Xiaohan Wei
Online Convex Optimization with Stochastic Constraints
Hao Yu, Michael Neely, Xiaohan Wei
Neural Information Processing Systems http://nips.cc/
Estimation of the covariance structure of heavy-tailed distributions
Xiaohan Wei, Stanislav Minsker
We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order. While estimation of covariance matrices corresponding to sub-Gaussian distributions is well-understood, much less in known in the case of heavy-tailed data.
Solving Non-smooth Constrained Programs with Lower Complexity than $\mathcal{O}(1/\varepsilon)$: A Primal-Dual Homotopy Smoothing Approach
Xiaohan Wei, Hao Yu, Qing Ling, Michael Neely
We propose a new primal-dual homotopy smoothing algorithm for a linearly constrained convex program, where neither the primal nor the dual function has to be smooth or strongly convex. The best known iteration complexity solving such a non-smooth problem is O("
Solving Non-smooth Constrained Programs with Lower Complexity than $\mathcal{O}(1/\varepsilon)$: A Primal-Dual Homotopy Smoothing Approach
Xiaohan Wei, Hao Yu, Qing Ling, Michael Neely
Neural Information Processing Systems http://nips.cc/
Online Convex Optimization with Stochastic Constraints
Hao Yu, Michael Neely, Xiaohan Wei
Neural Information Processing Systems http://nips.cc/
Estimation of the covariance structure of heavy-tailed distributions
Xiaohan Wei, Stanislav Minsker
Neural Information Processing Systems http://nips.cc/