相关论文: A Convex Approach to Frisch-Kalman Problem

A general framework with a series of different methods is proposed to improve the estimate of convex function (or functional) values when only noisy observations of the true input are available. Technically, our methods catch the bias…

The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…

Reduced rank regression (RRR) is a fundamental tool for modeling multiple responses through low-dimensional latent structures, offering both interpretability and strong predictive performance in high-dimensional settings. Classical RRR…

We develop an efficient and convergent numerical method for solving the inverse problem of determining the potential of nonlinear hyperbolic equations from lateral Cauchy data. In our numerical method we construct a sequence of linear…

We address the problem of blind gain and phase calibration of a sensor array from ambient noise. The key motivation is to ease the calibration process by avoiding a complex procedure setup. We show that computing the sample covariance…

This work is devoted to an inverse problem of identifying a source term depending on both spatial and time variables in a parabolic equation from single Cauchy data on a part of the boundary. A Crank-Nicolson Galerkin method is applied to…

We formulate a recursive estimation problem for multiple dynamical systems coupled through a low dimensional stochastic input, and we propose an efficient sub-optimal solution. The suggested approach is an approximation of the Kalman filter…

We propose and analyze a perturbative regularization method to approximate quadratic optimization problems with finite-dimensional degeneracy. The original problem is first approximated by a regularized problem depending on a small positive…

In this paper, we consider convex quadratic optimization problems with indicators on the continuous variables. In particular, we assume that the Hessian of the quadratic term is a Stieltjes matrix, which naturally appears in sparse…

Koopman operators provide tractable means of learning linear approximations of non-linear dynamics. Many approaches have been proposed to find these operators, typically based upon approximations using an a-priori fixed class of models.…

This paper proposes and analyzes a communication-efficient distributed optimization framework for general nonconvex nonsmooth signal processing and machine learning problems under an asynchronous protocol. At each iteration, worker machines…

This paper develops an analytical method of truncating inequality constrained Gaussian distributed variables where the constraints are themselves described by Gaussian distributions. Existing truncation methods either assume hard…

This paper delivers improved theoretical guarantees for the convex programming approach in low-rank matrix estimation, in the presence of (1) random noise, (2) gross sparse outliers, and (3) missing data. This problem, often dubbed as…

State estimation is a fundamental problem for multi-sensor information fusion, essential in applications such as target tracking, power systems, and control automation. Previous research mostly ignores the correlation between sensors and…

We consider the problem of minimizing a convex objective function $F$ when one can only evaluate its noisy approximation $\hat{F}$. Unless one assumes some structure on the noise, $\hat{F}$ may be an arbitrary nonconvex function, making the…

This paper introduces new techniques for using convex optimization to fit input-output data to a class of stable nonlinear dynamical models. We present an algorithm that guarantees consistent estimates of models in this class when a small…

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…

Nonlinear filtering problems are encountered in many applications, and one solution approach is the extended Kalman filter, which is not always convergent. Therefore, it is crucial to identify conditions under which the extended Kalman…

In this work we consider numerical efficiency and convergence rates for solvers of non-convex multi-penalty formulations when reconstructing sparse signals from noisy linear measurements. We extend an existing approach, based on reduction…

In this paper, we develop convergence analysis of a modified line search method for objective functions whose value is computed with noise and whose gradient estimates are inexact and possibly random. The noise is assumed to be bounded in…