Related papers: Generalized Stochastic Approximation of the Log-Li…
We present a computationally efficient online kernel Cumulative Sum (CUSUM) method for change-point detection that utilizes the maximum over a set of kernel statistics to account for the unknown change-point location. Our approach exhibits…
Classifying sequential data as early and as accurately as possible is a challenging yet critical problem, especially when a sampling cost is high. One algorithm that achieves this goal is the sequential probability ratio test (SPRT), which…
In the Gaussian sequence model $Y=\mu+\xi$, we study the likelihood ratio test (LRT) for testing $H_0: \mu=\mu_0$ versus $H_1: \mu \in K$, where $\mu_0 \in K$, and $K$ is a closed convex set in $\mathbb{R}^n$. In particular, we show that…
The LogSumExp function, dual to the Kullback-Leibler (KL) divergence, plays a central role in many important optimization problems, including entropy-regularized optimal transport (OT) and distributionally robust optimization (DRO). In…
The stochastic block model is one of the most studied network models for community detection. It is well-known that most algorithms proposed for fitting the stochastic block model likelihood function cannot scale to large-scale networks.…
We study sequential change-point detection for spatio-temporal point processes, where actionable detection requires not only identifying when a distributional change occurs but also localizing where it manifests in space. While classical…
In this paper, we introduce a new approach to proving the convergence of the Stochastic Approximation (SA) and the Stochastic Gradient Descent (SGD) algorithms. The new approach is based on a concept called GSLLN (Generalized Strong Law of…
We study the problem of robustly estimating the mean or location parameter without moment assumptions. We show that for a large class of symmetric distributions, the same error as in the Gaussian setting can be achieved efficiently. The…
We study the {\em robust proper learning} of univariate log-concave distributions (over continuous and discrete domains). Given a set of samples drawn from an unknown target distribution, we want to compute a log-concave hypothesis…
We study fast algorithms for statistical regression problems under the strong contamination model, where the goal is to approximately optimize a generalized linear model (GLM) given adversarially corrupted samples. Prior works in this line…
The Robbins-Monro stochastic approximation algorithm is a foundation of many algorithmic frameworks for reinforcement learning (RL), and often an efficient approach to solving (or approximating the solution to) complex optimal control…
The challenges posed by complex stochastic models used in computational ecology, biology and genetics have stimulated the development of approximate approaches to statistical inference. Here we focus on Synthetic Likelihood (SL), a…
Stochastic proximal point methods have recently garnered renewed attention within the optimization community, primarily due to their desirable theoretical properties. Notably, these methods exhibit a convergence rate that is independent of…
Distributional Reinforcement Learning (RL) estimates return distribution mainly by learning quantile values via minimizing the quantile Huber loss function, entailing a threshold parameter often selected heuristically or via hyperparameter…
We derive analytically an exact closed-form formula for the standard minimax Average Run Length (ARL) to false alarm delivered by the Generalized Shiryaev-Roberts (GSR) change-point detection procedure devised to detect a shift in the…
We study estimation in the low signal-to-noise ratio (SNR) regime for a broad class of Gaussian latent-variable models, including Gaussian mixtures and orbit recovery problems. We show that, in this regime, the generalized method-of-moments…
A new probability distribution to study lifetime data in reliability is introduced in this paper. This one is a first approach to a non-homogeneous phase-type distribution. It is built by considering one cut-point in the non-negative…
In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution $f_{\theta}$ and tries to minimize the detection delay for every possible post-change…
Few-shot learning is a rapidly evolving area of research in machine learning where the goal is to classify unlabeled data with only one or "a few" labeled exemplary samples. Neural networks are typically trained to minimize a distance…
Large Language Models (LLMs) are increasingly employed in real-world applications, driving the need to evaluate the trustworthiness of their generated text. To this end, reliable uncertainty estimation is essential. Leading uncertainty…