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Several recent randomized linear algebra algorithms rely upon fast dimension reduction methods. A popular choice is the Subsampled Randomized Hadamard Transform (SRHT). In this article, we address the efficacy, in the Frobenius and spectral…
Bayesian methods constitute a popular approach for estimating the conditional independence structure in Gaussian graphical models, since they can quantify the uncertainty through the posterior distribution. Inference in this framework is…
In the Markov paging model, one assumes that page requests are drawn from a Markov chain over the pages in memory, and the goal is to maintain a fast cache that suffers few page faults in expectation. While computing the optimal online…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
Hidden Markov models (HMMs) are probabilistic functions of finite Markov chains, or, put in other words, state space models with finite state space. In this paper, we examine subspace estimation methods for HMMs whose output lies a finite…
The so-called block-term decomposition (BTD) tensor model, especially in its rank-$(L_r,L_r,1)$ version, has been recently receiving increasing attention due to its enhanced ability of representing systems and signals that are composed of…
We study the worst-case communication complexity of distributed algorithms computing a path problem based on stationary distributions of random walks in a network $G$ with the caveat that $G$ is also the communication network. The problem…
Rao and Teh (2013) introduced an efficient MCMC algorithm for sampling from the posterior distribution of a hidden Markov jump process. The algorithm is based on the idea of sampling virtual jumps. In the present paper we show that the…
Hidden semi-Markov models (HSMMs) are latent variable models which allow latent state persistence and can be viewed as a generalization of the popular hidden Markov models (HMMs). In this paper, we introduce a novel spectral algorithm to…
Hidden Markov Model (HMM) combined with Gaussian Process (GP) emission can be effectively used to estimate the hidden state with a sequence of complex input-output relational observations. Especially when the spectral mixture (SM) kernel is…
In this paper we consider a recently developed distributed optimization algorithm based on gradient tracking. We propose a system theory framework to analyze its structural properties on a preliminary, quadratic optimization set-up.…
We consider integer-valued GARCH processes, where the count variable conditioned on past values of the count and state variables follows a so-called Skellam distribution. Using arguments for contractive Markov chains we prove that the…
The theory of spectral filtering is a remarkable tool to understand the statistical properties of learning with kernels. For least squares, it allows to derive various regularization schemes that yield faster convergence rates of the excess…
We here consider the subset simulation method which approaches a failure event using a decreasing sequence of nested intermediate failure events. The method resembles importance sampling, which actively explores a probability space by…
The Markov chain Monte Carlo method (MCMC), especially the Metropolis-Hastings (MH) algorithm, is a widely used technique for sampling from a target probability distribution $P$ on a state space $\Omega$ and applied to various problems such…
The recursion equation analysis of Grover's quantum search algorithm presented by Biham et al. [PRA 60, 2742 (1999)] is generalized. It is applied to the large class of Grover's type algorithms in which the Hadamard transform is replaced by…
The goals of this paper are to show the following. First, Grover's algorithm can be viewed as a digital approximation to the analog quantum algorithm proposed in "An Analog Analogue of a Digital Quantum Computation", by E. Farhi and S.…
Markov chains are one of the well-known tools for modeling and analyzing stochastic systems. At the same time, they are used for constructing random walks that can achieve a given stationary distribution. This paper is concerned with…
We propose two variants of the Primal Dual Hybrid Gradient (PDHG) algorithm for saddle point problems with block decomposable duals, hereafter called Multi-Timescale PDHG (MT-PDHG) and its accelerated variant (AMT-PDHG). Through novel…
We consider the problem of approximating the stationary distribution of an ergodic Markov chain given a set of sampled transitions. Classical simulation-based approaches assume access to the underlying process so that trajectories of…