The study of geometric extremes, where extremal dependence properties are inferred from the deterministic limiting shapes of scaled sample clouds, provides an exciting approach to modelling the extremes of multivariate data. These shapes, termed limit sets, link together several popular extremal dependence modelling frameworks. Although the geometric approach is becoming an increasingly popular modelling tool, current inference techniques are limited to a low dimensional setting (d < 4), and generally require rigid modelling assumptions. In this work, we propose a range of novel theoretical results to aid with the implementation of the geometric extremes framework and introduce the first approach to modelling limit sets using deep learning. By leveraging neural networks, we construct asymptotically-justified yet flexible semi-parametric models for extremal dependence of high-dimensional data. We showcase the efficacy of our deep approach by modelling the complex extremal dependencies between meteorological and oceanographic variables in the North Sea off the coast of the UK.

Low-rank inducing unitarily invariant norms have been introduced to convexify problems with low-rank/sparsity constraint. They are the convex envelope of a unitary invariant norm and the indicator function of an upper bounding rank constraint. The most well-known member of this family is the so-called nuclear norm. To solve optimization problems involving such norms with proximal splitting methods, efficient ways of evaluating the proximal mapping of the low-rank inducing norms are needed. This is known for the nuclear norm, but not for most other members of the low-rank inducing family. This work supplies a framework that reduces the proximal mapping evaluation into a nested binary search, in which each iteration requires the solution of a much simpler problem. This simpler problem can often be solved analytically as it is demonstrated for the so-called low-rank inducing Frobenius and spectral norms. Moreover, the framework allows to compute the proximal mapping of compositions of these norms with increasing convex functions and the projections onto their epigraphs. This has the additional advantage that we can also deal with compositions of increasing convex functions and low-rank inducing norms in proximal splitting methods.

We consider the use of no-regret algorithms to compute equilibria for particular classes of convex-concave games. While standard regret bounds would lead to convergence rates on the order of $O(T^{-1/2})$, recent work \citep{RS13,SALS15} has established $O(1/T)$ rates by taking advantage of a particular class of optimistic prediction algorithms. In this work we go further, showing that for a particular class of games one achieves a $O(1/T^2)$ rate, and we show how this applies to the Frank-Wolfe method and recovers a similar bound \citep{D15}. We also show that such no-regret techniques can even achieve a linear rate, $O(\exp(-T))$, for equilibrium computation under additional curvature assumptions.

In the setting of high-dimensional linear regression models, we propose two frameworks for constructing pointwise and group confidence sets for penalized estimators which incorporate prior knowledge about the organization of the non-zero coefficients. This is done by desparsifying the estimator as in van de Geer et al. [18] and van de Geer and Stucky [17], then using an appropriate estimator for the precision matrix $\Theta$. In order to estimate the precision matrix a corresponding structured matrix norm penalty has to be introduced. After normalization the result is an asymptotic pivot. The asymptotic behavior is studied and simulations are added to study the differences between the two schemes.

Optimization problems with rank constraints appear in many diverse fields such as control, machine learning and image analysis. Since the rank constraint is non-convex, these problems are often approximately solved via convex relaxations. Nuclear norm regularization is the prevailing convexifying technique for dealing with these types of problem. This paper introduces a family of low-rank inducing norms and regularizers which includes the nuclear norm as a special case. A posteriori guarantees on solving an underlying rank constrained optimization problem with these convex relaxations are provided. We evaluate the performance of the low-rank inducing norms on three matrix completion problems. In all examples, the nuclear norm heuristic is outperformed by convex relaxations based on other low-rank inducing norms. For two of the problems there exist low-rank inducing norms that succeed in recovering the partially unknown matrix, while the nuclear norm fails. These low-rank inducing norms are shown to be representable as semi-definite programs and to have cheaply computable proximal mappings. The latter makes it possible to also solve problems of large size with the help of scalable first-order methods. Finally, it is proven that our findings extend to the more general class of atomic norms. In particular, this allows us to solve corresponding vector-valued problems, as well as problems with other non-convex constraints.