6,343 research outputs found
Robust regularized singular value decomposition with application to mortality data
We develop a robust regularized singular value decomposition (RobRSVD) method
for analyzing two-way functional data. The research is motivated by the
application of modeling human mortality as a smooth two-way function of age
group and year. The RobRSVD is formulated as a penalized loss minimization
problem where a robust loss function is used to measure the reconstruction
error of a low-rank matrix approximation of the data, and an appropriately
defined two-way roughness penalty function is used to ensure smoothness along
each of the two functional domains. By viewing the minimization problem as two
conditional regularized robust regressions, we develop a fast iterative
reweighted least squares algorithm to implement the method. Our implementation
naturally incorporates missing values. Furthermore, our formulation allows
rigorous derivation of leave-one-row/column-out cross-validation and
generalized cross-validation criteria, which enable computationally efficient
data-driven penalty parameter selection. The advantages of the new robust
method over nonrobust ones are shown via extensive simulation studies and the
mortality rate application.Comment: Published in at http://dx.doi.org/10.1214/13-AOAS649 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Inverse Covariance Estimation for High-Dimensional Data in Linear Time and Space: Spectral Methods for Riccati and Sparse Models
We propose maximum likelihood estimation for learning Gaussian graphical
models with a Gaussian (ell_2^2) prior on the parameters. This is in contrast
to the commonly used Laplace (ell_1) prior for encouraging sparseness. We show
that our optimization problem leads to a Riccati matrix equation, which has a
closed form solution. We propose an efficient algorithm that performs a
singular value decomposition of the training data. Our algorithm is
O(NT^2)-time and O(NT)-space for N variables and T samples. Our method is
tailored to high-dimensional problems (N gg T), in which sparseness promoting
methods become intractable. Furthermore, instead of obtaining a single solution
for a specific regularization parameter, our algorithm finds the whole solution
path. We show that the method has logarithmic sample complexity under the
spiked covariance model. We also propose sparsification of the dense solution
with provable performance guarantees. We provide techniques for using our
learnt models, such as removing unimportant variables, computing likelihoods
and conditional distributions. Finally, we show promising results in several
gene expressions datasets.Comment: Appears in Proceedings of the Twenty-Ninth Conference on Uncertainty
in Artificial Intelligence (UAI2013
Hyperspectral Image Restoration via Total Variation Regularized Low-rank Tensor Decomposition
Hyperspectral images (HSIs) are often corrupted by a mixture of several types
of noise during the acquisition process, e.g., Gaussian noise, impulse noise,
dead lines, stripes, and many others. Such complex noise could degrade the
quality of the acquired HSIs, limiting the precision of the subsequent
processing. In this paper, we present a novel tensor-based HSI restoration
approach by fully identifying the intrinsic structures of the clean HSI part
and the mixed noise part respectively. Specifically, for the clean HSI part, we
use tensor Tucker decomposition to describe the global correlation among all
bands, and an anisotropic spatial-spectral total variation (SSTV)
regularization to characterize the piecewise smooth structure in both spatial
and spectral domains. For the mixed noise part, we adopt the norm
regularization to detect the sparse noise, including stripes, impulse noise,
and dead pixels. Despite that TV regulariztion has the ability of removing
Gaussian noise, the Frobenius norm term is further used to model heavy Gaussian
noise for some real-world scenarios. Then, we develop an efficient algorithm
for solving the resulting optimization problem by using the augmented Lagrange
multiplier (ALM) method. Finally, extensive experiments on simulated and
real-world noise HSIs are carried out to demonstrate the superiority of the
proposed method over the existing state-of-the-art ones.Comment: 15 pages, 20 figure
Regularized Principal Component Analysis for Spatial Data
In many atmospheric and earth sciences, it is of interest to identify
dominant spatial patterns of variation based on data observed at locations
and time points with the possibility that . While principal component
analysis (PCA) is commonly applied to find the dominant patterns, the
eigenimages produced from PCA may exhibit patterns that are too noisy to be
physically meaningful when is large relative to . To obtain more precise
estimates of eigenimages, we propose a regularization approach incorporating
smoothness and sparseness of eigenimages, while accounting for their
orthogonality. Our method allows data taken at irregularly spaced or sparse
locations. In addition, the resulting optimization problem can be solved using
the alternating direction method of multipliers, which is easy to implement,
and applicable to a large spatial dataset. Furthermore, the estimated
eigenfunctions provide a natural basis for representing the underlying spatial
process in a spatial random-effects model, from which spatial covariance
function estimation and spatial prediction can be efficiently performed using a
regularized fixed-rank kriging method. Finally, the effectiveness of the
proposed method is demonstrated by several numerical example
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