10,669 research outputs found
A large covariance matrix estimator under intermediate spikiness regimes
The present paper concerns large covariance matrix estimation via composite
minimization under the assumption of low rank plus sparse structure. In this
approach, the low rank plus sparse decomposition of the covariance matrix is
recovered by least squares minimization under nuclear norm plus norm
penalization. This paper proposes a new estimator of that family based on an
additional least-squares re-optimization step aimed at un-shrinking the
eigenvalues of the low rank component estimated at the first step. We prove
that such un-shrinkage causes the final estimate to approach the target as
closely as possible in Frobenius norm while recovering exactly the underlying
low rank and sparsity pattern. Consistency is guaranteed when is at least
, provided that the maximum number of non-zeros per
row in the sparse component is with .
Consistent recovery is ensured if the latent eigenvalues scale to ,
, while rank consistency is ensured if .
The resulting estimator is called UNALCE (UNshrunk ALgebraic Covariance
Estimator) and is shown to outperform state of the art estimators, especially
for what concerns fitting properties and sparsity pattern detection. The
effectiveness of UNALCE is highlighted on a real example regarding ECB banking
supervisory data
Joint Coding and Scheduling Optimization in Wireless Systems with Varying Delay Sensitivities
Throughput and per-packet delay can present strong trade-offs that are
important in the cases of delay sensitive applications.We investigate such
trade-offs using a random linear network coding scheme for one or more
receivers in single hop wireless packet erasure broadcast channels. We capture
the delay sensitivities across different types of network applications using a
class of delay metrics based on the norms of packet arrival times. With these
delay metrics, we establish a unified framework to characterize the rate and
delay requirements of applications and optimize system parameters. In the
single receiver case, we demonstrate the trade-off between average packet
delay, which we view as the inverse of throughput, and maximum ordered
inter-arrival delay for various system parameters. For a single broadcast
channel with multiple receivers having different delay constraints and feedback
delays, we jointly optimize the coding parameters and time-division scheduling
parameters at the transmitters. We formulate the optimization problem as a
Generalized Geometric Program (GGP). This approach allows the transmitters to
adjust adaptively the coding and scheduling parameters for efficient allocation
of network resources under varying delay constraints. In the case where the
receivers are served by multiple non-interfering wireless broadcast channels,
the same optimization problem is formulated as a Signomial Program, which is
NP-hard in general. We provide approximation methods using successive
formulation of geometric programs and show the convergence of approximations.Comment: 9 pages, 10 figure
Linear Coupling: An Ultimate Unification of Gradient and Mirror Descent
First-order methods play a central role in large-scale machine learning. Even
though many variations exist, each suited to a particular problem, almost all
such methods fundamentally rely on two types of algorithmic steps: gradient
descent, which yields primal progress, and mirror descent, which yields dual
progress.
We observe that the performances of gradient and mirror descent are
complementary, so that faster algorithms can be designed by LINEARLY COUPLING
the two. We show how to reconstruct Nesterov's accelerated gradient methods
using linear coupling, which gives a cleaner interpretation than Nesterov's
original proofs. We also discuss the power of linear coupling by extending it
to many other settings that Nesterov's methods cannot apply to.Comment: A new section added; polished writin
Structured sparsity-inducing norms through submodular functions
Sparse methods for supervised learning aim at finding good linear predictors
from as few variables as possible, i.e., with small cardinality of their
supports. This combinatorial selection problem is often turned into a convex
optimization problem by replacing the cardinality function by its convex
envelope (tightest convex lower bound), in this case the L1-norm. In this
paper, we investigate more general set-functions than the cardinality, that may
incorporate prior knowledge or structural constraints which are common in many
applications: namely, we show that for nondecreasing submodular set-functions,
the corresponding convex envelope can be obtained from its \lova extension, a
common tool in submodular analysis. This defines a family of polyhedral norms,
for which we provide generic algorithmic tools (subgradients and proximal
operators) and theoretical results (conditions for support recovery or
high-dimensional inference). By selecting specific submodular functions, we can
give a new interpretation to known norms, such as those based on
rank-statistics or grouped norms with potentially overlapping groups; we also
define new norms, in particular ones that can be used as non-factorial priors
for supervised learning
A unified framework for approximation in inverse problems for distributed parameter systems
A theoretical framework is presented that can be used to treat approximation techniques for very general classes of parameter estimation problems involving distributed systems that are either first or second order in time. Using the approach developed, one can obtain both convergence and stability (continuous dependence of parameter estimates with respect to the observations) under very weak regularity and compactness assumptions on the set of admissible parameters. This unified theory can be used for many problems found in the recent literature and in many cases offers significant improvements to existing results
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