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This paper is concerned with developing an efficient numerical algorithm for fast implementation of the sparse grid method for computing the $d$-dimensional integral of a given function. The new algorithm, called the MDI-SG ({\em multilevel dimension iteration sparse grid}) method, implements the sparse grid method based on a dimension iteration/reduction procedure, it does not need to store the integration points, neither does it compute the function values independently at each integration point, instead, it re-uses the computation for function evaluations as much as possible by performing the function evaluations at all integration points in a cluster and iteratively along coordinate directions. It is shown numerically that the computational complexity (in terms of CPU time) of the proposed MDI-SG method is of polynomial order $O(Nd^3 )$ or better, compared to the exponential order $O(N(\log N)^{d-1})$ for the standard sparse grid method, where $N$ denotes the maximum number of integration points in each coordinate direction. As a result, the proposed MDI-SG method effectively circumvents the curse of dimensionality suffered by the standard sparse grid method for high-dimensional numerical integration.

We consider optimization problems in which the goal is find a $k$-dimensional subspace of $\mathbb{R}^n$, $k<<n$, which minimizes a convex and smooth loss. Such problems generalize the fundamental task of principal component analysis (PCA) to include robust and sparse counterparts, and logistic PCA for binary data, among others. This problem could be approached either via nonconvex gradient methods with highly-efficient iterations, but for which arguing about fast convergence to a global minimizer is difficult or, via a convex relaxation for which arguing about convergence to a global minimizer is straightforward, but the corresponding methods are often inefficient in high dimensions. In this work we bridge these two approaches under a strict complementarity assumption, which in particular implies that the optimal solution to the convex relaxation is unique and is also the optimal solution to the original nonconvex problem. Our main result is a proof that a natural nonconvex gradient method which is \textit{SVD-free} and requires only a single QR-factorization of an $n\times k$ matrix per iteration, converges locally with a linear rate. We also establish linear convergence results for the nonconvex projected gradient method, and the Frank-Wolfe method when applied to the convex relaxation.

This paper considers a convex composite optimization problem with affine constraints, which includes problems that take the form of minimizing a smooth convex objective function over the intersection of (simple) convex sets, or regularized with multiple (simple) functions. Motivated by high-dimensional applications in which exact projection/proximal computations are not tractable, we propose a \textit{projection-free} augmented Lagrangian-based method, in which primal updates are carried out using a \textit{weak proximal oracle} (WPO). In an earlier work, WPO was shown to be more powerful than the standard \textit{linear minimization oracle} (LMO) that underlies conditional gradient-based methods (aka Frank-Wolfe methods). Moreover, WPO is computationally tractable for many high-dimensional problems of interest, including those motivated by recovery of low-rank matrices and tensors, and optimization over polytopes which admit efficient LMOs. The main result of this paper shows that under a certain curvature assumption (which is weaker than strong convexity), our WPO-based algorithm achieves an ergodic rate of convergence of $O(1/T)$ for both the objective residual and feasibility gap. This result, to the best of our knowledge, improves upon the $O(1/\sqrt{T})$ rate for existing LMO-based projection-free methods for this class of problems. Empirical experiments on a low-rank and sparse covariance matrix estimation task and the Max Cut semidefinite relaxation demonstrate the superiority of our method over state-of-the-art LMO-based Lagrangian-based methods.

Morse and Ingard give a coupled system of time-harmonic equations for the temperature and pressure of an excited gas. These equations form a critical aspect of modeling trace gas sensors. Like other wave propagation problems, the computational problem must be closed with suitable far-field boundary conditions. Working in a scattered-field formulation, we adapt a nonlocal boundary condition proposed earlier for the Helmholtz equation to this coupled system. This boundary condition uses a Green's formula for the true solution on the boundary, giving rise to a nonlocal perturbation of standard transmission boundary conditions. However, the boundary condition is exact and so Galerkin discretization of the resulting problem converges to the restriction of the exact solution to the computational domain. Numerical results demonstrate that accuracy can be obtained on relatively coarse meshes on small computational domains, and the resulting algebraic systems may be solved by GMRES using the local part of the operator as an effective preconditioner.

This paper is concerned with low-rank matrix optimization, which has found a wide range of applications in machine learning. This problem in the special case of matrix sensing has been studied extensively through the notion of Restricted Isometry Property (RIP), leading to a wealth of results on the geometric landscape of the problem and the convergence rate of common algorithms. However, the existing results can handle the problem in the case with a general objective function subject to noisy data only when the RIP constant is close to 0. In this paper, we develop a new mathematical framework to solve the above-mentioned problem with a far less restrictive RIP constant. We prove that as long as the RIP constant of the noiseless objective is less than $1/3$, any spurious local solution of the noisy optimization problem must be close to the ground truth solution. By working through the strict saddle property, we also show that an approximate solution can be found in polynomial time. We characterize the geometry of the spurious local minima of the problem in a local region around the ground truth in the case when the RIP constant is greater than $1/3$. Compared to the existing results in the literature, this paper offers the strongest RIP bound and provides a complete theoretical analysis on the global and local optimization landscapes of general low-rank optimization problems under random corruptions from any finite-variance family.

The common methods of spectral analysis for multivariate ($n$-dimensional) time series, like discrete Frourier transform (FT) or Wavelet transform, are based on Fourier series to decompose discrete data into a set of trigonometric model components, e. g. amplitude and phase. Applied to discrete data with a finite range several limitations of (time discrete) FT can be observed which are caused by the orthogonality mismatch of the trigonometric basis functions on a finite interval. However, in the general situation of non-equidistant or fragmented sampling FT based methods will cause significant errors in the parameter estimation. Therefore, the classical Lomb-Scargle method (LSM), which is not based on Fourier series, was developed as a statistical tool for one dimensional data to circumvent the inconsistent and erroneous parameter estimation of FT. The present work deduces LSM for $n$-dimensional data sets by a redefinition of the shifting parameter $\tau$, to maintain orthogonality of the trigonometric basis. An analytical derivation shows, that $n$-D LSM extents the traditional 1D case preserving all the statistical benefits, such as the improved noise rejection. Here, we derive the parameter confidence intervals for LSM and compare it with FT. Applications with ideal test data and experimental data will illustrate and support the proposed method.

In this paper, we perform a rigourous version of shape and topological derivatives for optimizations problems under constraint Helmoltz problems. A shape and topological optimization problem is formulated by introducing cost functional. We derive first by considering the lagradian method the shape derivative of the functional. It is also proven a topological derivative with the same approach. An application to several unconstrained shape functions arising from differential geometry are also given.

We propose estimators based on kernel ridge regression for nonparametric causal functions such as dose, heterogeneous, and incremental response curves. Treatment and covariates may be discrete or continuous in general spaces. Due to a decomposition property specific to the RKHS, our estimators have simple closed form solutions. We prove uniform consistency with finite sample rates via original analysis of generalized kernel ridge regression. We extend our main results to counterfactual distributions and to causal functions identified by front and back door criteria. We achieve state-of-the-art performance in nonlinear simulations with many covariates, and conduct a policy evaluation of the US Job Corps training program for disadvantaged youths.

It is now well documented that genetic covariance between functionally related traits leads to an uneven distribution of genetic variation across multivariate trait combinations, and possibly a large part of phenotype-space that is inaccessible to evolution. How the size of this nearly-null genetic space translates to the broader phenome level is unknown. High dimensional phenotype data to address these questions are now within reach, however, incorporating these data into genetic analyses remains a challenge. Multi-trait genetic analyses, of more than a handful of traits, are slow and often fail to converge when fit with REML. This makes it challenging to estimate the genetic covariance ($\mathbf{G}$) underlying thousands of traits, let alone study its properties. We present a previously proposed REML algorithm that is feasible for high dimensional genetic studies in the specific setting of a balanced nested half-sib design, common of quantitative genetics. We show that it substantially outperforms other common approaches when the number of traits is large, and we use it to investigate the bias in estimated eigenvalues of $\mathbf{G}$ and the size of the nearly-null genetic subspace. We show that the high-dimensional biases observed are qualitatively similar to those substantiated by asymptotic approximation in a simpler setting of a sample covariance matrix based on i.i.d. vector observation, and that interpreting the estimated size of the nearly-null genetic subspace requires considerable caution in high-dimensional studies of genetic variation. Our results provide the foundation for future research characterizing the asymptotic approximation of estimated genetic eigenvalues, and a statistical null distribution for phenome-wide studies of genetic variation.

We consider inverse problems in Hilbert spaces under correlated Gaussian noise and use a Bayesian approach to find their regularised solution. We focus on mildly ill-posed inverse problems with the noise being generalised derivative of fractional Brownian motion, using a novel wavelet - based approach we call vaguelette-vaguelette. It allows us to apply sequence space methods without assuming that all operators are simultaneously diagonalisable. The results are proved for more general bases and covariance operators. Our primary aim is to study the posterior contraction rate in such inverse problems over Sobolev classes of true functions, comparing it to the derived minimax rate. Secondly, we study the effect of plugging in a consistent estimator of variances in sequence space on the posterior contraction rate, for instance where there are repeated observations. This result is also applied to the problem where the forward operator is observed with error. Thirdly, we show that an adaptive empirical Bayes posterior distribution contracts at the optimal rate, in the minimax sense, under a condition on prior smoothness, with a plugged in maximum marginal likelihood estimator of the prior scale. These theoretical results are illustrated on simulated data.