An optimization perspective on high-dimensional regression problems - with some gut-wrenching applications

Seminar Series

Friday, September 24, 2021 - 12:00
Zoom
Christian Müller, PhD

Abstract: In this talk, I will provide an optimization perspective on solving high-dimensional regression problems. Starting with the idea of concomitant estimation from robust statistics, I will present a unifying optimization model for maximum likelihood-type estimation (M-estimation) relying on the idea of perspective functions. The model encompasses a wide range of statistical estimators, including Huber’s M-estimator, the scaled Lasso, the TREX, and constrained sparse regression and classification. I will show several applications of these models in the context of compositional data analysis of gut microbiome data. I will conclude with some recent (surprising) prospects of these models in deep learning.  
Joint work with Patrick Combettes, NC State University

Speaker: Christian Müller PhD
Research Scientist & Project Leader
Computational Statistics
Flatiron Institute-Simons Foundation

Short bio: Christian L. Müller is currently a Group Leader and Professor for Biomedical Statistics and Data Science at the Institute of Computational Biology, Helmholtz Center Munich, and the Department of Statistics, Ludwig-Maximilians-Universität Munich, respectively. Since 2014, he has also been a staff member of the Flatiron Institute (formerly Simons Center for Data Analysis), Simons Foundation, New York. He has since remained affiliated with the Center for Computational Mathematics, Flatiron Institute, as project leader in computational statistics. Müller held postdoctoral positions at ETH Zürich and NYU, and holds an M.S. in computer science from Uppsala University, Sweden, an M.S. in bioinformatics and computer science, as well as a university certificate in literature and poetry, from the University of Tübingen, Germany, and a Ph.D. in computer science from ETH Zürich, Switzerland. Müller holds a keen interest in soccer, statistics, and microbes, among other things.

For Zoom information, please contact Terry Hales at terry.hales@duke.edu