相关论文: Sparse inverse covariance estimation with the lass…

This paper addresses the problem of identifying sparse linear time-invariant (LTI) systems from a single sample trajectory generated by the system dynamics. We introduce a Lasso-like estimator for the parameters of the system, taking into…

Gaussian graphical models are of great interest in statistical learning. Because the conditional independencies between different nodes correspond to zero entries in the inverse covariance matrix of the Gaussian distribution, one can learn…

The Lasso is one of the most important approaches for parameter estimation and variable selection in high dimensional linear regression. At the heart of its success is the attractive rate of convergence result even when $p$, the dimension…

We formulate the sparse classification problem of $n$ samples with $p$ features as a binary convex optimization problem and propose a cutting-plane algorithm to solve it exactly. For sparse logistic regression and sparse SVM, our algorithm…

This paper studies the problem of estimating a large coefficient matrix in a multiple response linear regression model when the coefficient matrix could be both of low rank and sparse in the sense that most nonzero entries concentrate on a…

This work addresses the issue of large covariance matrix estimation in high-dimensional statistical analysis. Recently, improved iterative algorithms with positive-definite guarantee have been developed. However, these algorithms cannot be…

In this paper we consider the task of estimating the non-zero pattern of the sparse inverse covariance matrix of a zero-mean Gaussian random vector from a set of iid samples. Note that this is also equivalent to recovering the underlying…

Inferring network structures remains an interesting question for its importance on the understanding and controlling collective dynamics of complex systems. The existing shrinking methods such as Lasso-type estimation can not suitably…

We consider the problem of estimating a sparse precision matrix of a multivariate Gaussian distribution, including the case where the dimension $p$ is large. Gaussian graphical models provide an important tool in describing conditional…

We propose an l1-regularized likelihood method for estimating the inverse covariance matrix in the high-dimensional multivariate normal model in presence of missing data. Our method is based on the assumption that the data are missing at…

The estimation of a precision matrix is a crucial problem in various research fields, particularly when working with high dimensional data. In such settings, the most common approach is to use the penalized maximum likelihood. The…

Scaled sparse linear regression jointly estimates the regression coefficients and noise level in a linear model. It chooses an equilibrium with a sparse regression method by iteratively estimating the noise level via the mean residual…

We compare alternative computing strategies for solving the constrained lasso problem. As its name suggests, the constrained lasso extends the widely-used lasso to handle linear constraints, which allow the user to incorporate prior…

The effectiveness of using model sparsity as a priori information when solving linear inverse problems is studied. We investigate the reconstruction quality of such a method in the non-idealized case and compute some typical recovery errors…

Estimation of the precision matrix (or inverse covariance matrix) is of great importance in statistical data analysis and machine learning. However, as the number of parameters scales quadratically with the dimension $p$, computation…

In distributed systems, communication is a major concern due to issues such as its vulnerability or efficiency. In this paper, we are interested in estimating sparse inverse covariance matrices when samples are distributed into different…

We present the framework of slowly varying regression under sparsity, allowing sparse regression models to exhibit slow and sparse variations. The problem of parameter estimation is formulated as a mixed-integer optimization problem. We…

We consider a problem of estimating a sparse group of sparse normal mean vectors. The proposed approach is based on penalized likelihood estimation with complexity penalties on the number of nonzero mean vectors and the numbers of their…

Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (SCR) approach to handle the potentially high-dimensional…

High dimensional covariance estimation and graphical models is a contemporary topic in statistics and machine learning having widespread applications. An important line of research in this regard is to shrink the extreme spectrum of the…