相关论文: Post-Processed Posteriors for Sparse Covariances a…

Recently, a number of mostly $\ell_1$-norm regularized least squares type deterministic algorithms have been proposed to address the problem of \emph{sparse} adaptive signal estimation and system identification. From a Bayesian perspective,…

Classic Bayesian methods with complex models are frequently infeasible due to an intractable likelihood. Simulation-based inference methods, such as Approximate Bayesian Computing (ABC), calculate posteriors without accessing a likelihood…

This paper proposes a machine learning-based framework for asset selection and portfolio construction, termed the Best-Path Algorithm Sparse Graphical Model (BPASGM). The method extends the Best-Path Algorithm (BPA) by mapping linear and…

This paper considers estimation of sparse covariance matrices and establishes the optimal rate of convergence under a range of matrix operator norm and Bregman divergence losses. A major focus is on the derivation of a rate sharp minimax…

The kernel function and its hyperparameters are the central model selection choice in a Gaussian proces (Rasmussen and Williams, 2006). Typically, the hyperparameters of the kernel are chosen by maximising the marginal likelihood, an…

The posterior variance of Gaussian processes is a valuable measure of the learning error which is exploited in various applications such as safe reinforcement learning and control design. However, suitable analysis of the posterior variance…

The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weight calculation noticeably, especially when a large number of…

The logistic specification has been used extensively in non-Bayesian statistics to model the dependence of discrete outcomes on the values of specified covariates. Because the likelihood function is globally weakly concave estimation by…

We consider Bayesian variable selection for binary outcomes under a probit link with a spike-and-slab prior on the regression coefficients. Motivated by the computational challenges encountered by Markov chain Monte Carlo (MCMC) samplers in…

Sparse deep neural networks have proven to be efficient for predictive model building in large-scale studies. Although several works have studied theoretical and numerical properties of sparse neural architectures, they have primarily…

We investigate the frequentist guarantees of the variational sparse Gaussian process regression model. In the theoretical analysis, we focus on the variational approach with spectral features as inducing variables. We derive guarantees and…

Sparse high dimensional graphical model selection is a popular topic in contemporary machine learning. To this end, various useful approaches have been proposed in the context of $\ell_1$-penalized estimation in the Gaussian framework.…

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many…

This paper addresses the problem of sparse phase retrieval, a fundamental inverse problem in applied mathematics, physics, and engineering, where a signal need to be reconstructed using only the magnitude of its transformation while phase…

Deep Gaussian Processes learn probabilistic data representations for supervised learning by cascading multiple Gaussian Processes. While this model family promises flexible predictive distributions, exact inference is not tractable.…

Bayesian variable selection methods are powerful techniques for fitting and inferring on sparse high-dimensional linear regression models. However, many are computationally intensive or require restrictive prior distributions on model…

We present a method for estimating sparse high-dimensional inverse covariance and partial correlation matrices, which exploits the connection between the inverse covariance matrix and linear regression. The method is a two-stage estimation…

In this paper, we consider high-dimensional Gaussian graphical models where the true underlying graph is decomposable. A hierarchical $G$-Wishart prior is proposed to conduct a Bayesian inference for the precision matrix and its graph…

In the area of sparse recovery, numerous researches hint that non-convex penalties might induce better sparsity than convex ones, but up until now those corresponding non-convex algorithms lack convergence guarantees from the initial…

We propose an efficient way to sample from a class of structured multivariate Gaussian distributions which routinely arise as conditional posteriors of model parameters that are assigned a conditionally Gaussian prior. The proposed…