Seemingly unrelated regression is a natural framework for regressing multiple correlated responses on multiple predictors. The model is very flexible, with multiple linear regression and covariance selection models being special cases. However, its practical deployment in genomic data analysis under a Bayesian framework is limited due to both statistical and computational challenges. The statistical challenge is that one needs to infer both the mean vector and the covariance matrix, a problem inherently more complex than separately estimating each. The computational challenge is due to the dimensionality of the parameter space that routinely exceeds the sample size. We propose the use of horseshoe priors on both the mean vector and the inverse covariance matrix. This prior has demonstrated excellent performance when estimating a mean vector or covariance matrix separately. The current work shows these advantages are also present when addressing both simultaneously. A full Bayesian treatment is proposed, with a sampling algorithm that is linear in the number of predictors. MATLAB code implementing the algorithm is freely available from github at this https URL. Extensive performance comparisons are provided with both frequentist and Bayesian alternatives, and both estimation and prediction performances are verified on a genomic data set.
@cite_7 developed the covariate-adjusted precision matrix estimation or CAPME procedure taking a two-stage approach and using a multivariate extension of the Dantzig selector of . Let @math , @math , @math and @math . The estimate of @math in CAPME solves the optimization problem
@cite_7
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Capon Beamforming Algorithm involves calculating inverse covariance matrix. It's complex to calculate inverse matrix in engineering applications. On the basis of summary of distribution of covariance matrix elements, an improved inverse covariance matrix calculating method is proposed. Simulation shows that the improved algorithm achieves the same accuracy with original algorithm as reducing the computational complexity. (6 pages) Optimizing multivariate performance measure is an important task in Machine Learning. Joachims (2005) introduced a Support Vector Method whose underlying optimization problem is commonly solved by cutting plane methods (CPMs) such as SVM-Perf and BMRM. It can be shown that CPMs converge to an e accurate solution in O(1 λe) iterations, where λ is the trade-off parameter between the regularizer and the loss function. Motivated by the impressive convergence rate of CPM on a number of practical problems, it was conjectured that these rates can be further improved. We disprove this conjecture in this paper by constructing counter examples. However, surprisingly, we further discover that these problems are not inherently hard, and we develop a novel smoothing strategy, which in conjunction with Nesterov's accelerated gradient method, can find an e accurate solution in O* (min 1 e, 1 √λe ) iterations. Computationally, our smoothing technique is also particularly advantageous for optimizing multivariate performance scores such as precision recall break-even point and ROCArea; the cost per iteration remains the same as that of CPMs. Empirical evaluation on some of the largest publicly available data sets shows that our method converges significantly faster than CPMs without sacrificing generalization ability. In this paper, we propose a direction-of-arrival estimation method by covariance matrix sparse reconstruction of coprime array. Specifically, source locations are estimated by solving a newly formulated convex optimization problem, where the difference between the spatially smoothed covariance matrix and the sparsely reconstructed one is minimized. Then, a sliding window scheme is designed for source enumeration. Finally, the power of each source is re-estimated as a least squares problem. Compared with existing methods, the proposed method achieves more accurate source localization and power estimation performance with full utilization of increased degrees of freedom provided by coprime array. Recently several methods were proposed for sparse optimization which make careful use of second-order information ( in Sparse inverse covariance matrix estimation using quadratic approximation. In: NIPS, 2011; in An improved GLMNET for l1-regularized logistic regression and support vector machines. National Taiwan University, Taipei City, 2011; in Newton-like methods for sparse inverse covariance estimation. In: NIPS, 2012; in A family of second-order methods for convex l1-regularized optimization. Technical report, 2012) to improve local convergence rates. These methods construct a composite quadratic approximation using Hessian information, optimize this approximation using a first-order method, such as coordinate descent and employ a line search to ensure sufficient descent. Here we propose a general framework, which includes slightly modified versions of existing algorithms and also a new algorithm, which uses limited memory BFGS Hessian approximations, and provide a novel global convergence rate analysis, which covers methods that solve subproblems via coordinate descent.