Random projections are random linear maps, sampled from appropriate distributions, that approximately preserve certain geometrical invariants so that the approximation improves as the dimension of the space grows. The well-known Johnson-Lindenstrauss lemma states that there are \LL{random matrices with surprisingly few rows} that approximately preserve pairwise Euclidean distances among a set of points. This is … Read more
The Johnson-Lindenstrauss lemma allows dimension reduction on real vectors with low distortion on their pairwise Euclidean distances. This result is often used in algorithms such as $k$-means or $k$ nearest neighbours since they only use Euclidean distances, and has sometimes been used in optimization algorithms involving the minimization of Euclidean distances. In this paper we … Read more
In this paper, we study convex optimization methods for computing the trace norm regularized least squares estimate in multivariate linear regression. The so-called factor estimation and selection (FES) method, recently proposed by Yuan et al. [17], conducts parameter estimation and factor selection simultaneously and have been shown to enjoy nice properties in both large and … Read more