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Yohann de Castro

Publications and source records attributed to Yohann de Castro.

18 recordsLinked to original sources

Fenchel-Young Duality Gaps: Certified Early Stopping for Regularized Inverse Problems

We study computable error bounds and certified early stopping for regularized inverse problems, where a data-fidelity term is traded against a regularizer. The analysis relies on an exact duality-gap identity that splits the total gap of $F(Φμ)+λR(μ)$ into a data-fidelity Fenchel--Young loss and a regularizer Fenchel--Young loss, $ Δ(μ,h)=L_F(Φμ\parallel h)+λL_R(μ\parallelη),\qquad η=-Φ^\star h/λ, $ valid for any primal point $μ$ and any dual point $h$. The data-fidelity term $F$ is strictly convex, so wherever $F^\star$ is differentiable the loss $L_F(Φμ\parallel h)$ is the Bregman divergence of~$F$ between the prediction $Φμ$ and $\nabla F^\star(h)$, and it vanishes exactly at \emph{Mirror Alignment} $h=\nabla F(Φμ)$. Evaluated at a dual-feasible point $\tilde h$, the gap~$Δ(μ,\tilde h)$ is computable and \emph{oracle-free}, meaning that it uses no knowledge of the solution, and it bounds the suboptimality of $μ$. Under the source condition, the same Fenchel--Young losses give \emph{a priori} bounds on the estimation and prediction errors. Their scale is the irreducible model and noise error $L_F(Φμ^\star\parallel h^\star)$, which vanishes exactly when Mirror Alignment holds at the certificate. This gives an early-stopping rule: run the algorithm until the regularizer Fenchel--Young loss falls below a tolerance $ε$. A constructive version of the Brøndsted--Rockafellar theorem then turns the current pair into an exact \emph{dual-feasible} one, and this proxy lifts to an exact primal certificate. We build the proxy by a proximal step in the geometry of the fidelity, with Bregman kernel $F^\star$ and tilted by the prediction $Φμ$: it recovers the Euclidean step of Carlier when $F$ is the squared error, and it reduces the duality gap by the regularizer Fenchel--Young loss, up to a second-order remainder that vanishes in the quadratic case. Our running example is the Generalized Beurling--Lasso (GBL), where $R$ is the total-variation norm on signed measures. It contains the classical Beurling--Lasso, obtained with the squared error, and also covers robust, logistic, entropic and inverse-optimal-transport losses. The same duality gap certifies deep-learning optimizers such as Lion-K and Muon, in their proximal form, as solvers of the regularized program. A companion paper by the same authors builds on these error bounds to establish exact support recovery for the GBL under a non-degenerate source condition.

math.OC

Gaussian Mixture Model with unknown diagonal covariances via continuous sparse regularization

This paper addresses the statistical estimation of Gaussian Mixture Models (GMMs) with unknown diagonal covariances from independent and identically distributed samples. We employ the Beurling-LASSO (BLASSO), a convex optimization framework that promotes sparsity in the space of measures, to simultaneously estimate the number of components and their parameters. Our main contribution extends the BLASSO methodology to multivariate GMMs with component-specific unknown diagonal covariance matrices. This setting is significantly more flexible than previous approaches, which required known and identical covariances. We establish non-asymptotic recovery guarantees with nearly parametric convergence rates for component means, diagonal covariances, and weights, as well as for density prediction. A key theoretical contribution is the identification of an explicit separation condition on mixture components that enables the construction of non-degenerate dual certificates-essential tools for establishing statistical guarantees for the BLASSO. Our analysis leverages the Fisher-Rao geometry of the statistical model and introduces a novel semi-distance adapted to our framework, providing new insights into the interplay between component separation, parameter space geometry, and achievable statistical recovery.

math.ST

Time series forecasting from partial observations via Non-negative Matrix Factorization

In modern time series problems, one aims at forecasting multiple time series with possible missing and noisy values. In this paper, we introduce the Sliding Mask Method (SMM) for forecasting multiple nonnegative time series by means of nonnegative matrix completion: observed noisy values and forecast/missing values are collected into matrix form, and learning is achieved by representing its rows as a convex combination of a small number of nonnegative vectors, referred to as the archetypes. We introduce two estimates, the mask Archetypal Matrix factorization (mAMF) and the mask normalized Nonnegative Matrix Factorization (mNMF) which can be combined with the SMM method. We prove that these estimates recover the true archetypes with an error proportional to the noise. We use a proximal alternating linearized method (PALM) to compute the archetypes and the convex combination weights. We compared our estimators with state-of-the-art methods (Transformers, LSTM, SARIMAX...) in multiple time series forecasting on real data and obtain that our method outperforms them in most of the experiments.

cs.LG

SIGLE: a valid procedure for Selective Inference with the Generalized Linear Lasso

This article investigates uncertainty quantification of the generalized linear lasso~(GLL), a popular variable selection method in high-dimensional regression settings. In many fields of study, researchers use data-driven methods to select a subset of variables that are most likely to be associated with a response variable. However, such variable selection methods can introduce bias and increase the likelihood of false positives, leading to incorrect conclusions. In this paper, we propose a post-selection inference framework that addresses these issues and allows for valid statistical inference after variable selection using GLL. We show that our method provides accurate $p$-values and confidence intervals, while maintaining high statistical power. In a second stage, we focus on the sparse logistic regression, a popular classifier in high-dimensional statistics. We show with extensive numerical simulations that SIGLE is more powerful than state-of-the-art PSI methods. SIGLE relies on a new method to sample states from the distribution of observations conditional on the selection event. This method is based on a simulated annealing strategy whose energy is given by the first order conditions of the logistic lasso.

math.ST

Neural Networks beyond explainability: Selective inference for sequence motifs

Over the past decade, neural networks have been successful at making predictions from biological sequences, especially in the context of regulatory genomics. As in other fields of deep learning, tools have been devised to extract features such as sequence motifs that can explain the predictions made by a trained network. Here we intend to go beyond explainable machine learning and introduce SEISM, a selective inference procedure to test the association between these extracted features and the predicted phenotype. In particular, we discuss how training a one-layer convolutional network is formally equivalent to selecting motifs maximizing some association score. We adapt existing sampling-based selective inference procedures by quantizing this selection over an infinite set to a large but finite grid. Finally, we show that sampling under a specific choice of parameters is sufficient to characterize the composite null hypothesis typically used for selective inference-a result that goes well beyond our particular framework. We illustrate the behavior of our method in terms of calibration, power and speed and discuss its power/speed trade-off with a simpler data-split strategy. SEISM paves the way to an easier analysis of neural networks used in regulatory genomics, and to more powerful methods for genome wide association studies (GWAS).

q-bio.GN

Random Geometric Graph: Some recent developments and perspectives

The Random Geometric Graph (RGG) is a random graph model for network data with an underlying spatial representation. Geometry endows RGGs with a rich dependence structure and often leads to desirable properties of real-world networks such as the small-world phenomenon and clustering. Originally introduced to model wireless communication networks, RGGs are now very popular with applications ranging from network user profiling to protein-protein interactions in biology. RGGs are also of purely theoretical interest since the underlying geometry gives rise to challenging mathematical questions. Their resolutions involve results from probability, statistics, combinatorics or information theory, placing RGGs at the intersection of a large span of research communities. This paper surveys the recent developments in RGGs from the lens of high dimensional settings and non-parametric inference. We also explain how this model differs from classical community based random graph models and we review recent works that try to take the best of both worlds. As a by-product, we expose the scope of the mathematical tools used in the proofs.

cs.SI

Towards Off-the-grid Algorithms for Total Variation Regularized Inverse Problems

We introduce an algorithm to solve linear inverse problems regularized with the total (gradient) variation in a gridless manner. Contrary to most existing methods, that produce an approximate solution which is piecewise constant on a fixed mesh, our approach exploits the structure of the solutions and consists in iteratively constructing a linear combination of indicator functions of simple polygons.

eess.SP

Minimax Estimation of Partially-Observed Vector AutoRegressions

High-dimensional time series are a core ingredient of the statistical modeling toolkit, for which numerous estimation methods are known.But when observations are scarce or corrupted, the learning task becomes much harder.The question is: how much harder? In this paper, we study the properties of a partially-observed Vector AutoRegressive process, which is a state-space model endowed with a stochastic observation mechanism.Our goal is to estimate its sparse transition matrix, but we only have access to a small and noisy subsample of the state components.Interestingly, the sampling process itself is random and can exhibit temporal correlations, a feature shared by many realistic data acquisition scenarios.We start by describing an estimator based on the Yule-Walker equation and the Dantzig selector, and we give an upper bound on its non-asymptotic error.Then, we provide a matching minimax lower bound, thus proving near-optimality of our estimator.The convergence rate we obtain sheds light on the role of several key parameters such as the sampling ratio, the amount of noise and the number of non-zero coefficients in the transition matrix.These theoretical findings are commented and illustrated by numerical experiments on simulated data.

eess.SP

Concentration inequality for U-statistics of order two for uniformly ergodic Markov chains

We prove a new concentration inequality for U-statistics of order two for uniformly ergodic Markov chains. Working with bounded and $π$-canonical kernels, we show that we can recover the convergence rate of Arcones and Gin{é} who proved a concentration result for U-statistics of independent random variables and canonical kernels. Our result allows for a dependence of the kernels $h_{i,j}$ with the indexes in the sums, which prevents the use of standard blocking tools. Our proof relies on an inductive analysis where we use martingale techniques, uniform ergodicity, Nummelin splitting and Bernstein's type inequality. Assuming further that the Markov chain starts from its invariant distribution, we prove a Bernstein-type concentration inequality that provides sharper convergence rate for small variance terms.

math.PR

Markov Random Geometric Graph (MRGG): A Growth Model for Temporal Dynamic Networks

We introduce Markov Random Geometric Graphs (MRGGs), a growth model for temporal dynamic networks. It is based on a Markovian latent space dynamic: consecutive latent points are sampled on the Euclidean Sphere using an unknown Markov kernel; and two nodes are connected with a probability depending on a unknown function of their latent geodesic distance. More precisely, at each stamp-time $k$ we add a latent point $X_k$ sampled by jumping from the previous one $X_{k-1}$ in a direction chosen uniformly $Y_k$ and with a length $r_k$ drawn from an unknown distribution called the latitude function. The connection probabilities between each pair of nodes are equal to the envelope function of the distance between these two latent points. We provide theoretical guarantees for the non-parametric estimation of the latitude and the envelope functions.We propose an efficient algorithm that achieves those non-parametric estimation tasks based on an ad-hoc Hierarchical Agglomerative Clustering approach. As a by product, we show how MRGGs can be used to detect dependence structure in growing graphs and to solve link prediction problems.

cs.LG

Dual optimal design and the Christoffel-Darboux polynomial

The purpose of this short note is to show that the Christoffel-Darboux polynomial, useful in approximation theory and data science, arises naturally when deriving the dual to the problem of semi-algebraic D-optimal experimental design in statistics. It uses only elementary notions of convex analysis. Geometric interpretations and algorithmic consequences are mentioned.

math.OC

SuperMix: Sparse Regularization for Mixtures

This paper investigates the statistical estimation of a discrete mixing measure $μ$0 involved in a kernel mixture model. Using some recent advances in l1-regularization over the space of measures, we introduce a "data fitting and regularization" convex program for estimating $μ$0 in a grid-less manner from a sample of mixture law, this method is referred to as Beurling-LASSO. Our contribution is twofold: we derive a lower bound on the bandwidth of our data fitting term depending only on the support of $μ$0 and its so-called "minimum separation" to ensure quantitative support localization error bounds; and under a so-called "non-degenerate source condition" we derive a non-asymptotic support stability property. This latter shows that for a sufficiently large sample size n, our estimator has exactly as many weighted Dirac masses as the target $μ$0 , converging in amplitude and localization towards the true ones. Finally, we also introduce some tractable algorithms for solving this convex program based on "Sliding Frank-Wolfe" or "Conic Particle Gradient Descent". Statistical performances of this estimator are investigated designing a so-called "dual certificate", which is appropriate to our setting. Some classical situations, as e.g. mixtures of super-smooth distributions (e.g. Gaussian distributions) or ordinary-smooth distributions (e.g. Laplace distributions), are discussed at the end of the paper.

math.ST

Convex Regularization and Representer Theorems

We establish a result which states that regularizing an inverse problem with the gauge of a convex set $C$ yields solutions which are linear combinations of a few extreme points or elements of the extreme rays of $C$. These can be understood as the \textit{atoms} of the regularizer. We then explicit that general principle by using a few popular applications. In particular, we relate it to the common wisdom that total gradient variation minimization favors the reconstruction of piecewise constant images.

math.OC

Power of the Spacing test for Least-Angle Regression

Recent advances in Post-Selection Inference have shown that conditional testing is relevant and tractable in high-dimensions. In the Gaussian linear model, further works have derived unconditional test statistics such as the Kac-Rice Pivot for general penalized problems. In order to test the global null, a prominent offspring of this breakthrough is the spacing test that accounts the relative separation between the first two knots of the celebrated least-angle regression (LARS) algorithm. However, no results have been shown regarding the distribution of these test statistics under the alternative. For the first time, this paper addresses this important issue for the spacing test and shows that it is unconditionally unbiased. Furthermore, we provide the first extension of the spacing test to the frame of unknown noise variance. More precisely, we investigate the power of the spacing test for LARS and prove that it is unbiased: its power is always greater or equal to the significance level $α$. In particular, we describe the power of this test under various scenarii: we prove that its rejection region is optimal when the predictors are orthogonal; as the level $α$ goes to zero, we show that the probability of getting a true positive is much greater than $α$; and we give a detailed description of its power in the case of two predictors. Moreover, we numerically investigate a comparison between the spacing test for LARS and the Pearson's chi-squared test (goodness of fit).

math.ST

Optimal designs for Lasso and Dantzig selector using Expander Codes

We investigate the high-dimensional regression problem using adjacency matrices of unbalanced expander graphs. In this frame, we prove that the $\ell_{2}$-prediction error and the $\ell_{1}$-risk of the lasso and the Dantzig selector are optimal up to an explicit multiplicative constant. Thus we can estimate a high-dimensional target vector with an error term similar to the one obtained in a situation where one knows the support of the largest coordinates in advance. Moreover, we show that these design matrices have an explicit restricted eigenvalue. Precisely, they satisfy the restricted eigenvalue assumption and the compatibility condition with an explicit constant. Eventually, we capitalize on the recent construction of unbalanced expander graphs due to Guruswami, Umans, and Vadhan, to provide a deterministic polynomial time construction of these design matrices.

math.ST

A Remark on the Lasso and the Dantzig Selector

This article investigates a new parameter for the high-dimensional regression with noise: the distortion. This latter has attracted a lot of attention recently with the appearance of new deterministic constructions of 'almost'-Euclidean sections of the L1-ball. It measures how far is the intersection between the kernel of the design matrix and the unit L1-ball from an L2-ball. We show that the distortion holds enough information to derive oracle inequalities (i.e. a comparison to an ideal situation where one knows the s largest coefficients of the target) for the lasso and the Dantzig selector.

math.ST

Exact Reconstruction using Beurling Minimal Extrapolation

We show that measures with finite support on the real line are the unique solution to an algorithm, named generalized minimal extrapolation, involving only a finite number of generalized moments (which encompass the standard moments, the Laplace transform, the Stieltjes transformation, etc). Generalized minimal extrapolation shares related geometric properties with basis pursuit of Chen, Donoho and Saunders [CDS98]. Indeed we also extend some standard results of compressed sensing (the dual polynomial, the nullspace property) to the signed measure framework. We express exact reconstruction in terms of a simple interpolation problem. We prove that every nonnegative measure, supported by a set containing s points,can be exactly recovered from only 2s + 1 generalized moments. This result leads to a new construction of deterministic sensing matrices for compressed sensing.

math.ST

Quantitative Isoperimetric Inequalities on the Real Line

In a recent paper A. Cianchi, N. Fusco, F. Maggi, and A. Pratelli have shown that, in the Gauss space, a set of given measure and almost minimal Gauss boundary measure is necessarily close to be a half-space. Using only geometric tools, we extend their result to all symmetric log-concave measures μon the real line. We give sharp quantitative isoperimetric inequalities and prove that among sets of given measure and given asymmetry (distance to half line, i.e. distance to sets of minimal perimeter), the intervals or complements of intervals have minimal perimeter.

math.PR