Arkadi Nemirovski

Anatoli Juditsky, Arkadi Nemirovski, Yao Xie et al. · gatech

We introduce a new computational framework for estimating parameters in generalized generalized linear models (GGLM), a class of models that extends the popular generalized linear models (GLM) to account for dependencies among observations in spatio-temporal data. The proposed approach uses a monotone operator-based variational inequality method to overcome non-convexity in parameter estimation and provide guarantees for parameter recovery. The results can be applied to GLM and GGLM, focusing on spatio-temporal models. We also present online instance-based bounds using martingale concentrations inequalities. Finally, we demonstrate the performance of the algorithm using numerical simulations and a real data example for wildfire incidents.

Anatoli Juditsky, Arkadi Nemirovski, Liyan Xie et al.

We introduce a new general modeling approach for multivariate discrete event data with categorical interacting marks, which we refer to as marked Bernoulli processes. In the proposed model, the probability of an event of a specific category to occur in a location may be influenced by past events at this and other locations. We do not restrict interactions to be positive or decaying over time as it is commonly adopted, allowing us to capture an arbitrary shape of influence from historical events, locations, and events of different categories. In our modeling, prior knowledge is incorporated by allowing general convex constraints on model parameters. We develop two parameter estimation procedures utilizing the constrained Least Squares (LS) and Maximum Likelihood (ML) estimation, which are solved using variational inequalities with monotone operators. We discuss different applications of our approach and illustrate the performance of proposed recovery routines on synthetic examples and a real-world police dataset.

Zaid Harchaoui, Anatoli Juditsky, Arkadi Nemirovski et al.

We discuss the problem of adaptive discrete-time signal denoising in the situation where the signal to be recovered admits a "linear oracle" -- an unknown linear estimate that takes the form of convolution of observations with a time-invariant filter. It was shown by Juditsky and Nemirovski (2009) that when the $\ell_2$-norm of the oracle filter is small enough, such oracle can be "mimicked" by an efficiently computable adaptive estimate of the same structure with an observation-driven filter. The filter in question was obtained as a solution to the optimization problem in which the $\ell_\infty$-norm of the Discrete Fourier Transform (DFT) of the estimation residual is minimized under constraint on the $\ell_1$-norm of the filter DFT. In this paper, we discuss a new family of adaptive estimates which rely upon minimizing the $\ell_2$-norm of the estimation residual. We show that such estimators possess better statistical properties than those based on $\ell_\infty$-fit; in particular, we prove oracle inequalities for their $\ell_2$-loss and improved bounds for $\ell_2$- and pointwise losses. The oracle inequalities rely on the "approximate shift-invariance" assumption stating that the signal to be recovered is close to an (unknown) shift-invariant subspace. We also study the relationship of the approximate shift-invariance assumption with the "signal simplicity" assumption introduced in Juditsky and Nemirovski (2009) and discuss the application of the proposed approach to harmonic oscillations denoising.

Zaid Harchaoui, Anatoli Juditsky, Arkadi Nemirovski

Motivated by some applications in signal processing and machine learning, we consider two convex optimization problems where, given a cone $K$, a norm $\|\cdot\|$ and a smooth convex function $f$, we want either 1) to minimize the norm over the intersection of the cone and a level set of $f$, or 2) to minimize over the cone the sum of $f$ and a multiple of the norm. We focus on the case where (a) the dimension of the problem is too large to allow for interior point algorithms, (b) $\|\cdot\|$ is "too complicated" to allow for computationally cheap Bregman projections required in the first-order proximal gradient algorithms. On the other hand, we assume that {it is relatively easy to minimize linear forms over the intersection of $K$ and the unit $\|\cdot\|$-ball}. Motivating examples are given by the nuclear norm with $K$ being the entire space of matrices, or the positive semidefinite cone in the space of symmetric matrices, and the Total Variation norm on the space of 2D images. We discuss versions of the Conditional Gradient algorithm capable to handle our problems of interest, provide the related theoretical efficiency estimates and outline some applications.

Anatoli Juditsky, Fatma Kilinc Karzan, Arkadi Nemirovski

We discuss a general notion of "sparsity structure" and associated recoveries of a sparse signal from its linear image of reduced dimension possibly corrupted with noise. Our approach allows for unified treatment of (a) the "usual sparsity" and "usual $\ell_1$ recovery," (b) block-sparsity with possibly overlapping blocks and associated block-$\ell_1$ recovery, and (c) low-rank-oriented recovery by nuclear norm minimization. The proposed recovery routines are natural extensions of the usual $\ell_1$ minimization used in Compressed Sensing. Specifically we present nullspace-type sufficient conditions for the recovery to be precise on sparse signals in the noiseless case. Then we derive error bounds for imperfect (nearly sparse signal, presence of observation noise, etc.) recovery under these conditions. In all of these cases, we present efficiently verifiable sufficient conditions for the validity of the associated nullspace properties.