In this paper, we address the challenging problem of selecting tuning parameters for high-dimensional sparse regression. We propose a simple and computationally efficient method, called path thresholding (PaTh), that transforms any tuning parameter-dependent sparse regression algorithm into an asymptotically tuning-free sparse regression algorithm. More specifically, we prove that, as the problem size becomes large (in the number of variables and in the number of observations), PaTh performs accurate sparse regression, under appropriate conditions, without specifying a tuning parameter. In finite-dimensional settings, we demonstrate that PaTh can alleviate the computational burden of model selection algorithms by significantly reducing the search space of tuning parameters.

Nuclear magnetic resonance (NMR) spectroscopy exploits the magnetic properties of atomic nuclei to discover the structure, reaction state and chemical environment of molecules. We propose a probabilistic generative model and inference procedures for NMR spectroscopy. Specifically, we use a weighted sum of trigonometric functions undergoing exponential decay to model free induction decay (FID) signals. We discuss the challenges in estimating the components of this general model -- amplitudes, phase shifts, frequencies, decay rates, and noise variances -- and offer practical solutions. We compare with conventional Fourier transform spectroscopy for estimating the relative concentrations of chemicals in a mixture, using synthetic and experimentally acquired FID signals. We find the proposed model is particularly robust to low signal to noise ratios (SNR), and overlapping peaks in the Fourier transform of the FID, enabling accurate predictions (e.g., 1% sensitivity at low SNR) which are not possible with conventional spectroscopy (5% sensitivity).

Approximate Bayesian computation (ABC) methods are used to approximate posterior distributions using simulation rather than likelihood calculations. We introduce Gaussian process (GP) accelerated ABC, which we show can significantly reduce the number of simulations required. As computational resource is usually the main determinant of accuracy in ABC, GP-accelerated methods can thus enable more accurate inference in some models. GP models of the unknown log-likelihood function are used to exploit continuity and smoothness, reducing the required computation. We use a sequence of models that increase in accuracy, using intermediate models to rule out regions of the parameter space as implausible. The methods will not be suitable for all problems, but when they can be used, can result in significant computational savings. For the Ricker model, we are able to achieve accurate approximations to the posterior distribution using a factor of 100 fewer simulator evaluations than comparable Monte Carlo approaches, and for a population genetics model we are able to approximate the exact posterior for the first time.

We consider the high-dimensional sparse linear regression problem of accurately estimating a sparse vector using a small number of linear measurements that are contaminated by noise. It is well known that the standard cadre of computationally tractable sparse regression algorithms---such as the Lasso, Orthogonal Matching Pursuit (OMP), and their extensions---perform poorly when the measurement matrix contains highly correlated columns. To address this shortcoming, we develop a simple greedy algorithm, called SWAP, that iteratively swaps variables until convergence. SWAP is surprisingly effective in handling measurement matrices with high correlations. In fact, we prove that SWAP outputs the true support, the locations of the non-zero entries in the sparse vector, under a relatively mild condition on the measurement matrix. Furthermore, we show that SWAP can be used to boost the performance of any sparse regression algorithm. We empirically demonstrate the advantages of SWAP by comparing it with several state-of-the-art sparse regression algorithms.

Metric learning is a key problem for many data mining and machine learning applications, and has long been dominated by Mahalanobis methods. Recent advances in nonlinear metric learning have demonstrated the potential power of non-Mahalanobis distance functions, particularly tree-based functions. We propose a novel nonlinear metric learning method that uses an iterative, hierarchical variant of semi-supervised max-margin clustering to construct a forest of cluster hierarchies, where each individual hierarchy can be interpreted as a weak metric over the data. By introducing randomness during hierarchy training and combining the output of many of the resulting semi-random weak hierarchy metrics, we can obtain a powerful and robust nonlinear metric model. This method has two primary contributions: first, it is semi-supervised, incorporating information from both constrained and unconstrained points. Second, we take a relaxed approach to constraint satisfaction, allowing the method to satisfy different subsets of the constraints at different levels of the hierarchy rather than attempting to simultaneously satisfy all of them. This leads to a more robust learning algorithm. We compare our method to a number of state-of-the-art benchmarks on $k$-nearest neighbor classification, large-scale image retrieval and semi-supervised clustering problems, and find that our algorithm yields results comparable or superior to the state-of-the-art, and is significantly more robust to noise.

In this paper, a new descriptor selection method for selecting an optimal combination of important descriptors of sulfonamide derivatives data, named self tuned reweighted sampling (STRS), is developed. descriptors are defined as the descriptors with large absolute coefficients in a multivariate linear regression model such as partial least squares(PLS). In this study, the absolute values of regression coefficients of PLS model are used as an index for evaluating the importance of each descriptor Then, based on the importance level of each descriptor, STRS sequentially selects N subsets of descriptors from N Monte Carlo (MC) sampling runs in an iterative and competitive manner. In each sampling run, a fixed ratio (e.g. 80%) of samples is first randomly selected to establish a regresson model. Next, based on the regression coefficients, a two-step procedure including rapidly decreasing function (RDF) based enforced descriptor selection and self tuned sampling (STS) based competitive descriptor selection is adopted to select the important descriptorss. After running the loops, a number of subsets of descriptors are obtained and root mean squared error of cross validation (RMSECV) of PLS models established with subsets of descriptors is computed. The subset of descriptors with the lowest RMSECV is considered as the optimal descriptor subset. The performance of the proposed algorithm is evaluated by sulfanomide derivative dataset. The results reveal an good characteristic of STRS that it can usually locate an optimal combination of some important descriptors which are interpretable to the biologically of interest. Additionally, our study shows that better prediction is obtained by STRS when compared to full descriptor set PLS modeling, Monte Carlo uninformative variable elimination (MC-UVE).

We describe an adaptation of the simulated annealing algorithm to nonparametric clustering and related probabilistic models. This new algorithm learns nonparametric latent structure over a growing and constantly churning subsample of training data, where the portion of data subsampled can be interpreted as the inverse temperature beta(t) in an annealing schedule. Gibbs sampling at high temperature (i.e., with a very small subsample) can more quickly explore sketches of the final latent state by (a) making longer jumps around latent space (as in block Gibbs) and (b) lowering energy barriers (as in simulated annealing). We prove subsample annealing speeds up mixing time N^2 -> N in a simple clustering model and exp(N) -> N in another class of models, where N is data size. Empirically subsample-annealing outperforms naive Gibbs sampling in accuracy-per-wallclock time, and can scale to larger datasets and deeper hierarchical models. We demonstrate improved inference on million-row subsamples of US Census data and network log data and a 307-row hospital rating dataset, using a Pitman-Yor generalization of the Cross Categorization model.

We apply the OSCAR (octagonal selection and clustering algorithms for regression) in recovering group-sparse matrices (two-dimensional---2D---arrays) from compressive measurements. We propose a 2D version of OSCAR (2OSCAR) consisting of the $\ell_1$ norm and the pair-wise $\ell_{\infty}$ norm, which is convex but non-differentiable. We show that the proximity operator of 2OSCAR can be computed based on that of OSCAR. The 2OSCAR problem can thus be efficiently solved by state-of-the-art proximal splitting algorithms. Experiments on group-sparse 2D array recovery show that 2OSCAR regularization solved by the SpaRSA algorithm is the fastest choice, while the PADMM algorithm (with debiasing) yields the most accurate results.

We propose a novel SPARsity and Clustering (SPARC) regularizer, which is a modified version of the previous octagonal shrinkage and clustering algorithm for regression (OSCAR), where, the proposed regularizer consists of a $K$-sparse constraint and a pair-wise $\ell_{\infty}$ norm restricted on the $K$ largest components in magnitude. The proposed regularizer is able to separably enforce $K$-sparsity and encourage the non-zeros to be equal in magnitude. Moreover, it can accurately group the features without shrinking their magnitude. In fact, SPARC is closely related to OSCAR, so that the proximity operator of the former can be efficiently computed based on that of the latter, allowing using proximal splitting algorithms to solve problems with SPARC regularization. Experiments on synthetic data and with benchmark breast cancer data show that SPARC is a competitive group-sparsity inducing regularizer for regression and classification.

Determinantal point processes (DPPs) are well-suited for modeling repulsion and have proven useful in many applications where diversity is desired. While DPPs have many appealing properties, such as efficient sampling, learning the parameters of a DPP is still considered a difficult problem due to the non-convex nature of the likelihood function. In this paper, we propose using Bayesian methods to learn the DPP kernel parameters. These methods are applicable in large-scale and continuous DPP settings even when the exact form of the eigendecomposition is unknown. We demonstrate the utility of our DPP learning methods in studying the progression of diabetic neuropathy based on spatial distribution of nerve fibers, and in studying human perception of diversity in images.