arXiv research

A new method solves large-scale sparse group square-root Lasso problems efficiently.

In this paper, we consider high-dimensional nonconvex square-root-loss regression problems and introduce a proximal majorization-minimization (PMM) algorithm for these problems. Our key idea for making the proposed PMM to be efficient is to develop a sparse semismooth Newton method to solve the corresponding subproblem…

Support vector machines (SVMs) are successful modeling and prediction tools with a variety of applications. Previous work has demonstrated the superiority of the SVMs in dealing with the high dimensional, low sample size problems. However, the numerical difficulties of the SVMs will become severe with the increase of t…

In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and Hessian information of the smooth part of the objective function is available via…

A new method solves distributed optimization problems over networks.

Introduces PPMM algorithm for nonconvex robust regression problems.

We propose a semismooth Newton algorithm for pathwise optimization (SNAP) for the LASSO and Enet in sparse, high-dimensional linear regression. SNAP is derived from a suitable formulation of the KKT conditions based on Newton derivatives. It solves the semismooth KKT equations efficiently by actively and continuously s…

Develops a new SPP algorithm with variance reduction for weakly convex optimization.

We propose an algorithm, semismooth Newton coordinate descent (SNCD), for the elastic-net penalized Huber loss regression and quantile regression in high dimensional settings. Unlike existing coordinate descent type algorithms, the SNCD updates each regression coefficient and its corresponding subgradient simultaneousl…

Proposes a robust and sparse portfolio selection model to reduce estimation errors and transaction costs.

Paper develops algorithms for sparse linear regression with generalized elastic net penalty.

We focus on solving the clustered lasso problem, which is a least squares problem with the $\ell_1$-type penalties imposed on both the coefficients and their pairwise differences to learn the group structure of the regression parameters. Here we first reformulate the clustered lasso regularizer as a weighted ordered-la…

Paper tackles multivariate shape-constrained convex regression problems.

Many of the algorithms used to solve minimization problems with sparsity-inducing regularizers are generic in the sense that they do not take into account the sparsity of the solution in any particular way. However, algorithms known as semismooth Newton are able to take advantage of this sparsity to accelerate their co…

Proposes a new robust expectile regression method for high-dimensional data.

A new algorithm solves the metric nearness problem efficiently.

We propose a DC proximal Newton algorithm for solving nonconvex regularized sparse learning problems in high dimensions. Our proposed algorithm integrates the proximal Newton algorithm with multi-stage convex relaxation based on the difference of convex (DC) programming, and enjoys both strong computational and statist…

SNS accelerates Sinkhorn algorithm with sparse Newton iterations.

HSNLD solves robust Hankel recovery efficiently and robustly.

Unified approach to Bayesian inference with guarantees on covariance matrices.

Improves robustness of high-dimensional regression with rank objective and group lasso regularization.

New method reduces SBL complexity from cubic to linear, improving scalability.

Efficiently estimates hub graphical models with structured sparsity.

EiGLasso speeds up sparse Kronecker-sum covariance estimation.

Mixtures-of-Experts (MoE) are conditional mixture models that have shown their performance in modeling heterogeneity in data in many statistical learning approaches for prediction, including regression and classification, as well as for clustering. Their estimation in high-dimensional problems is still however challeng…

We propose an algorithmic framework for convex minimization problems of a composite function with two terms: a self-concordant function and a possibly nonsmooth regularization term. Our method is a new proximal Newton algorithm that features a local quadratic convergence rate. As a specific instance of our framework, w…

This paper certifies cluster assignments from sum-of-norms clustering algorithms.

Screening and working set techniques are important approaches to reducing the size of an optimization problem. They have been widely used in accelerating first-order methods for solving large-scale sparse learning problems. In this paper, we develop a new screening method called Newton screening (NS) which is a general…

In many learning tasks, structural models usually lead to better interpretability and higher generalization performance. In recent years, however, the simple structural models such as lasso are frequently proved to be insufficient. Accordingly, there has been a lot of work on "superposition-structured" models where mul…

Improved solver maintains positivity and accuracy across all time steps.

New method achieves superlinear convergence rate with limited memory.

This paper approximates scattered data using samplet coordinates with sparsity constraints.

We introduce a new convex formulation for stable principal component pursuit (SPCP) to decompose noisy signals into low-rank and sparse representations. For numerical solutions of our SPCP formulation, we first develop a convex variational framework and then accelerate it with quasi-Newton methods. We show, via synthet…

Nonnegative matrix factorization (NMF) is a popular method for audio spectral unmixing. While NMF is traditionally applied to off-the-shelf time-frequency representations based on the short-time Fourier or Cosine transforms, the ability to learn transforms from raw data attracts increasing attention. However, this adds…

Clustering is a fundamental problem in unsupervised learning. Popular methods like K-means, may suffer from poor performance as they are prone to get stuck in its local minima. Recently, the sum-of-norms (SON) model (also known as the clustering path) has been proposed in Pelckmans et al. (2005), Lindsten et al. (2011)…

The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov Random Field, from very limited samples. We propose a novel algorithm for solving the…

Sparse Bayesian learning improves rational approximations for complex-valued models.

Corrects bias in random sampling matrices for improved ML methods.

A new filter design improves system identification accuracy.

The sparse inverse covariance estimation problem is commonly solved using an $\ell_{1}$-regularized Gaussian maximum likelihood estimator known as "graphical lasso", but its computational cost becomes prohibitive for large data sets. A recent line of results showed--under mild assumptions--that the graphical lasso esti…

Let $f$ be an ordinary polynomial in $\mathbb{C}[z_1,..., z_n]$ with no negative exponents and with no factor of the form $z_1^{α_1}... z_n^{α_n}$ where $α_i$ are non zero natural integer. If we assume in addicting that $f$ is maximally sparse polynomial (that its support is equal to the set of vertices of its Newton p…

We consider the class of convex minimization problems, composed of a self-concordant function, such as the $\log\det$ metric, a convex data fidelity term $h(\cdot)$ and, a regularizing -- possibly non-smooth -- function $g(\cdot)$. This type of problems have recently attracted a great deal of interest, mainly due to th…

We describe stochastic Newton and stochastic quasi-Newton approaches to efficiently solve large linear least-squares problems where the very large data sets present a significant computational burden (e.g., the size may exceed computer memory or data are collected in real-time). In our proposed framework, stochasticity…

We introduce a framework for Newton's flows in probability space with information metrics, named information Newton's flows. Here two information metrics are considered, including both the Fisher-Rao metric and the Wasserstein-2 metric. A known fact is that overdamped Langevin dynamics correspond to Wasserstein gradien…

Newton's method solves variational problems on manifolds.

Muon with Newton-Schulz converges to the same stationary point as SVD-polar, up to a constant factor.

New algorithms improve RPCA for large matrices with upper rank bounds.

We propose a novel general algorithm LHAC that efficiently uses second-order information to train a class of large-scale l1-regularized problems. Our method executes cheap iterations while achieving fast local convergence rate by exploiting the special structure of a low-rank matrix, constructed via quasi-Newton approx…