A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Convolutional neural networks (CNNs) have been successfully applied to many recognition and learning tasks using a universal recipe; training a deep model on a very large dataset of supervised examples. However, this approach is rather restrictive in practice since collecting a large set of labeled images is very expen…
We study a spectral generalization of classical combinatorial graph spanners to the spectral setting. Given a set of vectors V⊆ℜd, we say a set U⊆V is an α-spectral spanner if for all v∈V there is a probability distribution μv supported on U such that $$vv^\intercal \preceq α\cdot\m…
Subset selection in multiple linear regression aims to choose a subset of candidate explanatory variables that tradeoff fitting error (explanatory power) and model complexity (number of variables selected). We build mathematical programming models for regression subset selection based on mean square and absolute errors…
Human labeling of data can be very time-consuming and expensive, yet, in many cases it is critical for the success of the learning process. In order to minimize human labeling efforts, we propose a novel active learning solution that does not rely on existing sources of unlabeled data. It uses a small amount of labeled…
We design and mathematically analyze sampling-based algorithms for regularized loss minimization problems that are implementable in popular computational models for large data, in which the access to the data is restricted in some way. Our main result is that if the regularizer's effect does not become negligible as th…
Tick is a statistical learning library for Python~3, with a particular emphasis on time-dependent models, such as point processes, and tools for generalized linear models and survival analysis. The core of the library is an optimization module providing model computational classes, solvers and proximal operators for re…
A typical way in which network data is recorded is to measure all the interactions among a specified set of core nodes; this produces a graph containing this core together with a potentially larger set of fringe nodes that have links to the core. Interactions between pairs of nodes in the fringe, however, are not recor…
Functional connectivity refers to the temporal statistical relationship between spatially distinct brain regions and is usually inferred from the time series coherence/correlation in brain activity between regions of interest. In human functional brain networks, the network structure is often inferred from functional m…
We study the min-max optimization problem where each function contributing to the max operation is strongly-convex and smooth with bounded gradient in the search domain. By smoothing the max operator, we show the ability to achieve an arbitrarily small positive optimality gap of δ in O~(1/δ) computation…
The ℓp linear regression problem is to minimize f(x)=∣∣Ax−b∣∣p over x∈Rd, where A∈Rn×d, b∈Rn, and p>0. To avoid overfitting and bound ∣∣x∣∣2, the constrained ℓp regression minimizes f(x) over every unit vector x∈Rd. This makes the pr…
We present a streaming model for large-scale classification (in the context of ℓ2-SVM) by leveraging connections between learning and computational geometry. The streaming model imposes the constraint that only a single pass over the data is allowed. The ℓ2-SVM is known to have an equivalent formulation in …
We suggest a new optimization technique for minimizing the sum ∑i=1nfi(x) of n non-convex real functions that satisfy a property that we call piecewise log-Lipschitz. This is by forging links between techniques in computational geometry, combinatorics and convex optimization. As an example application, we …
We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes the distribution of a post-selection estimator conditioned on the selection event. We specialize the approach to model selection by the lasso to form valid confidence intervals for the sel…
Recently, many regularized procedures have been proposed for variable selection in linear regression, but their performance depends on the tuning parameter selection. Here a criterion for the tuning parameter selection is proposed, which combines the strength of both stability selection and cross-validation and therefo…
Online selection of dynamic features has attracted intensive interest in recent years. However, existing online feature selection methods evaluate features individually and ignore the underlying structure of feature stream. For instance, in image analysis, features are generated in groups which represent color, texture…