相关论文: Estimating Large Precision Matrices via Modified C…

Logarithms of determinants of large positive definite matrices appear ubiquitously in machine learning applications including Gaussian graphical and Gaussian process models, partition functions of discrete graphical models, minimum-volume…

Estimating the clutter-plus-noise covariance matrix in high-dimensional STAP is challenging in the presence of Internal Clutter Motion (ICM) and a high noise floor. The problem becomes more difficult in low-sample regimes, where the Sample…

Low-rank approximations of large kernel matrices are ubiquitous in machine learning, particularly for scaling Gaussian Processes to massive datasets. The Pivoted Cholesky decomposition is a standard tool for this task, offering a…

In the present article, we introduce the relativistic Cholesky-decomposed density (CDD) matrix second-order M{\o}ller-Plesset perturbation theory (MP2) energies. The working equations are formulated in terms of the usual intermediates of…

We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a convex optimization problem, is equivalently expressed as an…

We present a method to approximate Gaussian process regression models for large datasets by considering only a subset of the data. Our approach is novel in that the size of the subset is selected on the fly during exact inference with…

Precision matrix is of significant importance in a wide range of applications in multivariate analysis. This paper considers adaptive minimax estimation of sparse precision matrices in the high dimensional setting. Optimal rates of…

We consider estimating the population covariance matrix when the number of available samples is less than the size of the observations. The sample covariance matrix (SCM) being singular, regularization is mandatory in this case. For this…

The low-rank matrix approximation problem is ubiquitous in computational mathematics. Traditionally, this problem is solved in spectral or Frobenius norms, where the accuracy of the approximation is related to the rate of decrease of the…

Generalized linear mixed models (GLMMs) are a widely used tool in statistical analysis. The main bottleneck of many computational approaches lies in the inversion of the high dimensional precision matrices associated with the random…

We develop a framework that we call compressive rate estimation. We assume that the composite channel gain matrix (i.e. the matrix of all channel gains between all network nodes) is compressible which means it can be approximated by a…

In this paper, we concentrate on the backward error and condition number of the indefinite least squares problem. For the normwise backward error of the indefinite least square problem, we adopt the linearization method to derive the tight…

The high computational cost involved in modeling of the progressive fracture simulations using large discrete lattice networks stems from the requirement to solve {\it a new large set of linear equations} every time a new lattice bond is…

The problem of adaptive noisy clustering is investigated. Given a set of noisy observations $Z_i=X_i+\epsilon_i$, $i=1,...,n$, the goal is to design clusters associated with the law of $X_i$'s, with unknown density $f$ with respect to the…

We a present and analyze rpCholesky-QR, a randomized preconditioned Cholesky-QR algorithm for computing the thin QR factorization of real mxn matrices with rank n. rpCholesky-QR has a low orthogonalization error, a residual on the order of…

For a multivariate normal set up, it is well known that the maximum likelihood estimator of covariance matrix is neither admissible nor minimax under the Stein loss function. For the past six decades, a bunch of researches have followed…

We propose to compute a sparse approximate inverse Cholesky factor $L$ of a dense covariance matrix $\Theta$ by minimizing the Kullback-Leibler divergence between the Gaussian distributions $\mathcal{N}(0, \Theta)$ and $\mathcal{N}(0,…

In this paper, we consider the estimation of a change-point for possibly high-dimensional data in a Gaussian model, using a k-means method. We prove that, up to a logarithmic term, this change-point estimator has a minimax rate of…

A new approach for estimating the Decoding Error-Probability (DEP) of LT codes with dense rows is derived by using the conditional Kovalenko's rank distribution. The estimate by the proposed approach is very close to the DEP approximated by…

In this paper, we establish explicit convergence rates for the stochastic smooth approximations of infimal convolutions introduced and developed in \cite{MR4581306,MR4923371}. In particular, we quantify the convergence of the associated…