28,402 research outputs found
Non-Convex Rank Minimization via an Empirical Bayesian Approach
In many applications that require matrix solutions of minimal rank, the
underlying cost function is non-convex leading to an intractable, NP-hard
optimization problem. Consequently, the convex nuclear norm is frequently used
as a surrogate penalty term for matrix rank. The problem is that in many
practical scenarios there is no longer any guarantee that we can correctly
estimate generative low-rank matrices of interest, theoretical special cases
notwithstanding. Consequently, this paper proposes an alternative empirical
Bayesian procedure build upon a variational approximation that, unlike the
nuclear norm, retains the same globally minimizing point estimate as the rank
function under many useful constraints. However, locally minimizing solutions
are largely smoothed away via marginalization, allowing the algorithm to
succeed when standard convex relaxations completely fail. While the proposed
methodology is generally applicable to a wide range of low-rank applications,
we focus our attention on the robust principal component analysis problem
(RPCA), which involves estimating an unknown low-rank matrix with unknown
sparse corruptions. Theoretical and empirical evidence are presented to show
that our method is potentially superior to related MAP-based approaches, for
which the convex principle component pursuit (PCP) algorithm (Candes et al.,
2011) can be viewed as a special case.Comment: 10 pages, 6 figures, UAI 2012 pape
High-Dimensional Bayesian Geostatistics
With the growing capabilities of Geographic Information Systems (GIS) and
user-friendly software, statisticians today routinely encounter geographically
referenced data containing observations from a large number of spatial
locations and time points. Over the last decade, hierarchical spatiotemporal
process models have become widely deployed statistical tools for researchers to
better understand the complex nature of spatial and temporal variability.
However, fitting hierarchical spatiotemporal models often involves expensive
matrix computations with complexity increasing in cubic order for the number of
spatial locations and temporal points. This renders such models unfeasible for
large data sets. This article offers a focused review of two methods for
constructing well-defined highly scalable spatiotemporal stochastic processes.
Both these processes can be used as "priors" for spatiotemporal random fields.
The first approach constructs a low-rank process operating on a
lower-dimensional subspace. The second approach constructs a Nearest-Neighbor
Gaussian Process (NNGP) that ensures sparse precision matrices for its finite
realizations. Both processes can be exploited as a scalable prior embedded
within a rich hierarchical modeling framework to deliver full Bayesian
inference. These approaches can be described as model-based solutions for big
spatiotemporal datasets. The models ensure that the algorithmic complexity has
floating point operations (flops), where the number of spatial
locations (per iteration). We compare these methods and provide some insight
into their methodological underpinnings
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