Universal Prediction Band via Semi-Definite Programming

This paper proposes a computationally efficient method to construct nonparametric, heteroscedastic prediction bands for uncertainty quantification.

March 2021 · Tengyuan Liang

Statistical Inference for the Population Landscape via Moment Adjusted Stochastic Gradients

Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the sampling nature of the data. We introduce the moment-adjusted stochastic gradient descents, a new stochastic optimization method for statistical inference.

December 2017 · Tengyuan Liang, Weijie J. Su