Motivated by recent work on stochastic gradient descent methods, we develop two stochastic variants of greedy algorithms for possibly non-convex optimization problems with sparsity constraints. We prove linear convergence in expectation to the solution within a specified tolerance. This generalized framework applies to problems such as sparse signal recovery in compressed sensing, low-rank matrix recovery, and covariance matrix estimation, giving methods with provable convergence guarantees that often outperform their deterministic counterparts. We also analyze the settings where gradients and projections can only be computed approximately, and prove the methods are robust to these approximations. We include many numerical experiments which align with the theoretical analysis and demonstrate these improvements in several different settings.
There are several methods proposed to solve special instances of ). @cite_6 and @cite_35 propose the forward selection method for sparse vector and low-rank matrix recovery. The method selects each nonzero entry or each rank-one matrix in an iterative fashion. @cite_36 generalizes this algorithm to the more general dictionary @math . @cite_27 proposes the forward-backward method in which an atom can be added or removed from the set, depending on how much it contributes to decrease the loss function. @cite_44 extends this algorithms beyond the quadratic loss studied in @cite_27 . @cite_42 extends the CoSaMP algorithm for a more general loss function. Very recently, @cite_38 further generalizes CoSaMP and proposes the Gradient Matching Pursuit (GradMP) algorithm to solve ). This is perhaps the first greedy algorithm for ) - the very general form of sparse recovery. They show that under a restricted convexity assumption of the objective function, the algorithm linearly converges to the optimal solution. This desirable property is also possessed by CoSaMP. We note that there are other algorithms having also been extended to the setting of sparsity in arbitrary @math but only limited to the quadratic loss setting, see e.g. @cite_5 @cite_7 @cite_10 @cite_14 .
@cite_35 @cite_38 @cite_14 @cite_7 @cite_36 @cite_42 @cite_6 @cite_44 @cite_27 @cite_5 @cite_10
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We demonstrate a simple greedy algorithm that can reliably recover a vector v ∈ R from incomplete and inaccurate measurements x = Φv + e. Here Φ is a N × d measurement matrix with N ≪ d, and e is an error vector. Our algorithm, Regularized Orthogonal Matching Pursuit (ROMP), seeks to close the gap between two major approaches to sparse recovery. It combines the speed and ease of implementation of the greedy methods with the strong guarantees of the convex programming methods. For any measurement matrix Φ that satisfies a Uniform Uncertainty Principle, ROMP recovers a signal v with O(n) nonzeros from its inaccurate measurements x in at most n iterations, where each iteration amounts to solving a Least Squares Problem. The noise level of the recovery is proportional to √ logn‖e‖2. In particular, if the error term e vanishes the reconstruction is exact. This stability result extends naturally to the very accurate recovery of approximately sparse signals. Finding sparse approximate solutions to large underdetermined linear systems of equations is a common problem in signal image processing and statistics. Basis pursuit, the least absolute shrinkage and selection operator (LASSO), wavelet-based deconvolution and reconstruction, and compressed sensing (CS) are a few well-known areas in which problems of this type appear. One standard approach is to minimize an objective function that includes a quadratic (lscr 2) error term added to a sparsity-inducing (usually lscr1) regularizater. We present an algorithmic framework for the more general problem of minimizing the sum of a smooth convex function and a nonsmooth, possibly nonconvex regularizer. We propose iterative methods in which each step is obtained by solving an optimization subproblem involving a quadratic term with diagonal Hessian (i.e., separable in the unknowns) plus the original sparsity-inducing regularizer; our approach is suitable for cases in which this subproblem can be solved much more rapidly than the original problem. Under mild conditions (namely convexity of the regularizer), we prove convergence of the proposed iterative algorithm to a minimum of the objective function. In addition to solving the standard lscr2-lscr1 case, our framework yields efficient solution techniques for other regularizers, such as an lscrinfin norm and group-separable regularizers. It also generalizes immediately to the case in which the data is complex rather than real. Experiments with CS problems show that our approach is competitive with the fastest known methods for the standard lscr2-lscr1 problem, as well as being efficient on problems with other separable regularization terms. Given a large overcomplete dictionary of basis vectors, the goal is to simultaneously represent L>1 signal vectors using coefficient expansions marked by a common sparsity profile. This generalizes the standard sparse representation problem to the case where multiple responses exist that were putatively generated by the same small subset of features. Ideally, the associated sparse generating weights should be recovered, which can have physical significance in many applications (e.g., source localization). The generic solution to this problem is intractable and, therefore, approximate procedures are sought. Based on the concept of automatic relevance determination, this paper uses an empirical Bayesian prior to estimate a convenient posterior distribution over candidate basis vectors. This particular approximation enforces a common sparsity profile and consistently places its prominent posterior mass on the appropriate region of weight-space necessary for simultaneous sparse recovery. The resultant algorithm is then compared with multiple response extensions of matching pursuit, basis pursuit, FOCUSS, and Jeffreys prior-based Bayesian methods, finding that it often outperforms the others. Additional motivation for this particular choice of cost function is also provided, including the analysis of global and local minima and a variational derivation that highlights the similarities and differences between the proposed algorithm and previous approaches. We present a new efficient algorithm for the search version of the approximate Closest Vector Problem with Preprocessing (CVPP). Our algorithm achieves an approximation factor of O(n sqrt log n ), improving on the previous best of O(n^ 1.5 ) due to Lag arias, Lenstra, and Schnorr hkzbabai . We also show, somewhat surprisingly, that only O(n) vectors of preprocessing advice are sufficient to solve the problem (with the slightly worse approximation factor of O(n)). We remark that this still leaves a large gap with respect to the decisional version of CVPP, where the best known approximation factor is O(sqrt n log n ) due to Aharonov and Regev AharonovR04 . To achieve these results, we show a reduction to the same problem restricted to target points that are close to the lattice and a more efficient reduction to a harder problem, Bounded Distance Decoding with preprocessing (BDDP). Combining either reduction with the previous best-known algorithm for BDDP by Liu, Lyubashevsky, and Micciancio LiuLM06 gives our main result. In the setting of CVP without preprocessing, we also give a reduction from (1+eps)gamma approximate CVP to gamma approximate CVP where the target is at distance at most 1+1 eps times the minimum distance (the length of the shortest non-zero vector) which relies on the lattice sparsification techniques of Dadush and Kun DadushK13 . As our final and most technical contribution, we present a substantially more efficient variant of the LLM algorithm (both in terms of run-time and amount of preprocessing advice), and via an improved analysis, show that it can decode up to a distance proportional to the reciprocal of the smoothing parameter of the dual lattice MR04 . We show that this is never smaller than the LLM decoding radius, and that it can be up to an wide tilde Omega (sqrt n ) factor larger. Recovering low-rank and sparse matrices from incomplete or corrupted observations is an important problem in statistics, machine learning, computer vision, as well as signal and image processing. In theory, this problem can be solved by the natural convex joint mixed relaxations (i.e., l 1 -norm and trace norm) under certain conditions. However, all current provable algorithms suffer from superlinear per-iteration cost, which severely limits their applicability to large-scale problems. In this paper, we propose a scalable, provable and structured robust bilinear factorization (RBF) method to recover low-rank and sparse matrices from missing and grossly corrupted data, i.e., robust matrix completion (RMC), or incomplete and grossly corrupted measurements, i.e., compressive principal component pursuit (CPCP). Specifically, we first present two small-scale matrix trace norm regularized bilinear factorization models for RMC and CPCP problems, in which repetitively calculating SVD of a large-scale matrix is replaced by updating two much smaller factor matrices. Then, we apply the alternating direction method of multipliers (ADMM) to efficiently solve the RMC problems. Finally, we provide the convergence analysis of our algorithm, and extend it to address general CPCP problems. Experimental results verified both the efficiency and effectiveness of our method compared with the state-of-the-art methods. This paper considers the problem of sparse signal recovery when the decoder has prior information on the sparsity pattern of the data. The data vector x=[x1,...,xN]T has a randomly generated sparsity pattern, where the i-th entry is non-zero with probability pi. Given knowledge of these probabilities, the decoder attempts to recover x based on M random noisy projections. Information-theoretic limits on the number of measurements needed to recover the support set of x perfectly are given, and it is shown that significantly fewer measurements can be used if the prior distribution is sufficiently non-uniform. Furthermore, extensions of Basis Pursuit, LASSO, and Orthogonal Matching Pursuit which exploit the prior information are presented. The improved performance of these methods over their standard counterparts is demonstrated using simulations. Recently, forward greedy selection method has been successfully applied to approximately solve sparse learning problems, characterized by a trade-off between sparsity and accuracy. In this paper, we generalize this method to the setup of sparse approximation over a pre-fixed dictionary. A fully corrective forward selection algorithm is proposed along with convergence analysis. The periteration computational overhead of the proposed algorithm is dominated by a subproblem of linear optimization over the dictionary and a subproblem to optimally adjust the aggregation weights. The former is cheaper in several applications than the Euclidean projection while the latter is typically an unconstrained optimization problem which is relatively easy to solve. Furthermore, we extend the proposed algorithm to the setting of non-negative convex sparse approximation over a dictionary. Applications of our algorithms to several concrete learning problems are explored with efficiency validated on benchmark data sets. We consider efficient methods for the recovery of block-sparse signals-i.e., sparse signals that have nonzero entries occurring in clusters-from an underdetermined system of linear equations. An uncertainty relation for block-sparse signals is derived, based on a block-coherence measure, which we introduce. We then show that a block-version of the orthogonal matching pursuit algorithm recovers block -sparse signals in no more than steps if the block-coherence is sufficiently small. The same condition on block-coherence is shown to guarantee successful recovery through a mixed -optimization approach. This complements previous recovery results for the block-sparse case which relied on small block-restricted isometry constants. The significance of the results presented in this paper lies in the fact that making explicit use of block-sparsity can provably yield better reconstruction properties than treating the signal as being sparse in the conventional sense, thereby ignoring the additional structure in the problem. We investigate the sparse recovery problem of reconstructing a high-dimensional non-negative sparse vector from lower dimensional linear measurements. While much work has focused on dense measurement matrices, sparse measurement schemes are crucial in applications, such as DNA microarrays and sensor networks, where dense measurements are not practically feasible. One possible construction uses the adjacency matrices of expander graphs, which often leads to recovery algorithms much more efficient than @math minimization. However, to date, constructions based on expanders have required very high expansion coefficients which can potentially make the construction of such graphs difficult and the size of the recoverable sets small. In this paper, we construct sparse measurement matrices for the recovery of non-negative vectors, using perturbations of the adjacency matrix of an expander graph with much smaller expansion coefficient. We present a necessary and sufficient condition for @math optimization to successfully recover the unknown vector and obtain expressions for the recovery threshold. For certain classes of measurement matrices, this necessary and sufficient condition is further equivalent to the existence of a "unique" vector in the constraint set, which opens the door to alternative algorithms to @math minimization. We further show that the minimal expansion we use is necessary for any graph for which sparse recovery is possible and that therefore our construction is tight. We finally present a novel recovery algorithm that exploits expansion and is much faster than @math optimization. Finally, we demonstrate through theoretical bounds, as well as simulation, that our method is robust to noise and approximate sparsity. In sparse principal component analysis we are given noisy observations of a low-rank matrix of dimension @math and seek to reconstruct it under additional sparsity assumptions. In particular, we assume here each of the principal components @math has at most @math non-zero entries. We are particularly interested in the high dimensional regime wherein @math is comparable to, or even much larger than @math . In an influential paper, johnstone2004sparse introduced a simple algorithm that estimates the support of the principal vectors @math by the largest entries in the diagonal of the empirical covariance. This method can be shown to identify the correct support with high probability if @math , and to fail with high probability if @math for two constants @math . Despite a considerable amount of work over the last ten years, no practical algorithm exists with provably better support recovery guarantees. Here we analyze a covariance thresholding algorithm that was recently proposed by KrauthgamerSPCA . On the basis of numerical simulations (for the rank-one case), these authors conjectured that covariance thresholding correctly recover the support with high probability for @math (assuming @math of the same order as @math ). We prove this conjecture, and in fact establish a more general guarantee including higher-rank as well as @math much smaller than @math . Recent lower bounds berthet2013computational, ma2015sum suggest that no polynomial time algorithm can do significantly better. The key technical component of our analysis develops new bounds on the norm of kernel random matrices, in regimes that were not considered before. This paper investigates a new learning formulation called dynamic group sparsity. It is a natural extension of the standard sparsity concept in compressive sensing, and is motivated by the observation that in some practical sparse data the nonzero coefficients are often not random but tend to be clustered. Intuitively, better results can be achieved in these cases by reasonably utilizing both clustering and sparsity priors. Motivated by this idea, we have developed a new greedy sparse recovery algorithm, which prunes data residues in the iterative process according to both sparsity and group clustering priors rather than only sparsity as in previous methods. The proposed algorithm can recover stably sparse data with clustering trends using far fewer measurements and computations than current state-of-the-art algorithms with provable guarantees. Moreover, our algorithm can adaptively learn the dynamic group structure and the sparsity number if they are not available in the practical applications. We have applied the algorithm to sparse recovery and background subtraction in videos. Numerous experiments with improved performance over previous methods further validate our theoretical proofs and the effectiveness of the proposed algorithm.