Online Tensor Inference

• 成果类型: Article
• 署名作者: Wen, Xin; Sun, Will Wei; Zhang, Yichen
• 署名单位: New York University; Purdue University System; Purdue University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2024.0774
• 发表日期: 2026
• 关键词: uncertainty quantification; stochastic-approximation; statistical-inference; confidence-intervals; matrix; Heterogeneity; regression

摘要

Contemporary applications, such as recommendation systems and mobile health monitoring, require real-time processing and analysis of sequentially arriving highdimensional tensor data. Traditional offline learning, involving the storage and utilization of all data in each computational iteration, becomes impractical for these tasks. Furthermore, existing low-rank tensor methods lack the capability for online statistical inference, which is essential for real-time predictions and informed decision making. This paper addresses these challenges by introducing a novel online inference framework for low-rank tensors. Our approach employs stochastic gradient descent (SGD) to enable efficient real-time data processing without extensive memory requirements. We establish that a nonasymptotic convergence result for the online low-rank SGD estimator nearly matches the minimax optimal estimation error rate of offline models. Furthermore, we propose a simple yet powerful online debiasing approach for sequential statistical inference. The entire online procedure, covering both estimation and inference, eliminates the need for data splitting or storing historical data, making it suitable for on-the-fly hypothesis testing. In our analysis, we control the sum of constructed supermartingales to ensure estimates along the entire solution path remain within the benign region. Additionally, a novel spectral representation tool is employed to address statistical dependencies among iterative estimates, establishing the desired asymptotic normality.