Student Seminar – Fall 2019

Schedule for Fall 2019

 

Seminars are on Wednesdays
Time: 12:00pm – 1:00pm
Location: Room 1025, 1255 Amsterdam Avenue
Contacts: Yuling Yao, Owen Ward

Information for speakers: For information about schedule, direction, equipment, reimbursement and hotel, please click here.

 
 
9/11/19

Cynthia G. Rush (Columbia University)

Title: Algorithmic Analysis of SLOPE via Approximate Message Passing

Abstract: SLOPE is a relatively new convex optimization procedure for high-dimensional linear regression via the sorted L1 penalty: the larger the rank of the fitted coefficient, the larger the penalty. This non-separable penalty renders many existing techniques invalid or inconclusive in analyzing the SLOPE solution. In this talk, we propose using approximate message passing or AMP to provably solve the SLOPE problem in the regime of linear sparsity under Gaussian random designs. This algorithmic approach allows one to approximate the SLOPE solution via the much more amenable AMP iterates, and a consequence of this analysis is an asymptotically exact characterization of the SLOPE solution. Explicitly, we demonstrate that one can characterize the asymptotic dynamics of the AMP iterates by employing a recently developed state evolution analysis for non-separable penalties, thereby overcoming the difficulty caused by the sorted L1 penalty. We demonstrate the potential of such an asymptotic analysis by using it to study the false discovery rate and true positive proportion of SLOPE solutions. This is joint work with Zhiqi Bu, Jason Klusowski, and Weijie Su.

9/18/19

Summer 2019 Internships Recap

9/25/19

 

 

10/2/19

 

10/9/19

 

10/16/19  
10/23/19
 
10/30/19
 
11/6/19

 

11/13/19

 

 

11/20/19

 

11/27/19

 

12/4/19