Research Group "Stochastic Algorithms and Nonparametric Statistics"

Research Seminar "Mathematical Statistics" Summer Semester 2018

  • Place: Weierstrass-Institute for Applied Analysis and Stochastics, Erhard-Schmidt-Hörsaal, Mohrenstraße 39, 10117 Berlin
  • Time: >Wednesdays, 10.00 a.m. - 12.30 p.m.
18.04.18 Dr. Alexandra Suvorikova (WIAS Berlin)
Gaussian process forecast with multidimensional distributional input
In this work, we focus on forecasting a Gaussian process indexed by probability distributions. We introduce a family of positive definite kernels constructed with the use of optimal transportation distance and provide their probabilistic understanding. The technique allows to forecast efficiently Gaussian processes, which opens new perspective in Gaussian process modelling.
25.04.18 Nicolai Baldin (University of Cambridge, GB)
Optimal link prediction with matrix logistic regression
In this talk, we will consider the problem of link prediction, based on partial observation of a large network, and on side information associated to its vertices. The generative model is formulated as a matrix logistic regression. The performance of the model is analysed in a high-dimensional regime under a structural assumption. The minimax rate for the Frobenius-norm risk is established and a combinatorial estimator based on the penalised maximum likelihood approach is shown to achieve it. Furthermore, it is shown that this rate cannot be attained by any (randomised) algorithm computable in polynomial time under a computational complexity assumption. (joint work with Q. Berthet)

09.05.18 Prof. Gitta Kutyniok (TU Berlin)

16.05.18 Prof. Moritz Jirak (TU Braunschweig)


30.05.18 Florian Schäfer (California Institute of Technology, USA)
Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity
Many popular methods in machine learning, statistics, and uncertainty quantification rely on priors given by smooth Gaussian processes, like those obtained from the Mat ́ern covariance functions. Furthermore, many physical systems are described in terms of elliptic partial differential equa- tions. Therefore, implicitely or explicitely, numerical simulation of these systems requires an efficient numerical representation of the correspond- ing Green’s operator. The resulting kernel matrices are typically dense, leading to (often prohibitive) O N2 or O N3 computational complexity. In this work, we prove rigorously that the dense N × N kernel matri- ces obtained from elliptic boundary value problems and measurement points distributed approximately uniformly in a d-dimensional domain can be Cholesky factorised to accuracy ε in computational complexity O N log2(N)log2d(N/ε) in time and O N log(N)logd(N/ε) in space. For the closely related Mat ́ern covariances we observe very good results in practise, even for parameters corresponding to non-integer order equa- tions. As a byproduct, we obtain a sparse PCA with near-optimal low- rank approximation property and a fast solver for elliptic PDE. We emphasise that our algorithm requires no analytic expression for the covariance function. Our work is inspired by the probabilistic interpretation of the Cholesky factorisation, the screening effect in spatial statistics, and recent results in numerical homogenisation.

13.06.18 Prof. Alain Celisse (Université des Sciences et Technologies de Lille, France)

20.06.18 Prof. Zuoqiang Shi (Tsinghua University, Beijing, China)
Low dimensional manifold model for image processing
In this talk, I will introduce a novel low dimensional manifold model for image processing problem. This model is based on the observation that for many natural images, the patch manifold usually has low dimension structure. Then, we use the dimension of the patch manifold as a regularization to recover the original image. Using some formula in differential geometry, this problem is reduced to solve Laplace-Beltrami equation on manifold. The Laplace-Beltrami equation is solved by the point integral method. Numerical tests show that this method gives very good results in image inpainting, denoising and super-resolution problem. This is joint work with Stanley Osher and Wei Zhu.


last reviewed: April 10, 2018 by Christine Schneider