We propose an approach to multivariate nonparametric regression that generalizes reduced rank regression for linear models. An additive model is estimated for each dimension of a $q$-dimensional response, with a shared $p$-dimensional predictor variable. To control the complexity of the model, we employ a functional form of the Ky-Fan or nuclear norm, resulting in a set of function estimates that have low rank. Backfitting algorithms are derived and justified using a nonparametric form of the nuclear norm subdifferential. Oracle inequalities on excess risk are derived that exhibit the scaling behavior of the procedure in the high dimensional setting. The methods are illustrated on gene expression data.

We present some nonparametric methods for graphical modeling. In the discrete case, where the data are binary or drawn from a finite alphabet, Markov random fields are already essentially nonparametric, since the cliques can take only a finite number of values. Continuous data are different. The Gaussian graphical model is the standard parametric model for continuous data, but it makes distributional assumptions that are often unrealistic. We discuss two approaches to building more flexible graphical models. One allows arbitrary graphs and a nonparametric extension of the Gaussian; the other uses kernel density estimation and restricts the graphs to trees and forests. Examples of both methods are presented. We also discuss possible future research directions for nonparametric graphical modeling.

Sparsity-constrained optimization has wide applicability in machine learning, statistics, and signal processing problems such as feature selection and compressive Sensing. A vast body of work has studied the sparsity-constrained optimization from theoretical, algorithmic, and application aspects in the context of sparse estimation in linear models where the fidelity of the estimate is measured by the squared error. In contrast, relatively less effort has been made in the study of sparsity-constrained optimization in cases where nonlinear models are involved or the cost function is not quadratic. In this paper we propose a greedy algorithm, Gradient Support Pursuit (GraSP), to approximate sparse minima of cost functions of arbitrary form. Should a cost function have a Stable Restricted Hessian (SRH) or a Stable Restricted Linearization (SRL), both of which are introduced in this paper, our algorithm is guaranteed to produce a sparse vector within a bounded distance from the true sparse optimum. Our approach generalizes known results for quadratic cost functions that arise in sparse linear regression and Compressive Sensing. We also evaluate the performance of GraSP through numerical simulations on synthetic data, where the algorithm is employed for sparse logistic regression with and without $\ell_2$-regularization.

In categorical data there is often structure in the number of variables that take on each label. For example, the total number of objects in an image and the number of highly relevant documents per query in web search both tend to follow a structured distribution. In this paper, we study a probabilistic model that explicitly includes a prior distribution over such counts, along with a count-conditional likelihood that defines probabilities over all subsets of a given size. When labels are binary and the prior over counts is a Poisson-Binomial distribution, a standard logistic regression model is recovered, but for other count distributions, such priors induce global dependencies and combinatorics that appear to complicate learning and inference. However, we demonstrate that simple, efficient learning procedures can be derived for more general forms of this model. We illustrate the utility of the formulation by exploring applications to multi-object classification, learning to rank, and top-K classification.

In categorical data there is often structure in the number of variables that take on each label. For example, the total number of objects in an image and the number of highly relevant documents per query in web search both tend to follow a structured distribution. In this paper, we study a probabilistic model that explicitly includes a prior distribution over such counts, along with a count-conditional likelihood that defines probabilities over all subsets of a given size. When labels are binary and the prior over counts is a Poisson-Binomial distribution, a standard logistic regression model is recovered, but for other count distributions, such priors induce global dependencies and combinatorics that appear to complicate learning and inference. However, we demonstrate that simple, efficient learning procedures can be derived for more general forms of this model. We illustrate the utility of the formulation by exploring applications to multi-object classification, learning to rank, and top-K classification.

We address the problem of general supervised learning when data can only be accessed through an (indefinite) similarity function between data points. Existing work on learning with indefinite kernels has concentrated solely on binary/multiclass classification problems. We propose a model that is generic enough to handle any supervised learning task and also subsumes the model previously proposed for classification. We give a ''goodness'' criterion for similarity functions w.r.t. a given supervised learning task and then adapt a well-known landmarking technique to provide efficient algorithms for supervised learning using ''good'' similarity functions. We demonstrate the effectiveness of our model on three important supervised learning problems: a) real-valued regression, b) ordinal regression and c) ranking where we show that our method guarantees bounded generalization error. Furthermore, for the case of real-valued regression, we give a natural goodness definition that, when used in conjunction with a recent result in sparse vector recovery, guarantees a sparse predictor with bounded generalization error. Finally, we report results of our learning algorithms on regression and ordinal regression tasks using non-PSD similarity functions and demonstrate the effectiveness of our algorithms, especially that of the sparse landmark selection algorithm that achieves significantly higher accuracies than the baseline methods while offering reduced computational costs.

Despite the variety of robust regression methods that have been developed, current regression formulations are either NP-hard, or allow unbounded response to even a single leverage point. We present a general formulation for robust regression --Variational M-estimation--that unifies a number of robust regression methods while allowing a tractable approximation strategy. We develop an estimator that requires only polynomial-time, while achieving certain robustness and consistency guarantees. An experimental evaluation demonstrates the effectiveness of the new estimation approach compared to standard methods.

We present a method for approximate inference for a broad class of non-conjugate probabilistic models. In particular, for the family of generalized linear model target densities we describe a rich class of variational approximating densities which can be best fit to the target by minimizing the Kullback-Leibler divergence. Our approach is based on using the Fourier representation which we show results in efficient and scalable inference.

Multiple-output regression models require estimating multiple functions, one for each output. To improve parameter estimation in such models, methods based on structural regularization of the model parameters are usually needed. In this paper, we present a multiple-output regression model that leverages the covariance structure of the functions (i.e., how the multiple functions are related with each other) as well as the conditional covariance structure of the outputs. This is in contrast with existing methods that usually take into account only one of these structures. More importantly, unlike most of the other existing methods, none of these structures need be known a priori in our model, and are learned from the data. Several previously proposed structural regularization based multiple-output regression models turn out to be special cases of our model. Moreover, in addition to being a rich model for multiple-output regression, our model can also be used in estimating the graphical model structure of a set of variables (multivariate outputs) conditioned on another set of variables (inputs). Experimental results on both synthetic and real datasets demonstrate the effectiveness of our method.

In categorical data there is often structure in the number of variables that take on each label. For example, the total number of objects in an image and the number of highly relevant documents per query in web search both tend to follow a structured distribution. In this paper, we study a probabilistic model that explicitly includes a prior distribution over such counts, along with a count-conditional likelihood that defines probabilities over all subsets of a given size. When labels are binary and the prior over counts is a Poisson-Binomial distribution, a standard logistic regression model is recovered, but for other count distributions, such priors induce global dependencies and combinatorics that appear to complicate learning and inference. However, we demonstrate that simple, efficient learning procedures can be derived for more general forms of this model. We illustrate the utility of the formulation by exploring applications to multi-object classification, learning to rank, and top-K classification.