Related papers: Optimising two-block averaging kernels to speed up…

We study additive mixtures of Markov kernels of the form $A_\alpha = \alpha P + (1-\alpha)G$, where $\alpha \in [0,1]$, $P$ is a baseline sampler and $G$ is a Gibbs kernel induced by a partition of the state space. We first motivate the…

Obtaining an accurate estimate of the underlying covariance matrix from finite sample size data is challenging due to sample size noise. In recent years, sophisticated covariance-cleaning techniques based on random matrix theory have been…

Last decade witnesses significant methodological and theoretical advances in estimating large precision matrices. In particular, there are scientific applications such as longitudinal data, meteorology and spectroscopy in which the ordering…

We study the problem of clustering $T$ trajectories of length $H$, each generated by one of K unknown ergodic Markov chains over a finite state space of size $S$. We derive an instance-dependent, high-probability lower bound on the…

In this paper, we present a method for reducing a regular, discrete-time Markov chain (DTMC) to another DTMC with a given, typically much smaller number of states. The cost of reduction is defined as the Kullback-Leibler divergence rate…

Although spatial information of images usually enhance the robustness of the Fuzzy C-Means (FCM) algorithm, it greatly increases the computational costs for image segmentation. To achieve a sound trade-off between the segmentation…

We aim at the construction of a Hidden Markov Model (HMM) of assigned complexity (number of states of the underlying Markov chain) which best approximates, in Kullback-Leibler divergence rate, a given stationary process. We establish, under…

This paper deals with a method for the approximation of a spectral density function among the solutions of a generalized moment problem a` la Byrnes/Georgiou/Lindquist. The approximation is pursued with respect to the Kullback-Leibler…

We study group-averaged Markov chains obtained by augmenting a $\pi$-stationary transition kernel $P$ with a group action on the state space via orbit kernels. Given a group $\mathcal{G}$ with orbits $(\mathcal{O}_i)_{i=1}^k$, we analyse…

Accelerated algorithms for maximum likelihood image reconstruction are essential for emerging applications such as 3D tomography, dynamic tomographic imaging, and other high dimensional inverse problems. In this paper, we introduce and…

The Kullback-Leibler (KL) divergence plays a central role in probabilistic machine learning, where it commonly serves as the canonical loss function. Optimization in such settings is often performed over the probability simplex, where the…

Multi-block separable convex problems recently received considerable attention. This class of optimization problems minimizes a separable convex objective function with linear constraints. The algorithmic challenges come from the fact that…

We propose a greedy mixture reduction algorithm which is capable of pruning mixture components as well as merging them based on the Kullback-Leibler divergence (KLD). The algorithm is distinct from the well-known Runnalls' KLD based method…

Maximizing the Kullback-Leibler divergence (KLD) is a fundamental problem in waveform design for active sensing and hypothesis testing, as it directly relates to the error exponent of detection probability. However, the associated…

This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statistical upper bounds are provided for the Kullback-Leiber…

A block decomposition method is proposed for minimizing a (possibly non-convex) continuously differentiable function subject to one linear equality constraint and simple bounds on the variables. The proposed method iteratively selects a…

An efficient algorithm for the determination of Bayesian optimal discriminating designs for competing regression models is developed, where the main focus is on models with general distributional assumptions beyond the "classical" case of…

We propose and analyze an accelerated iterative dual diagonal descent algorithm for the solution of linear inverse problems with general regularization and data-fit functions. In particular, we develop an inertial approach of which we…

We study the maximum likelihood estimator of density of $n$ independent observations, under the assumption that it is well approximated by a mixture with a large number of components. The main focus is on statistical properties with respect…

We consider model-based reinforcement learning in finite Markov De- cision Processes (MDPs), focussing on so-called optimistic strategies. In MDPs, optimism can be implemented by carrying out extended value it- erations under a constraint…