1,157 research outputs found
Shape Parameter Estimation
Performance of machine learning approaches depends strongly on the choice of
misfit penalty, and correct choice of penalty parameters, such as the threshold
of the Huber function. These parameters are typically chosen using expert
knowledge, cross-validation, or black-box optimization, which are time
consuming for large-scale applications. We present a principled, data-driven
approach to simultaneously learn the model pa- rameters and the misfit penalty
parameters. We discuss theoretical properties of these joint inference
problems, and develop algorithms for their solution. We show synthetic examples
of automatic parameter tuning for piecewise linear-quadratic (PLQ) penalties,
and use the approach to develop a self-tuning robust PCA formulation for
background separation.Comment: 20 pages, 10 figure
Optimization with Sparsity-Inducing Penalties
Sparse estimation methods are aimed at using or obtaining parsimonious
representations of data or models. They were first dedicated to linear variable
selection but numerous extensions have now emerged such as structured sparsity
or kernel selection. It turns out that many of the related estimation problems
can be cast as convex optimization problems by regularizing the empirical risk
with appropriate non-smooth norms. The goal of this paper is to present from a
general perspective optimization tools and techniques dedicated to such
sparsity-inducing penalties. We cover proximal methods, block-coordinate
descent, reweighted -penalized techniques, working-set and homotopy
methods, as well as non-convex formulations and extensions, and provide an
extensive set of experiments to compare various algorithms from a computational
point of view
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