbert spaces (RKHSs). The task is estimating/tracking nonlinear functions which are supposed…

One of the main problems studied in statistics is the fitting of models. Ideally, we would like to explain a large dataset with as few parameters as possible. There have been numerous attempts at automatizing this process. Most notably, the…

We propose a new method for statistical inference in generalized linear models. In the overparameterized regime, Principal Component Regression (PCR) reduces variance by projecting high-dimensional data to a low-dimensional principal…

Sparse linear regression methods such as Lasso require a tuning parameter that depends on the noise variance, which is typically unknown and difficult to estimate in practice. In the presence of heavy-tailed noise or adversarial outliers,…

We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression. The BaLasso is adaptive to the signal level by adopting different shrinkage for different coefficients. Furthermore, we…