L.M. Bregman

Bio: L.M. Bregman is an academic researcher. The author has contributed to research in topics: Convex polytope & Convex combination. The author has an hindex of 1, co-authored 1 publications receiving 2456 citations.

The relaxation method of finding the common point of convex sets and its application to the solution of problems in convex programming

Abstract: IN this paper we consider an iterative method of finding the common point of convex sets. This method can be regarded as a generalization of the methods discussed in [1–4]. Apart from problems which can be reduced to finding some point of the intersection of convex sets, the method considered can be applied to the approximate solution of problems in linear and convex programming.

Distributed Optimization and Statistical Learning Via the Alternating Direction Method of Multipliers

Abstract: Many problems of recent interest in statistics and machine learning can be posed in the framework of convex optimization. Due to the explosion in size and complexity of modern datasets, it is increasingly important to be able to solve problems with a very large number of features or training examples. As a result, both the decentralized collection or storage of these datasets as well as accompanying distributed solution methods are either necessary or at least highly desirable. In this review, we argue that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas. The method was developed in the 1970s, with roots in the 1950s, and is equivalent or closely related to many other algorithms, such as dual decomposition, the method of multipliers, Douglas–Rachford splitting, Spingarn's method of partial inverses, Dykstra's alternating projections, Bregman iterative algorithms for l1 problems, proximal methods, and others. After briefly surveying the theory and history of the algorithm, we discuss applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others. We also discuss general distributed optimization, extensions to the nonconvex setting, and efficient implementation, including some details on distributed MPI and Hadoop MapReduce implementations.

Advances in kernel methods: support vector learning

Abstract: Introduction to support vector learning roadmap. Part 1 Theory: three remarks on the support vector method of function estimation, Vladimir Vapnik generalization performance of support vector machines and other pattern classifiers, Peter Bartlett and John Shawe-Taylor Bayesian voting schemes and large margin classifiers, Nello Cristianini and John Shawe-Taylor support vector machines, reproducing kernel Hilbert spaces, and randomized GACV, Grace Wahba geometry and invariance in kernel based methods, Christopher J.C. Burges on the annealed VC entropy for margin classifiers - a statistical mechanics study, Manfred Opper entropy numbers, operators and support vector kernels, Robert C. Williamson et al. Part 2 Implementations: solving the quadratic programming problem arising in support vector classification, Linda Kaufman making large-scale support vector machine learning practical, Thorsten Joachims fast training of support vector machines using sequential minimal optimization, John C. Platt. Part 3 Applications: support vector machines for dynamic reconstruction of a chaotic system, Davide Mattera and Simon Haykin using support vector machines for time series prediction, Klaus-Robert Muller et al pairwise classification and support vector machines, Ulrich Kressel. Part 4 Extensions of the algorithm: reducing the run-time complexity in support vector machines, Edgar E. Osuna and Federico Girosi support vector regression with ANOVA decomposition kernels, Mark O. Stitson et al support vector density estimation, Jason Weston et al combining support vector and mathematical programming methods for classification, Bernhard Scholkopf et al.

Strictly Proper Scoring Rules, Prediction, and Estimation

Abstract: Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distributionF if he or she issues the probabilistic forecast F, rather than G ≠ F. It is strictly proper if the maximum is unique. In prediction problems, proper scoring rules encourage the forecaster to make careful assessments and to be honest. In estimation problems, strictly proper scoring rules provide attractive loss and utility functions that can be tailored to the problem at hand. This article reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions, and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the ...

Graphical Models, Exponential Families, and Variational Inference

Abstract: The formalism of probabilistic graphical models provides a unifying framework for capturing complex dependencies among random variables, and building large-scale multivariate statistical models. Graphical models have become a focus of research in many statistical, computational and mathematical fields, including bioinformatics, communication theory, statistical physics, combinatorial optimization, signal and image processing, information retrieval and statistical machine learning. Many problems that arise in specific instances — including the key problems of computing marginals and modes of probability distributions — are best studied in the general setting. Working with exponential family representations, and exploiting the conjugate duality between the cumulant function and the entropy for exponential families, we develop general variational representations of the problems of computing likelihoods, marginal probabilities and most probable configurations. We describe how a wide variety of algorithms — among them sum-product, cluster variational methods, expectation-propagation, mean field methods, max-product and linear programming relaxation, as well as conic programming relaxations — can all be understood in terms of exact or approximate forms of these variational representations. The variational approach provides a complementary alternative to Markov chain Monte Carlo as a general source of approximation methods for inference in large-scale statistical models.

The Split Bregman Method for L1-Regularized Problems

Abstract: The class of L1-regularized optimization problems has received much attention recently because of the introduction of “compressed sensing,” which allows images and signals to be reconstructed from small amounts of data. Despite this recent attention, many L1-regularized problems still remain difficult to solve, or require techniques that are very problem-specific. In this paper, we show that Bregman iteration can be used to solve a wide variety of constrained optimization problems. Using this technique, we propose a “split Bregman” method, which can solve a very broad class of L1-regularized problems. We apply this technique to the Rudin-Osher-Fatemi functional for image denoising and to a compressed sensing problem that arises in magnetic resonance imaging.