We propose a practical and scalable Gaussian process model for large-scale nonlinear probabilistic regression. Our mixture-of-experts model is conceptually simple and hierarchically recombines computations for an overall approximation of a full Gaussian process. Closed-form and distributed computations allow for efficient and massive parallelisation while keeping the memory consumption small. Given sufficient computing resources, our model can handle arbitrarily large data sets, without explicit sparse approximations. We provide strong experimental evidence that our model can be applied to large data sets of sizes far beyond millions. Hence, our model has the potential to lay the foundation for general large-scale Gaussian process research.

We propose a Bayesian framework of Gaussian process in order to extend Fisher's discriminant to classify functional data such as spectra and images. The probability structure for our extended Fisher's discriminant is explicitly formulated, and we utilize the smoothness assumptions of functional data as prior probabilities. Existing methods which directly employ the smoothness assumption of functional data can be shown as special cases within this framework given corresponding priors while their estimates of the unknowns are one-step approximations to the proposed MAP estimates. Empirical results on various simulation studies and different real applications show that the proposed method significantly outperforms the other Fisher's discriminant methods for functional data.

Estimation of low-rank matrices is of significant interest in a range of contemporary applications. In this paper, we introduce a rank-one projection model for low-rank matrix recovery and propose a constrained nuclear norm minimization method for stable recovery of low-rank matrices in the noisy case. The procedure is adaptive to the rank and robust against small perturbations. Both upper and lower bounds for the estimation accuracy under the Frobenius norm loss are obtained. The proposed estimator is shown to be rate-optimal under certain conditions. The estimator is easy to implement via convex programming and performs well numerically. The techniques and main results developed in the paper also have implications to other related statistical problems. An application to estimation of spiked covariance matrices from one-dimensional random projections is considered. The results demonstrate that it is still possible to accurately estimate the covariance matrix of a high-dimensional distribution based only on one-dimensional projections.

The task of reconstructing a matrix given a sample of observedentries is known as the matrix completion problem. It arises ina wide range of problems, including recommender systems, collaborativefiltering, dimensionality reduction, image processing, quantum physics or multi-class classificationto name a few. Most works have focused on recovering an unknown real-valued low-rankmatrix from randomly sub-sampling its entries.Here, we investigate the case where the observations take a finite number of values, corresponding for examples to ratings in recommender systems or labels in multi-class classification.We also consider a general sampling scheme (not necessarily uniform) over the matrix entries.The performance of a nuclear-norm penalized estimator is analyzed theoretically.More precisely, we derive bounds for the Kullback-Leibler divergence between the true and estimated distributions.In practice, we have also proposed an efficient algorithm based on lifted coordinate gradient descent in order to tacklepotentially high dimensional settings.

We introduce a new approach to unsupervised estimation of feature-rich semantic role labeling models. Our model consists of two components: (1) an encoding component: a semantic role labeling model which predicts roles given a rich set of syntactic and lexical features; (2) a reconstruction component: a tensor factorization model which relies on roles to predict argument fillers. When the components are estimated jointly to minimize errors in argument reconstruction, the induced roles largely correspond to roles defined in annotated resources. Our method performs on par with most accurate role induction methods on English and German, even though, unlike these previous approaches, we do not incorporate any prior linguistic knowledge about the languages.

Inverse problems and regularization theory is a central theme in contemporary signal processing, where the goal is to reconstruct an unknown signal from partial indirect, and possibly noisy, measurements of it. A now standard method for recovering the unknown signal is to solve a convex optimization problem that enforces some prior knowledge about its structure. This has proved efficient in many problems routinely encountered in imaging sciences, statistics and machine learning. This chapter delivers a review of recent advances in the field where the regularization prior promotes solutions conforming to some notion of simplicity/low-complexity. These priors encompass as popular examples sparsity and group sparsity (to capture the compressibility of natural signals and images), total variation and analysis sparsity (to promote piecewise regularity), and low-rank (as natural extension of sparsity to matrix-valued data). Our aim is to provide a unified treatment of all these regularizations under a single umbrella, namely the theory of partial smoothness. This framework is very general and accommodates all low-complexity regularizers just mentioned, as well as many others. Partial smoothness turns out to be the canonical way to encode low-dimensional models that can be linear spaces or more general smooth manifolds. This review is intended to serve as a one stop shop toward the understanding of the theoretical properties of the so-regularized solutions. It covers a large spectrum including: (i) recovery guarantees and stability to noise, both in terms of $\ell^2$-stability and model (manifold) identification; (ii) sensitivity analysis to perturbations of the parameters involved (in particular the observations), with applications to unbiased risk estimation ; (iii) convergence properties of the forward-backward proximal splitting scheme, that is particularly well suited to solve the corresponding large-scale regularized optimization problem.

This work presents a general framework for solving the low rank and/or sparse matrix minimization problems, which may involve multiple non-smooth terms. The Iteratively Reweighted Least Squares (IRLS) method is a fast solver, which smooths the objective function and minimizes it by alternately updating the variables and their weights. However, the traditional IRLS can only solve a sparse only or low rank only minimization problem with squared loss or an affine constraint. This work generalizes IRLS to solve joint/mixed low rank and sparse minimization problems, which are essential formulations for many tasks. As a concrete example, we solve the Schatten-$p$ norm and $\ell_{2,q}$-norm regularized Low-Rank Representation (LRR) problem by IRLS, and theoretically prove that the derived solution is a stationary point (globally optimal if $p,q\geq1$). Our convergence proof of IRLS is more general than previous one which depends on the special properties of the Schatten-$p$ norm and $\ell_{2,q}$-norm. Extensive experiments on both synthetic and real data sets demonstrate that our IRLS is much more efficient.

Stein showed that the multivariate sample mean is outperformed by "shrinking" to a constant target vector. Ledoit and Wolf extended this approach to the sample covariance matrix and proposed a multiple of the identity as shrinkage target. In a general framework, independent of a specific estimator, we extend the shrinkage concept by allowing simultaneous shrinkage to a set of targets. Application scenarios include settings with (A) additional data sets from potentially similar distributions, (B) non-stationarity, (C) a natural grouping of the data or (D) multiple alternative estimators which could serve as targets. We show that this Multi-Target Shrinkage can be translated into a quadratic program and derive conditions under which the estimation of the shrinkage intensities yields optimal expected squared error in the limit. For the sample mean and the sample covariance as specific instances, we derive conditions under which the optimality of MTS is applicable. We consider two asymptotic settings: the large dimensional limit (LDL), where the dimensionality and the number of observations go to infinity at the same rate, and the finite observations large dimensional limit (FOLDL), where only the dimensionality goes to infinity while the number of observations remains constant. We then show the effectiveness in extensive simulations and on real world data.

To estimate a sparse linear model from data with Gaussian noise, consilience from lasso and compressed sensing literatures is that thresholding estimators like lasso and the Dantzig selector have the ability in some situations to identify with high probability part of the significant covariates asymptotically, and are numerically tractable thanks to convexity. Yet, the selection of a threshold parameter $\lambda$ remains crucial in practice. To that aim we propose Quantile Universal Thresholding, a selection of $\lambda$ at the detection edge. We show with extensive simulations and real data that an excellent compromise between high true positive rate and low false discovery rate is achieved, leading also to good predictive risk.

Based on a new atomic norm, we propose a new convex formulation for sparse matrix factorization problems in which the number of nonzero elements of the factors is assumed fixed and known. The formulation counts sparse PCA with multiple factors, subspace clustering and low-rank sparse bilinear regression as potential applications. We compute slow rates and an upper bound on the statistical dimension of the suggested norm for rank 1 matrices, showing that its statistical dimension is an order of magnitude smaller than the usual $\ell\_1$-norm, trace norm and their combinations. Even though our convex formulation is in theory hard and does not lead to provably polynomial time algorithmic schemes, we propose an active set algorithm leveraging the structure of the convex problem to solve it and show promising numerical results.