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.
A data filtering method for cluster analysis is proposed, based on minimizing a least squares function with a weighted ℓ0-norm penalty. To overcome the discontinuity of the objective function, smooth non-convex functions are employed to approximate the ℓ0-norm. The convergence of the global minimum points o…
The study analyzes robustness of estimators in linear models with adversarial errors.
problem Analyzing robustness of estimators in linear models with adversarial errors.
method Develops a general theory for minimum norm interpolating estimators and RERM in linear models without conditions on errors.
result Quantitative bound for the prediction error relating it to Rademacher complexity, norm of minimum norm interpolator of errors, and subdifferential size.
The paper tackles multi-armed bandits with vector losses, focusing on minimizing the ℓ∞-norm of relative losses.
problem Minimizing the ℓ∞-norm of relative losses in multi-armed bandits with multiple losses.
method Defines relative loss vector, derives lower bounds, and provides matching algorithms for both fixed-confidence best-arm identification and regret minimization.
result Derives problem-dependent sample complexity lower bound and matching algorithms for fixed-confidence best-arm identification.
We give improved algorithms for the ℓp-regression problem, minx∥x∥p such that Ax=b, for all p∈(1,2)∪(2,∞). Our algorithms obtain a high accuracy solution in O~p(m2p+∣p−2∣∣p−2∣)≤O~p(m31) iterations, where each iteration requires s…
This paper considers the fundamental problem of learning a complete (orthogonal) dictionary from samples of sparsely generated signals. Most existing methods solve the dictionary (and sparse representations) based on heuristic algorithms, usually without theoretical guarantees for either optimality or complexity. The r…
Sparse optimization refers to an optimization problem involving the zero-norm in objective or constraints. In this paper, nonconvex approximation approaches for sparse optimization have been studied with a unifying point of view in DC (Difference of Convex functions) programming framework. Considering a common DC appro…
We study the problem of globally recovering a dictionary from a set of signals via ℓ1-minimization. We assume that the signals are generated as i.i.d. random linear combinations of the K atoms from a complete reference dictionary D∗∈RK×K, where the linear combination coefficients are from…
We provide recovery guarantees for compressible signals that have been corrupted with noise and extend the framework introduced in \cite{bafna2018thwarting} to defend neural networks against ℓ0-norm, ℓ2-norm, and ℓ∞-norm attacks. Our results are general as they can be applied to most unitary tr…
We derive an upper bound on the local Rademacher complexity of ℓp-norm multiple kernel learning, which yields a tighter excess risk bound than global approaches. Previous local approaches aimed at analyzed the case p=1 only while our analysis covers all cases 1≤p≤∞, assuming the different feature …
We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted ℓ1-Norm penalization, henceforth SLOPE. Our approach is able to group constituents with similar correlation properties, and with the same underlyin…
In this paper, we propose ℓp-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the ℓp-norm regularized models…
Signal estimation problems with smoothness and sparsity priors can be naturally modeled as quadratic optimization with ℓ0-"norm" constraints. Since such problems are non-convex and hard-to-solve, the standard approach is, instead, to tackle their convex surrogates based on ℓ1-norm relaxations. In this paper…
The paper characterizes functions of shallow ReLU NN denoisers under minimal norm constraints.
problem Understanding the theoretical success of neural network denoisers.
method Characterization of functions realized by shallow ReLU NN denoisers under minimal norm constraints.
result The functions realized by shallow ReLU NN denoisers are contractive toward clean data points and generalize better than the empirical MMSE estimator at low noise levels.
The paper analyzes the robustness of a minimum ℓ2 interpolator in high-dimensional linear regression.
problem Analyzing the robustness of a minimum ℓ2 interpolator in high-dimensional linear regression.
method The paper analyzes the interpolator with minimal ℓ2-norm in a general high-dimensional linear regression framework, proving bounds on prediction loss.
result The paper shows that the prediction loss of the interpolator is bounded by (∥β∗∥22rcn(Σ)∨∥ξ∥2)/n with high probability, revealing a transition in rates.
Advances robust principal component analysis with transformed ℓ1 regularization.
problem Recovering low-rank structures from noisy, partially observed data corrupted by sparse outliers.
method Proposes transformed ℓ1 (TL1) regularization to improve approximations of rank and ℓ0 functional.
result Achieves higher accuracy in estimating low-rank and sparse components compared to classical convex models, especially under non-uniform sampling schemes.
State-of-the-art subspace clustering methods are based on expressing each data point as a linear combination of other data points while regularizing the matrix of coefficients with ℓ1, ℓ2 or nuclear norms. ℓ1 regularization is guaranteed to give a subspace-preserving affinity (i.e., there are no conne…
In many applications, high-dimensional data points can be well represented by low-dimensional subspaces. To identify the subspaces, it is important to capture a global and local structure of the data which is achieved by imposing low-rank and sparseness constraints on the data representation matrix. In low-rank sparse …
In compressed sensing, in order to recover a sparse or nearly sparse vector from possibly noisy measurements, the most popular approach is ℓ1-norm minimization. Upper bounds for the ℓ2- norm of the error between the true and estimated vectors are given in [1] and reviewed in [2], while bounds for the $\ell_…