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05/13/2022
A Relaxation Approach to Feature Selection for Linear Mixed Effects Models
Linear Mixed-Effects (LME) models are a fundamental tool for modeling co...
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10/15/2019
IRLS for Sparse Recovery Revisited: Examples of Failure and a Remedy
Compressed sensing is a central topic in signal processing with myriad a...
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03/07/2018
Fast Robust Methods for Singular State-Space Models
State-space models are used in a wide range of time series analysis form...
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03/04/2017
Convex Geometry of the Generalized Matrix-Fractional Function
Generalized matrix-fractional (GMF) functions are a class of matrix supp...
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09/30/2013
Generalized system identification with stable spline kernels
Regularized least-squares approaches have been successfully applied to l...
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03/22/2013
Robust and Trend Following Student's t Kalman Smoothers
We present a Kalman smoothing framework based on modeling errors using t...
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03/12/2013
Linear system identification using stable spline kernels and PLQ penalties
The classical approach to linear system identification is given by param...
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03/08/2013
Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation
In this paper, we present the optimization formulation of the Kalman fil...
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02/26/2013
Convex vs nonconvex approaches for sparse estimation: GLasso, Multiple Kernel Learning and Hyperparameter GLasso
The popular Lasso approach for sparse estimation can be derived via marg...
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01/22/2013
The connection between Bayesian estimation of a Gaussian random field and RKHS
Reconstruction of a function from noisy data is often formulated as a re...
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01/19/2013
Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
We introduce a class of quadratic support (QS) functions, many of which ...
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11/19/2012