Assume that a linear random-effects model (LRM) $\by = \bX \bbe + \bve = \bX\bbe+ \bve$ with $\bbe = \bA \bal + \bga$ is transformed as $\bT\by = \bT\bX\bbe + \bT\bve = \bT\bX\bA \bal + \bT\bX\bga + \bT\bve$ by pre-multiplying a given matrix $\bT$. Estimations/predictions of the unknown parameters under the two models are not … Read more
This article presents a new investigation to the linear mixed model $\by = \bX \bbe + \bZ\bga + \bve$ with fixed effect $\bX\bbe$ and random effect $\bZ\bga$ under a general assumption via some novel algebraic tools in matrix theory, and reveals a variety of deep and profound properties hidden behind the linear mixed model. We … Read more
We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value and optimal solutions when the stochastic program is expressed in terms of a law invariant coherent risk measure. The obtained results are applied … Read more
In a common formulation of semi-infinite programs, the infinite constraint set is a requirement that a function parametrized by the decision variables is nonnegative over an interval. If this function is sufficiently closely approximable by a polynomial or a rational function, then the semi-infinite program can be reformulated as an equivalent semidefinite program. Solving this … Read more
In the context of sparse recovery, it is known that most of existing regularizers such as $\ell_1$ suffer from some bias incurred by some leading entries (in magnitude) of the associated vector. To neutralize this bias, we propose a class of models with partial regularizers for recovering a sparse solution of a linear system. We … Read more
We consider the problem of estimating high dimensional spatial graphical models with a total cardinality constraint (i.e., the l0-constraint). Though this problem is highly nonconvex, we show that its primal-dual gap diminishes linearly with the dimensionality and provide a convex geometry justification of this ‘blessing of massive scale’ phenomenon. Motivated by this result, we propose … Read more
We consider the problem of decomposing a multivariate polynomial as the difference of two convex polynomials. We introduce algebraic techniques which reduce this task to linear, second order cone, and semidefinite programming. This allows us to optimize over subsets of valid difference of convex decompositions (dcds) and find ones that speed up the convex-concave procedure … Read more
Many uncertainty sets encountered in control systems analysis and design can be expressed in terms of semialgebraic sets, that is as the intersection of sets described by means of polynomial inequalities. Important examples are for instance the solution set of linear matrix inequalities or the Schur/Hurwitz stability domains. These sets often have very complicated shapes … Read more
We propose a novel, Bayesian framework for assessing the relative strengths of data-driven ambiguity sets in distributionally robust optimization (DRO). The key idea is to measure the relative size between a candidate ambiguity set and an \emph{asymptotically optimal} set as the amount of data grows large. This asymptotically optimal set is provably the smallest convex … Read more
This paper approximates simulation models by B-splines with a penalty on high-order finite differences of the coefficients of adjacent B-splines. The penalty prevents overfitting. The simulation output is assumed to be nonnegative. The nonnegative spline simulation metamodel is casted as a second-order cone programming model, which can be solved efficiently by modern optimization techniques. The … Read more