Exact Schur-Sylvester Dimensionality Reductions for Non-Smooth Stochastic Complexity and Manifold Sampling

The exact computation of the Normalized Maximum Likelihood (NML) codelength for regular non-smooth estimators (e.g., Lasso) has been historically limited by the cubic scaling walls of manifold-constrained projection and volume integration. At each step of the geometric Propose-and-Project Metropolis…