Decentralization Estimators for Instrumental Variable Quantile Regression Models

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the non-smoothness and non-convexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems which are convex and can be solved efficiently. This reformulation leads to new identification results and to fast, easy to implement, and tuning-free estimators that do not require the availability of high-level "black box" optimization routines

Accelerated first-order methods for a class of semidefinite programs

This paper introduces a new storage-optimal first-order method (FOM), CertSDP, for solving a special class of semidefinite programs (SDPs) to high accuracy. The class of SDPs that we consider, the exact QMP-like SDPs, is characterized by low-rank solutions, a priori knowledge of the restriction of the SDP solution to a small subspace, and standard regularity assumptions such as strict complementarity. Crucially, we show how to use a certificate of strict complementarity to construct a low-dimensional strongly convex minimax problem whose optimizer coincides with a factorization of the SDP optimizer. From an algorithmic standpoint, we show how to construct the necessary certificate and how to solve the minimax problem efficiently. We accompany our theoretical results with preliminary numerical experiments suggesting that CertSDP significantly outperforms current state-of-the-art methods on large sparse exact QMP-like SDPs

Certifiably Correct Range-Aided SLAM

We present the first algorithm to efficiently compute certifiably optimal solutions to range-aided simultaneous localization and mapping (RA-SLAM) problems. Robotic navigation systems increasingly incorporate point-to-point ranging sensors, leading to state estimation problems in the form of RA-SLAM. However, the RA-SLAM problem is significantly more difficult to solve than traditional pose-graph SLAM: ranging sensor models introduce non-convexity and single range measurements do not uniquely determine the transform between the involved sensors. As a result, RA-SLAM inference is sensitive to initial estimates yet lacks reliable initialization techniques. Our approach, certifiably correct RA-SLAM (CORA), leverages a novel quadratically constrained quadratic programming (QCQP) formulation of RA-SLAM to relax the RA-SLAM problem to a semidefinite program (SDP). CORA solves the SDP efficiently using the Riemannian Staircase methodology; the SDP solution provides both (i) a lower bound on the RA-SLAM problem's optimal value, and (ii) an approximate solution of the RA-SLAM problem, which can be subsequently refined using local optimization. CORA applies to problems with arbitrary pose-pose, pose-landmark, and ranging measurements and, due to using convex relaxation, is insensitive to initialization. We evaluate CORA on several real-world problems. In contrast to state-of-the-art approaches, CORA is able to obtain high-quality solutions on all problems despite being initialized with random values. Additionally, we study the tightness of the SDP relaxation with respect to important problem parameters: the number of (i) robots, (ii) landmarks, and (iii) range measurements. These experiments demonstrate that the SDP relaxation is often tight and reveal relationships between graph rigidity and the tightness of the SDP relaxation.Comment: 17 pages, 9 figures, submitted to T-R

Positive Definite Kernels in Machine Learning

This survey is an introduction to positive definite kernels and the set of methods they have inspired in the machine learning literature, namely kernel methods. We first discuss some properties of positive definite kernels as well as reproducing kernel Hibert spaces, the natural extension of the set of functions $\{k(x,\cdot),x\in\mathcal{X}\}$ associated with a kernel $k$ defined on a space $\mathcal{X}$. We discuss at length the construction of kernel functions that take advantage of well-known statistical models. We provide an overview of numerous data-analysis methods which take advantage of reproducing kernel Hilbert spaces and discuss the idea of combining several kernels to improve the performance on certain tasks. We also provide a short cookbook of different kernels which are particularly useful for certain data-types such as images, graphs or speech segments.Comment: draft. corrected a typo in figure

Fitting Tractable Convex Sets to Support Function Evaluations

The geometric problem of estimating an unknown compact convex set from evaluations of its support function arises in a range of scientific and engineering applications. Traditional approaches typically rely on estimators that minimize the error over all possible compact convex sets; in particular, these methods do not allow for the incorporation of prior structural information about the underlying set and the resulting estimates become increasingly more complicated to describe as the number of measurements available grows. We address both of these shortcomings by describing a framework for estimating tractably specified convex sets from support function evaluations. Building on the literature in convex optimization, our approach is based on estimators that minimize the error over structured families of convex sets that are specified as linear images of concisely described sets -- such as the simplex or the spectraplex -- in a higher-dimensional space that is not much larger than the ambient space. Convex sets parametrized in this manner are significant from a computational perspective as one can optimize linear functionals over such sets efficiently; they serve a different purpose in the inferential context of the present paper, namely, that of incorporating regularization in the reconstruction while still offering considerable expressive power. We provide a geometric characterization of the asymptotic behavior of our estimators, and our analysis relies on the property that certain sets which admit semialgebraic descriptions are Vapnik-Chervonenkis (VC) classes. Our numerical experiments highlight the utility of our framework over previous approaches in settings in which the measurements available are noisy or small in number as well as those in which the underlying set to be reconstructed is non-polyhedral.Comment: 35 pages, 80 figure