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Sparse linear regression with ill-conditioned Gaussian random designs is widely believed to exhibit a statistical/computational gap, but there is surprisingly little formal evidence for this belief, even in the form of examples that are…
In this paper, we investigate the matrix estimation problem in the multi-response regression model with measurement errors. A nonconvex error-corrected estimator based on a combination of the amended loss function and the nuclear norm…
We consider estimating the predictive density under Kullback-Leibler loss in an $\ell_0$ sparse Gaussian sequence model. Explicit expressions of the first order minimax risk along with its exact constant, asymptotically least favorable…
We study a class of real robust phase retrieval problems under a Gaussian assumption on the coding matrix when the received signal is sparsely corrupted by noise. The goal is to establish conditions on the sparsity under which the input…
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…
For a graph $G$, let $Z(G,\lambda)$ be the partition function of the monomer-dimer system defined by $\sum_k m_k(G)\lambda^k$, where $m_k(G)$ is the number of matchings of size $k$ in $G$. We consider graphs of bounded degree and develop a…
We consider the problem of identifying the support of the block signal in a sequence when both the length and the location of the block signal are unknown. The multivariate version of this problem is also considered, in which we try to…
We present an optimization algorithm that can identify a global minimum of a potentially nonconvex smooth function with high probability, assuming the Gibbs measure of the potential satisfies a logarithmic Sobolev inequality. Our…
We propose an approach to construction of robust non-Euclidean iterative algorithms for convex composite stochastic optimization based on truncation of stochastic gradients. For such algorithms, we establish sub-Gaussian confidence bounds…
We study a version of the randomized Kaczmarz algorithm for solving systems of linear equations where the iterates are confined to the solution space of a selected subsystem. We show that the subspace constraint leads to an accelerated…
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series,…
This paper deals with robust regression and subspace estimation and more precisely with the problem of minimizing a saturated loss function. In particular, we focus on computational complexity issues and show that an exact algorithm with…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
Matrix completion has been well studied under the uniform sampling model and the trace-norm regularized methods perform well both theoretically and numerically in such a setting. However, the uniform sampling model is unrealistic for a…
In high-dimensional multivariate regression problems, enforcing low rank in the coefficient matrix offers effective dimension reduction, which greatly facilitates parameter estimation and model interpretation. However, commonly-used…
High-dimensional matrix regression has been studied in various aspects, such as statistical properties, computational efficiency and application to specific instances including multivariate regression, system identification and matrix…
We consider in this paper the problem of noisy 1-bit matrix completion under a general non-uniform sampling distribution using the max-norm as a convex relaxation for the rank. A max-norm constrained maximum likelihood estimate is…
This paper studies first order methods for solving smooth minimax optimization problems $\min_x \max_y g(x,y)$ where $g(\cdot,\cdot)$ is smooth and $g(x,\cdot)$ is concave for each $x$. In terms of $g(\cdot,y)$, we consider two settings --…
We consider the problem of randomly choosing the sensors of a linear time-invariant dynamical system subject to process and measurement noise. We sample the sensors independently and from the same distribution. We measure the performance of…
We study the support recovery problem for a high-dimensional signal observed with additive noise. With suitable parametrization of the signal sparsity and magnitude of its non-zero components, we characterize a phase-transition phenomenon…