We propose a high dimensional semiparametric scale-invariant principle component analysis, named TCA, by utilize the natural connection between the elliptical distribution family and the principal component analysis. Elliptical distribution family includes many well-known multivariate distributions like multivariate Gaussian, t and logistic and it is extended to the meta-elliptical by Fang et.al (2002) using the copula techniques. In this paper we extend the meta-elliptical distribution family to a even larger family, called transelliptical. We prove that TCA can obtain a near-optimal s log d/n estimation consistency rate in recovering the leading eigenvector of the latent generalized correlation matrix under the transelliptical distribution family, even if the distributions are very heavy-tailed, have infinite second moments, do not have densities and possess arbitrarily continuous marginal distributions. A feature selection result with explicit rate is also provided. TCA is further implemented in both numerical simulations and largescale stock data to illustrate its empirical usefulness. Both theories and experiments confirm that TCA can achieve model flexibility, estimation accuracy and robustness at almost no cost.

We introduce a new learning algorithm, named smooth-projected neighborhood pursuit, for estimating high dimensional undirected graphs. In particularly, we focus on the nonparanormal graphical model and provide theoretical guarantees for graph estimation consistency. In addition to new computational and theoretical analysis, we also provide an alternative view to analyze the tradeoff between computational efficiency and statistical error under a smoothing optimization framework. Numerical results on both synthetic and real datasets are provided to support our theory.

Electronic health records (EHRs) are an emerging relational domain with large potential to improve clinical outcomes. We apply two statistical relational learning (SRL) algorithms to the task of predicting primary myocardial infarction. We show that one SRL algorithm, relational functional gradient boosting, outperforms propositional learners particularly in the medically-relevant high recall region. We observe that both SRL algorithms predict outcomes better than their propositional analogs and suggest how our methods can augment current epidemiological practices.

We derive a novel norm that corresponds to the tightest convex relaxation of sparsity combined with an $\ell_2$ penalty. We show that this new norm provides a tighter relaxation than the elastic net, and is thus a good replacement for the Lasso or the elastic net in sparse prediction problems. But through studying our new norm, we also bound the looseness of the elastic net, thus shedding new light on it and providing justification for its use.

This paper provides the first ---to the best of our knowledge--- analysis of online learning algorithms for multiclass problems when the {\em confusion} matrix is taken as a performance measure. The work builds upon recent and elegant results on noncommutative concentration inequalities, i.e. concentration inequalities that apply to matrices, and more precisely to matrix martingales. We do establish generalization bounds for online learning algorithm and show how the theoretical study motivate the proposition of a new confusion-friendly learning procedure. This learning algorithm, called \copa (for COnfusion Passive-Aggressive) is a passive-aggressive learning algorithm; it is shown that the update equations for \copa can be computed analytically, thus allowing the user from having to recours to any optimization package to implement it.

Positive definite operator-valued kernels generalize the well-known notion of reproducing kernels, and are naturally adapted to multi-output learning situations. This paper addresses the problem of learning a finite linear combination of infinite-dimensional operator-valued kernels which are suitable for extending functional data analysis methods to nonlinear contexts. We study this problem in the case of kernel ridge regression for functional responses with an lr-norm constraint on the combination coefficients. The resulting optimization problem is more involved than those of multiple scalar-valued kernel learning since operator-valued kernels pose more technical and theoretical issues. We propose a multiple operator-valued kernel learning algorithm based on solving a system of linear operator equations by using a block coordinate-descent procedure. We experimentally validate our approach on a functional regression task in the context of finger movement prediction in brain-computer interfaces.

In many applications classification systems often require in the loop human intervention. In such cases the decision process must be transparent and comprehensible simultaneously requiring minimal assumptions on the underlying data distribution. To tackle this problem, we formulate it as an axis-alligned subspacefinding task under the assumption that query specific information dictates the complementary use of the subspaces. We develop a regression-based approach called RECIP that efficiently solves this problem by finding projections that minimize a nonparametric conditional entropy estimator. Experiments show that the method is accurate in identifying the informative projections of the dataset, picking the correct ones to classify query points and facilitates visual evaluation by users.

We introduce a new notion of classification accuracy based on the top -quantile values of a scoring function, a relevant criterion in a number of problems arising forsearch engines. We define an algorithm optimizing a convex surrogate of the corresponding loss, and discuss its solution in terms of a set of convex optimization problems.We also present margin-based guarantees for this algorithm based on the top -quantile value of the scores of the functions in the hypothesis set. Finally, we report the results of several experiments in the bipartite setting evaluating the performance of our solution and comparing the results to several other algorithms seeking high precision at the top. In most examples, our solution achieves a better performance in precision at the top.

The question of aggregating pairwise comparisons to obtain a global ranking over a collection of objects has been of interest for a very long time: be it ranking of online gamers (e.g. MSR’s TrueSkill system) and chess players, aggregating social opinions, or deciding which product to sell based on transactions. In most settings, in addition to obtaining ranking, finding ‘scores’ for each object (e.g. player’s rating) is of interest to understanding the intensity of the preferences. In this paper, we propose a novel iterative rank aggregation algorithm for discovering scores for objects from pairwise comparisons. The algorithm has a natural random walk interpretation over the graph of objects with edges present between two objects if they are compared; the scores turn out to be the stationary probability of this random walk. The algorithm is model independent. To establish the efficacy of our method, however, we consider the popular Bradley-Terry-Luce (BTL) model in which each object has an associated score which determines the probabilistic outcomes of pairwise comparisons between objects. We bound the finite sample error rates between the scores assumed by the BTL model and those estimated by our algorithm. This, in essence, leads to order-optimal dependence on the number of samples required to learn the scores well by our algorithm. Indeed, the experimental evaluation shows that our (model independent) algorithm performs as well as the Maximum Likelihood Estimator of the BTL model and outperforms a recently proposed algorithm by Ammar and Shah [1].

Given their pervasive use, social media, such as Twitter, have become a leading source of breaking news. A key task in the automated identification of such news is the detection of novel documents from a voluminous stream of text documents in a scalable manner. Motivated by this challenge, we introduce the problem of online L1-dictionary learning where unlike traditional dictionary learning, which uses squared loss, the L1-penalty is used for measuring the reconstruction error. We present an efficient online algorithm for this problem based on alternating directions method of multipliers, and establish a sublinear regret bound for this algorithm. Empirical results on news-stream and Twitter data, shows that this online L1-dictionary learning algorithm for novel document detection gives more than an order of magnitude speedup over the previously known batch algorithm, without any significant loss in quality of results. Our algorithm for online L1-dictionary learning could be of independent interest.