相关论文: Fast stable direct fitting and smoothness selectio…

We study the problem of learning high dimensional regression models regularized by a structured-sparsity-inducing penalty that encodes prior structural information on either input or output sides. We consider two widely adopted types of…

Stochastic Gradient Descent (SGD), a widely used optimization algorithm in deep learning, is often limited to converging to local optima due to the non-convex nature of the problem. Leveraging these local optima to improve model performance…

High-dimensional linear and nonlinear models have been extensively used to identify associations between response and explanatory variables. The variable selection problem is commonly of interest in the presence of massive and complex data.…

In this article, we develop a distributed variable screening method for generalized linear models. This method is designed to handle situations where both the sample size and the number of covariates are large. Specifically, the proposed…

The generalized linear models (GLMs) are widely used in statistical analysis and the related design issues are undoubtedly challenging. The state-of-the-art works mostly apply to design criteria on the estimates of regression coefficients.…

In this article, we introduce a new variable selection technique through trimming for finite mixture of regression models. Compared to the traditional variable selection techniques, the new method is robust and not sensitive to outliers.…

We suggest an adaptive version of a partial linearization method for composite optimization problems. The goal function is the sum of a smooth function and a non necessary smooth convex separable function, whereas the feasible set is the…

We consider a general class of regression models with normally distributed covariates, and the associated nonconvex problem of fitting these models from data. We develop a general recipe for analyzing the convergence of iterative algorithms…

The quality of generalized linear models (GLMs), frequently used by insurance companies, depends on the choice of interacting variables. The search for interactions is time-consuming, especially for data sets with a large number of…

Linear mixed models are able to handle an extraordinary range of complications in regression-type analyses. Their most common use is to account for within-subject correlation in longitudinal data analysis. They are also the standard vehicle…

We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…

The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult to fit. Many approaches, both classical and Bayesian, have…

The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this…

This paper introduces a general method to approximate the convolution of an arbitrary program with a Gaussian kernel. This process has the effect of smoothing out a program. Our compiler framework models intermediate values in the program…

Several methods have been recently proposed for estimating sparse Gaussian graphical models using $\ell_{1}$ regularization on the inverse covariance matrix. Despite recent advances, contemporary applications require methods that are even…

Standard autoregressive seq2seq models are easily trained by max-likelihood, but tend to show poor results under small-data conditions. We introduce a class of seq2seq models, GAMs (Global Autoregressive Models), which combine an…

This paper develops an adaptive proximal alternating direction method of multipliers (ADMM) for solving linearly constrained, composite optimization problems under the assumption that the smooth component of the objective is weakly convex,…

Model averaging is an important alternative to model selection with attractive prediction accuracy. However, its application to high-dimensional data remains under-explored. We propose a high-dimensional model averaging method via…

Generalized additive models (GAMs) are a widely used class of models of interest to statisticians as they provide a flexible way to design interpretable models of data beyond linear models. We here propose a scalable and well-calibrated…

A general method for accelerating fixed point schemes for problems related to partial differential equations is presented in this article. The speedup is obtained by training a reduced-order model on-the-fly, removing the need to do an…