Sparse linear regression, which entails finding a sparse solution to an underdetermined system of linear equations, can formally be expressed as an -constrained least-squares problem. The Orthogonal Least-Squares (OLS) algorithm sequentially selects the features (i.e., columns of the coefficient matrix) to greedil…
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48 results for “orthogonal least squares”
We consider the Orthogonal Least-Squares (OLS) algorithm for the recovery of a -dimensional -sparse signal from a low number of noisy linear measurements. The Exact Recovery Condition (ERC) in bounded noisy scenario is established for OLS under certain condition on nonzero elements of the signal. The new result a…
A fast feature selection method using OLS and SOCC for classification.
problem Feature selection for linear classification.
method Orthogonal Least Squares (OLS) with Squared Orthogonal Correlation Coefficient (SOCC).
result The proposed method outperforms other feature selection methods in speed and accuracy.
Derives optimal dynamic trading strategies under Gaussian assumptions.
problem Understanding and optimizing dynamic trading strategies in finance.
method Assumes Gaussian returns and dynamic weights, derives closed-form expressions for strategy returns moments.
result Positive skewness and excess kurtosis are essential for positive Sharpe dynamic strategies.
We orthogonalize the NSS model to condition and diagnose its ill-conditioned parameters.
problem The ill-conditioning of the NSS model's design matrix.
method Exact orthogonal reparametrization via QR decomposition.
result Orthogonalization isolates the conditioning structure and maintains fit uncertainty.
New theory shows EDMD works well in chaotic systems.
problem Uncertainty in EDMD's properties in chaos.
method Developed rigorous theory of EDMD on chaotic maps using OPUC and transfer operator methods.
result EDMD converges to correct limits in chaotic systems with small polynomial dictionaries.
ORFit trains models on streaming data with one pass, minimizing memory and computational costs.
problem Training large models on a stream of data without retraining on previous data.
method Orthogonal Recursive Fitting (ORFit) using orthogonal gradient descent and recursive least-squares.
result ORFit updates parameters orthogonally to past gradients, leading to efficient memory and computational usage.
We study the problem of inferring a sparse vector from random linear combinations of its components. We propose the Accelerated Orthogonal Least-Squares (AOLS) algorithm that improves performance of the well-known Orthogonal Least-Squares (OLS) algorithm while requiring significantly lower computational costs. While OL…
Solves a fundamental problem in statistics and imaging with new methods.
problem Generalized Orthogonal Procrustes Problem (GOPP)
method Semidefinite relaxation (SDR) and generalized power method (GPM)
result GPM converges linearly to the global minimizer under large signal-to-noise ratio.
ICCNLS models complex relationships as convex and concave components.
problem Complex input-output relationships with affine ambiguity.
method Sub-gradient constrained affine functions, global orthogonality constraints, L1, L2, and elastic net regularisation.
result Improved predictive accuracy and model simplicity compared to conventional methods.
Study differential properties of matrix square roots in specific cases.
problem Understanding matrix square roots in semi-simple, symmetric, and orthogonal cases.
method Analysis of differential and metric structures of real square roots of matrices under specific conditions.
result Differential properties of matrix square roots in semi-simple, symmetric, and orthogonal cases.
Improves Bayesian optimisation for engineering design problems with many variables.
problem Efficiently searching for global minima in high-dimensional design spaces.
method Integrates input and output data to identify a reduced latent subspace using probabilistic partial least squares.
result Significant improvements in convergence to the global minimum compared to existing methods.
A new framework for PPLS combines noise estimation, optimization, and calibration.
problem Probabilistic PLS models need interpretable latent factors and calibrated uncertainty.
method End-to-end pipeline combining noise estimation, constrained optimization, and prediction calibration.
result Achieves near-nominal coverage and native calibrated uncertainty across benchmarks.
ABO extends RLS for online learning in non-stationary time-series, improving accuracy and speed.
problem Online learning in non-stationary time-series with overparameterized models.
method QR-based exponentially weighted RLS algorithm with orthogonal-triangular updates.
result ABO maintains bounded residuals and stable condition numbers while achieving speed improvements.
The paper finds at least N orthogonal Finsler geodesic chords in a disk-like manifold.
problem Existence and multiplicity of orthogonal Finsler geodesic chords in a disk-like manifold.
method Study of Finsler geodesic chords under reversibility assumption.
result At least N orthogonal Finsler geodesic chords found in a disk-like manifold.
A new method selects features for better model performance.
problem Improving model performance by selecting effective features.
method Supervised orthogonal least square regression with feature weighting.
result The method reduces feature dimensionality and improves classification results.
State-of-the-art algorithms for sparse subspace clustering perform spectral clustering on a similarity matrix typically obtained by representing each data point as a sparse combination of other points using either basis pursuit (BP) or orthogonal matching pursuit (OMP). BP-based methods are often prohibitive in practic…
Model Selection for High-Dimensional Regression under the Generalized Irrepresentability Conditionmath.ST
In the high-dimensional regression model a response variable is linearly related to covariates, but the sample size is smaller than . We assume that only a small subset of covariates is `active' (i.e., the corresponding coefficients are non-zero), and consider the model-selection problem of identifying the a…
CD converges linearly for MCP/SCAD penalized least squares.
problem Recovering sparse signals from data.
method Coordinate descent for MCP/SCAD penalized least squares.
result CD converges linearly to solutions of MCP/SCAD penalized least squares.
Study uses Wasserstein distance to identify causal orders and unmix sources.
problem Identifying causal relationships and separating sources in non-Gaussian data.
method Wasserstein distance for non-Gaussianity, linear ICA, causal inference.
result Exact identification of ICA unmixing matrix and causal orders.
New method corrects least-squares temporal difference for better lambda-return estimation.
problem Improving lambda-return estimation in reinforcement learning.
method Uncorrected least-squares temporal difference with a correction method.
result Enhanced accuracy in temporal difference learning.
Illustrates interleaved learning with Kalman Filter for linear least squares.
problem Improving machine learning algorithms through interleaved learning.
method Simple statistical and optimization framework based on Kalman Filter.
result Demonstrates the effectiveness of interleaved learning.
Iterative Hessian sketch: Fast and accurate solution approximation for constrained least-squaresmath.OC
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed in different ways: either in terms of the value of the quadratic objective function (cost approximation), or in terms of some distance meas…
Cross validation residuals are well known for the ordinary least squares model. Here leave-M-out cross validation is extended to generalised least squares. The relationship between cross validation residuals and Cook's distance is demonstrated, in terms of an approximation to the difference in the generalised residual …
Demixing problems in many areas such as hyperspectral imaging and differential optical absorption spectroscopy (DOAS) often require finding sparse nonnegative linear combinations of dictionary elements that match observed data. We show how aspects of these problems, such as misalignment of DOAS references and uncertain…
We compare the risk of ridge regression to a simple variant of ordinary least squares, in which one simply projects the data onto a finite dimensional subspace (as specified by a Principal Component Analysis) and then performs an ordinary (un-regularized) least squares regression in this subspace. This note shows that …
New framework extends ICA for non-independent variables, identifying pairwise mean independence.
problem Non-independent variables complicating ICA recovery.
method Algebraic recovery algorithm based on least-squares optimization over the orthogonal group.
result Pairwise mean independence is identifiable, robust to independence constraints.
This study explains gradient flow dynamics in neural networks for small initialisation.
problem Understanding the training dynamics of neural networks for small initialisation.
method Analysis of gradient flow dynamics for one-hidden layer ReLU networks with orthogonal inputs.
result Gradient flow converges to zero loss and characterizes implicit bias towards minimum variation norm.
The paper improves Kaczmarz algorithm with momentum for linear least squares.
problem Improving convergence of the Kaczmarz algorithm for linear least squares.
method Integrates geometrically smoothed momentum into the randomized Kaczmarz algorithm.
result Proves expected error reduction in singular vector directions.
New algorithm improves online binary classification with constant time complexity.
problem Online binary classification with rebalancing.
method Non-iteratively reweighted recursive least-squares.
result Exacts converges to batch formulation and outperforms existing algorithms.
Reduced-rank method improves least-squares regression under output regularity.
problem Least-squares regression with infinite dimensional outputs.
method Reduced-rank method for solving least-squares problems with output regularity assumptions.
result Learning bounds and improved statistical performance compared to full-rank method.
Paper uses deep learning to solve PDEs without supervision.
problem Solving elliptic PDEs without labeled data.
method Uses deep neural networks and least-squares functionals.
result Demonstrates effectiveness on 1D second-order elliptic PDEs.
New algorithms improve tensor CP decomposition under mild conditions.
problem Improving tensor CP decomposition with theoretical guarantees under mild incoherence conditions.
method Composite PCA and Concurrent Orthogonalization algorithms.
result Theoretical guarantees and practical superiority over existing methods.
Optimizes embedding accuracy for data variance and error.
problem Efficiently embedding data while minimizing distortion.
method Uses Johnson-Lindenstrauss embeddings with orthogonal matrices and singular-value latent variables.
result Achieves best accuracy in variance, mean-squared error, and length distortion.
New deep learning solver for high-dimensional derivative pricing.
problem High-dimensional derivatives pricing problems.
method Combines deep learning with least square regression for backward SDE solving.
result Accurate and efficient pricing of complex derivatives.
Orthogonalized ALS: A Theoretically Principled Tensor Decomposition Algorithm for Practical Usecs.LG
The popular Alternating Least Squares (ALS) algorithm for tensor decomposition is efficient and easy to implement, but often converges to poor local optima---particularly when the weights of the factors are non-uniform. We propose a modification of the ALS approach that is as efficient as standard ALS, but provably rec…
Proposes a partitioned least squares model for feature grouping.
problem Modeling with feature groups to assess variable importance.
method Two methods: alternating least squares and exact reformulation.
result Exact method provides better results in less time.
ESNs trained with Tikhonov least squares approximate ergodic dynamical systems in L2(μ) norm.
problem Approximating ergodic dynamical systems using ESNs.
method Tikhonov least squares regression on ESNs trained on observations from an ergodic dynamical system.
result ESNs trained with Tikhonov least squares approximate the target function in the L2(μ) norm.
A new algorithm solves nonnegative least squares faster with nonnegative data.
problem Nonnegative least squares problems with nonnegative data.
method Primal-dual perspective accelerated algorithm with adaptive restart.
result Oracle complexity independent of matrix constants, solvable to multiplicative error.
The kernel least mean squares (KLMS) algorithm is a computationally efficient nonlinear adaptive filtering method that "kernelizes" the celebrated (linear) least mean squares algorithm. We demonstrate that the least mean squares algorithm is closely related to the Kalman filtering, and thus, the KLMS can be interpreted…
A new method treats all variables equally in fitting data.
problem Fitting relationships to data with multiple variables, especially when dependent and independent variables are not clearly defined.
method A general method treating all variables impartially, using geometric mean functional relationships and correlation.
result The method provides coefficients that are easily calculated from covariances or correlations, making it scale-invariant and applicable to various units.
In this paper, the estimation problem for sparse reduced rank regression (SRRR) model is considered. The SRRR model is widely used for dimension reduction and variable selection with applications in signal processing, econometrics, etc. The problem is formulated to minimize the least squares loss with a sparsity-induci…
The paper identifies saddlepoints in unsupervised auto-encoding neural nets.
problem The risk landscape of unsupervised least squares in auto-encoding neural nets.
method Established an equivalence between unsupervised least squares and principal manifolds, discussed regularization strategies for auto-encoders.
result All non-trivial critical points in auto-encoding are saddlepoints, which are degenerate in overcomplete auto-encoding.
The paper proposes a least squares method for binary compressive sampling with low intrinsic dimension signals.
problem Recovering signals from binary measurements with noise and sign flips.
method Least squares decoder for signals with low generative intrinsic dimension.
result The least squares decoder achieves a sharp estimation error of under certain conditions.
Least Squares EM converges globally for log-concave mixtures.
problem Location estimation in mixtures of two log-concave densities.
method Least Squares EM algorithm applied to log-concave mixtures.
result Least Squares EM converges globally to the true location parameter.
We introduce a novel semi-supervised version of the least squares classifier. This implicitly constrained least squares (ICLS) classifier minimizes the squared loss on the labeled data among the set of parameters implied by all possible labelings of the unlabeled data. Unlike other discriminative semi-supervised method…
The paper analyzes the risk of a least squares estimator under a spike covariance model.
problem Risk analysis of the least squares estimator under a spike covariance model.
method Assumes spike covariance matrices, studies risk as .
result Risk of the minimum norm least squares estimator vanishes compared to the null estimator.
New method speeds up solving L0-regularized least-squares problems.
problem Solving L0-regularized least-squares problems efficiently.
method Safe peeling for Branch-and-Bound algorithm.
result Significant gains in solving time and node exploration.