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Stochastics and Statistics Seminar

Computationally and Statistically Efficient Estimation in High-Dimensions

May 2, 2014 @ 2:00 pm

Sahand Negahban (Yale University)


Modern techniques in data accumulation and sensing have led to an explosion in both the volume and variety of data. Many of the resulting estimation problems are high-dimensional, meaning that the number of parameters to estimate can be far greater than the number of examples. A major focus of my work has been developing an understanding of how hidden low-complexity structure in large datasets can be used to develop computationally efficient estimation methods. I will discuss a framework for establishing the error behavior of a broad class of estimators under high-dimensional scaling. I will then discuss how to compute these estimates and draw connections between the statistical and computational properties of our methods. Interestingly, the same tools used to establish good high-dimensional estimation performance have a direct impact for optimization: better conditioned statistical problems lead to more efficient computational methods.

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