arXiv research

Efficient bandit exploration for various distributions without distribution-specific tuning.

Boosts change-point detection power with optimal sub-sampling.

We study covariance matrix estimation for the case of partially observed random vectors, where different samples contain different subsets of vector coordinates. Each observation is the product of the variable of interest with a $0-1$ Bernoulli random variable. We analyze an unbiased covariance estimator under this mod…

Many data-fitting applications require the solution of an optimization problem involving a sum of large number of functions of high dimensional parameter. Here, we consider the problem of minimizing a sum of $n$ functions over a convex constraint set $\mathcal{X} \subseteq \mathbb{R}^{p}$ where both $n$ and $p$ are lar…

Large scale optimization problems are ubiquitous in machine learning and data analysis and there is a plethora of algorithms for solving such problems. Many of these algorithms employ sub-sampling, as a way to either speed up the computations and/or to implicitly implement a form of statistical regularization. In this …

Corrects bias in random sampling matrices for improved ML methods.

Improved statistical computation through efficient matrix sampling.

Acquisition of Magnetic Resonance Imaging (MRI) scans can be accelerated by under-sampling in k-space (i.e., the Fourier domain). In this paper, we consider the problem of optimizing the sub-sampling pattern in a data-driven fashion. Since the reconstruction model's performance depends on the sub-sampling pattern, we c…

We consider the problem of minimizing a sum of $n$ functions over a convex parameter set $\mathcal{C} \subset \mathbb{R}^p$ where $n\gg p\gg 1$. In this regime, algorithms which utilize sub-sampling techniques are known to be effective. In this paper, we use sub-sampling techniques together with low-rank approximation …

Study sharpens threshold for matching correlated graphs without labels.

We propose a randomized second-order method for optimization known as the Newton Sketch: it is based on performing an approximate Newton step using a randomly projected or sub-sampled Hessian. For self-concordant functions, we prove that the algorithm has super-linear convergence with exponentially high probability, wi…

Novel Newton method for large-scale kernel methods using random features.

Efficiently approximates statistical leverage scores for faster KRR.

Paper analyzes Nyström regularization for time series forecasting with sequential sub-sampling.

Bayesian realized EGARCH models improve tail risk forecasting.

We consider variants of trust-region and cubic regularization methods for non-convex optimization, in which the Hessian matrix is approximated. Under mild conditions on the inexact Hessian, and using approximate solution of the corresponding sub-problems, we provide iteration complexity to achieve $ε$-approximate seco…

This paper shows using sub-sample estimates can improve optimization results in large-scale problems.

New method uses PDMPs with sub-sampling for efficient sampling from posterior distributions.

Sub-sampling is a common and often effective method to deal with the computational challenges of large datasets. However, for most statistical models, there is no well-motivated approach for drawing a non-uniform subsample. We show that the concept of an asymptotically linear estimator and the associated influence func…

A new method reduces computational cost for gene expression inference in large microarray data sets.

In portable, three dimensional, and ultra-fast ultrasound imaging systems, there is an increasing demand for the reconstruction of high quality images from a limited number of radio-frequency (RF) measurements due to receiver (Rx) or transmit (Xmit) event sub-sampling. However, due to the presence of side lobe artifact…

Mini-batch sub-sampling in neural network training is unavoidable, due to growing data demands, memory-limited computational resources such as graphical processing units (GPUs), and the dynamics of on-line learning. In this study we specifically distinguish between static mini-batch sub-sampled loss functions, where mi…

Markov chain Monte Carlo (MCMC) algorithms for hidden Markov models often rely on the forward-backward sampler. This makes them computationally slow as the length of the time series increases, motivating the development of sub-sampling-based approaches. These approximate the full posterior by using small random subsequ…

Paper introduces efficient online sub-sampling for RL with function approximation, reducing policy updates.

The standard approach to compressive sampling considers recovering an unknown deterministic signal with certain known structure, and designing the sub-sampling pattern and recovery algorithm based on the known structure. This approach requires looking for a good representation that reveals the signal structure, and sol…

Principal Components Regression (PCR) is a traditional tool for dimension reduction in linear regression that has been both criticized and defended. One concern about PCR is that obtaining the leading principal components tends to be computationally demanding for large data sets. While random projections do not possess…

We consider the minimization of non-convex functions that typically arise in machine learning. Specifically, we focus our attention on a variant of trust region methods known as cubic regularization. This approach is particularly attractive because it escapes strict saddle points and it provides stronger convergence gu…

This paper proposes an improved active learning method using classification trees.

The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized variance or daily returns, is employed in the realized GARCH framework. Further, sub-s…

Boosting improves accuracy by combining weak learners into a voting classifier.

Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different risk scenarios and (b) evaluating the loss of the portfolio is expensive and the …

We consider the problem of finding the minimizer of a convex function $F: \mathbb R^d \rightarrow \mathbb R$ of the form $F(w) := \sum_{i=1}^n f_i(w) + R(w)$ where a low-rank factorization of $\nabla^2 f_i(w)$ is readily available. We consider the regime where $n \gg d$. As second-order methods prove to be effective in…

For data sets populated by a very well modeled process and by another process of unknown probability density function (PDF), a desired feature when manipulating the fraction of the unknown process (either for enhancing it or suppressing it) consists in avoiding to modify the kinematic distributions of the well modeled …

StreaMRAK improves KRR for streaming data.

End-to-end analysis of SGD for STL with adaptive sub-sampling.

In this era of large-scale data, distributed systems built on top of clusters of commodity hardware provide cheap and reliable storage and scalable processing of massive data. Here, we review recent work on developing and implementing randomized matrix algorithms in large-scale parallel and distributed environments. Ra…

Paper proposes an efficient bandit-based algorithm for hyperparameter optimization.

New method shows hidden state can significantly improve differential privacy in SGD.

Detecting edge correlation between two graphs sharpens a threshold based on densest subgraph.

Granger causality reviewed and advanced for complex data.

We consider non-parametric estimation and inference of conditional moment models in high dimensions. We show that even when the dimension $D$ of the conditioning variable is larger than the sample size $n$, estimation and inference is feasible as long as the distribution of the conditioning variable has small intrinsic…

A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected Shortfall (ES) components, to jointly estimate and forecast VaR and ES. The measu…

The paper sharpens the analysis of sketch-and-project methods using randomized singular value decomposition.

A novel distributed adaptive NN classifier for large data sets.

This paper enhances stability selection by evaluating overall results robustness and identifying optimal regularization values.

New method compresses large sample data for faster discriminant analysis.

The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily returns. Both a maximum likelihood and an adaptive Bayesian Markov Chain Monte Carlo m…

New insights into learning rates and batch sizes for neural networks using random matrix theory.