Computational and Statistical Tradeoffs via Convex Relaxation

author: Venkat Chandrasekaran, Department of Computing and Mathematical Sciences, California Institute of Technology (Caltech)
published: Jan. 16, 2013,   recorded: December 2012,   views: 4803
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Description

In modern data analysis, one is frequently faced with statistical inference problems involving massive datasets. Processing such large datasets is usually viewed as a substantial computational challenge. However, if data are a statistician's main resource then access to more data should be viewed as an asset rather than as a burden. We describe a computational framework based on convex relaxation to reduce the computational complexity of an inference procedure when one has access to increasingly larger datasets. Convex relaxation techniques have been widely used in theoretical computer science as they give tractable approximation algorithms to many computationally intractable tasks. We demonstrate the efficacy of this methodology in statistical estimation in providing concrete time-data tradeoffs in a class of denoising problems. Thus, convex relaxation offers a principled approach to exploit the statistical gains from larger datasets to reduce the runtime of inference algorithms. (Joint work with Michael Jordan)

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Reviews and comments:

Comment1 Praneeth Vepakomma, March 10, 2013 at 2:57 a.m.:

Interesting and very clearly formulated talk!

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