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4 papers
Regularized transport between singular covariance matrices
Valentina Ciccone, Yongxin Chen, Tryphon T. Georgiou +1
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which s…
Robust Identification of "Sparse Plus Low-rank" Graphical Models: An Optimization Approach
Valentina Ciccone, Augusto Ferrante, Mattia Zorzi
Motivated by graphical models, we consider the "Sparse Plus Low-rank" decomposition of a positive definite concentration matrix -- the inverse of the covariance matrix. This is a c…
An alternating minimization algorithm for Factor Analysis
Valentina Ciccone, Augusto Ferrante, Mattia Zorzi
The problem of decomposing a given covariance matrix as the sum of a positive semi-definite matrix of given rank and a positive semi-definite diagonal matrix, is considered. We pre…
Factor analysis with finite data
Valentina Ciccone, Augusto Ferrante, Mattia Zorzi
Factor analysis aims to describe high dimensional random vectors by means of a small number of unknown common factors. In mathematical terms, it is required to decompose the covari…