arXiv subjects

Christine De Mol

Publications and source records attributed to Christine De Mol.

5 recordsLinked to original sources

arXiv2025

An iterative algorithm for the square-root Lasso

In the framework of sparsity-enforcing regularisation for linear inverse problems, we consider the minimisation of a square-root Lasso cost function. To solve this problem we devise a simple modification (called SQRT-ISTA) of the Iterative Soft-Thresholding Algorithm (ISTA) for the Lasso problem and we prove convergence for this algorithm. Under some additional assumptions, we derive an upper bound on the convergence rate of the cost function. We also generalise these results to the case of the group square-root Lasso, where sparsity is enforced for groups of variables instead of individual ones.

math.OC↗

arXiv2023

Quantum-inspired classification based on quantum state discrimination

We present quantum-inspired algorithms for classification tasks inspired by the problem of quantum state discrimination. By construction, these algorithms can perform multiclass classification, prevent overfitting, and generate probability outputs. While they could be implemented on a quantum computer, we focus here on classical implementations of such algorithms. The training of these classifiers involves Semi-Definite Programming. We also present a relaxation of these classifiers that utilizes Linear Programming (but that can no longer be interpreted as a quantum measurement). Additionally, we consider a classifier based on the Pretty Good Measurement (PGM) and show how to implement it using an analogue of the so-called Kernel Trick, which allows us to study its performance on any number of copies of the input state. We evaluate these classifiers on the MNIST and MNIST-1D datasets and find that the PGM generally outperforms the other quantum-inspired classifiers and performs comparably to standard classifiers.

quant-ph↗

arXiv2008

A Regularized Method for Selecting Nested Groups of Relevant Genes from Microarray Data

Gene expression analysis aims at identifying the genes able to accurately predict biological parameters like, for example, disease subtyping or progression. While accurate prediction can be achieved by means of many different techniques, gene identification, due to gene correlation and the limited number of available samples, is a much more elusive problem. Small changes in the expression values often produce different gene lists, and solutions which are both sparse and stable are difficult to obtain. We propose a two-stage regularization method able to learn linear models characterized by a high prediction performance. By varying a suitable parameter these linear models allow to trade sparsity for the inclusion of correlated genes and to produce gene lists which are almost perfectly nested. Experimental results on synthetic and microarray data confirm the interesting properties of the proposed method and its potential as a starting point for further biological investigations

stat.ME↗

arXiv2008

Sparse and stable Markowitz portfolios

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e. portfolios with only few active positions), and allows to account for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naive evenly-weighted portfolio which constitutes, as shown in recent literature, a very tough benchmark.

q-fin.PM↗

arXiv2003

An iterative thresholding algorithm for linear inverse problems with a sparsity constraint

We consider linear inverse problems where the solution is assumed to have a sparse expansion on an arbitrary pre-assigned orthonormal basis. We prove that replacing the usual quadratic regularizing penalties by weighted l^p-penalties on the coefficients of such expansions, with 1 < or = p < or =2, still regularizes the problem. If p < 2, regularized solutions of such l^p-penalized problems will have sparser expansions, with respect to the basis under consideration. To compute the corresponding regularized solutions we propose an iterative algorithm that amounts to a Landweber iteration with thresholding (or nonlinear shrinkage) applied at each iteration step. We prove that this algorithm converges in norm. We also review some potential applications of this method.

math.FA↗