The Lasso is a very well known penalized regression model, which adds an $L_{1}$ penalty with parameter $\lambda_{1}$ on the coefficients to the squared error loss function. The Fused Lasso extends this model by also putting an $L_{1}$ penalty with parameter $\lambda_{2}$ on the difference of neighboring coefficients, assuming there is a natural ordering. In this paper, we develop a fast path algorithm for solving the Fused Lasso Signal Approximator that computes the solutions for all values of $\lambda_1$ and $\lambda_2$. In the supplement, we also give an algorithm for the general Fused Lasso for the case with predictor matrix $\bX \in \mathds{R}^{n \times p}$ with $\text{rank}(\bX)=p$.

Many inference problems involving questions of optimality ask for the maximum or the minimum of a finite set of unknown quantities. This technical report derives the first two posterior moments of the maximum of two correlated Gaussian variables and the first two posterior moments of the two generating variables (corresponding to Gaussian approximations minimizing relative entropy). It is shown how this can be used to build a heuristic approximation to the maximum relationship over a finite set of Gaussian variables, allowing approximate inference by Expectation Propagation on such quantities.

In the last few years, due to the growing ubiquity of unlabeled data, much effort has been spent by the machine learning community to develop better understanding and improve the quality of classifiers exploiting unlabeled data. Following the manifold regularization approach, Laplacian Support Vector Machines (LapSVMs) have shown the state of the art performance in semi--supervised classification. In this paper we present two strategies to solve the primal LapSVM problem, in order to overcome some issues of the original dual formulation. Whereas training a LapSVM in the dual requires two steps, using the primal form allows us to collapse training to a single step. Moreover, the computational complexity of the training algorithm is reduced from O(n^3) to O(n^2) using preconditioned conjugate gradient, where n is the combined number of labeled and unlabeled examples. We speed up training by using an early stopping strategy based on the prediction on unlabeled data or, if available, on labeled validation examples. This allows the algorithm to quickly compute approximate solutions with roughly the same classification accuracy as the optimal ones, considerably reducing the training time. Due to its simplicity, training LapSVM in the primal can be the starting point for additional enhancements of the original LapSVM formulation, such as those for dealing with large datasets. We present an extensive experimental evaluation on real world data showing the benefits of the proposed approach.

We describe a method for inferring linear causal relations among multi-dimensional variables. The idea is to use an asymmetry between the distributions of cause and effect that occurs if both the covariance matrix of the cause and the structure matrix mapping cause to the effect are independently chosen. The method works for both stochastic and deterministic causal relations, provided that the dimensionality is sufficiently high (in some experiments, 5 was enough). It is applicable to Gaussian as well as non-Gaussian data.

This paper proposes an original approach to cluster multi-component data sets, including an estimation of the number of clusters. From the construction of a minimal spanning tree with Prim's algorithm, and the assumption that the vertices are approximately distributed according to a Poisson distribution, the number of clusters is estimated by thresholding the Prim's trajectory. The corresponding cluster centroids are then computed in order to initialize the generalized Lloyd's algorithm, also known as $K$-means, which allows to circumvent initialization problems. Some results are derived for evaluating the false positive rate of our cluster detection algorithm, with the help of approximations relevant in Euclidean spaces. Metrics used for measuring similarity between multi-dimensional data points are based on symmetrical divergences. The use of these informational divergences together with the proposed method leads to better results, compared to other clustering methods for the problem of astrophysical data processing. Some applications of this method in the multi/hyper-spectral imagery domain to a satellite view of Paris and to an image of the Mars planet are also presented. In order to demonstrate the usefulness of divergences in our problem, the method with informational divergence as similarity measure is compared with the same method using classical metrics. In the astrophysics application, we also compare the method with the spectral clustering algorithms.

The Minimum Description Length (MDL) principle selects the model that has the shortest code for data plus model. We show that for a countable class of models, MDL predictions are close to the true distribution in a strong sense. The result is completely general. No independence, ergodicity, stationarity, identifiability, or other assumption on the model class need to be made. More formally, we show that for any countable class of models, the distributions selected by MDL (or MAP) asymptotically predict (merge with) the true measure in the class in total variation distance. Implications for non-i.i.d. domains like time-series forecasting, discriminative learning, and reinforcement learning are discussed.

We introduce a Bernstein-type inequality which serves to uniformly control quadratic forms of gaussian variables. The latter can for example be used to derive sharp model selection criteria for linear estimation in linear regression and linear inverse problems via penalization, and we do not exclude that its scope of application can be made even broader.

Let M be a random (alpha n) x n matrix of rank r<

In the context of clustering, we consider a generative model in a Euclidean ambient space with clusters of different shapes, dimensions, sizes and densities. In an asymptotic setting where the number of points becomes large, we obtain theoretical guaranties for a few emblematic methods based on pairwise distances: a simple algorithm based on the extraction of connected components in a neighborhood graph; the spectral clustering method of Ng, Jordan and Weiss; and hierarchical clustering with single linkage. The methods are shown to enjoy some near-optimal properties in terms of separation between clusters and robustness to outliers. The local scaling method of Zelnik-Manor and Perona is shown to lead to a near-optimal choice for the scale in the first two methods. We also provide a lower bound on the spectral gap to consistently choose the correct number of clusters in the spectral method.

We investigate the issue of model selection and the use of the nonconformity (strangeness) measure in batch learning. Using the nonconformity measure we propose a new training algorithm that helps avoid the need for Cross-Validation or Leave-One-Out model selection strategies. We provide a new generalisation error bound using the notion of nonconformity to upper bound the loss of each test example and show that our proposed approach is comparable to standard model selection methods, but with theoretical guarantees of success and faster convergence. We demonstrate our novel model selection technique using the Support Vector Machine.