This paper develops a general theoretical framework to analyze structured sparse recovery problems using the notation of dual certificate. Although certain aspects of the dual certificate idea have already been used in some previous work, due to the lack of a general and coherent theory, the analysis has so far only been carried out in limited scopes for specific problems. In this context the current paper makes two contributions. First, we introduce a general definition of dual certificate, which we then use to develop a unified theory of sparse recovery analysis for convex programming. Second, we present a class of structured sparsity regularization called structured Lasso for which calculations can be readily performed under our theoretical framework. This new theory includes many seemingly loosely related previous work as special cases; it also implies new results that improve existing ones even for standard formulations such as L1 regularization.
In sparse recovery analysis, we want to know how good is our estimator @math in comparison to the target @math . Consider the standard @math regularization method ), two types of theoretical questions are of interests. The first is support recovery; that is, whether @math . The second is parameter estimation; that is, how small is @math . The support recovery problem is often studied under the so-called irrepresentable condition (some types also referred more generally as coherence condition) @cite_30 @cite_3 @cite_19 @cite_25 , while the parameter estimation problem is often studied under the so-called restricted isometry property (or RIP) as well as its generalizations @cite_5 @cite_27 @cite_6 @cite_18 @cite_11 @cite_29 . Related ideas have been extended to more complex structured sparse regularization problems such as group sparsity @cite_16 @cite_0 and certain matrix problems @cite_26 @cite_15 @cite_20 . Closely related to parameter estimation is the so-called oracle inequality , which is particularly suitable for the dual-certificate analysis considered here.
@cite_30 @cite_18 @cite_26 @cite_29 @cite_3 @cite_6 @cite_0 @cite_19 @cite_27 @cite_5 @cite_15 @cite_16 @cite_25 @cite_20 @cite_11
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In this paper, we study the estimation of the k-dimensional sparse principal sub-space of covariance matrix Σ in the high-dimensional setting. We aim to recover the oracle principal subspace solution, i.e., the principal subspace estimator obtained assuming the true support is known a priori. To this end, we propose a family of estimators based on the semidefinite relaxation of sparse PCA with novel regularizations. In particular, under a weak assumption on the magnitude of the population projection matrix, one estimator within this family exactly recovers the true support with high probability, has exact rank-k, and attains a √s n statistical rate of convergence with s being the subspace sparsity level and n the sample size. Compared to existing support recovery results for sparse PCA, our approach does not hinge on the spiked covariance model or the limited correlation condition. As a complement to the first estimator that enjoys the oracle property, we prove that, another estimator within the family achieves a sharper statistical rate of convergence than the standard semidefinite relaxation of sparse PCA, even when the previous assumption on the magnitude of the projection matrix is violated. We validate the theoretical results by numerical experiments on synthetic datasets. This paper provides novel results for the recovery of signals from undersampled measurements based on analysis @math -minimization, when the analysis operator is given by a frame. We both provide so-called uniform and nonuniform recovery guarantees for cosparse (analysis-sparse) signals using Gaussian random measurement matrices. The nonuniform result relies on a recovery condition via tangent cones and the uniform recovery guarantee is based on an analysis version of the null space property. Examining these conditions for Gaussian random matrices leads to precise bounds on the number of measurements required for successful recovery. In the special case of standard sparsity, our result improves a bound due to Rudelson and Vershynin concerning the exact reconstruction of sparse signals from Gaussian measurements with respect to the constant and extends it to stability under passing to approximately sparse signals and to robustness under noise on the measurements. This paper considers the problem of recovering an unknown sparse p×p matrix X from an m×m matrix Y=AXB T , where A and B are known m×p matrices with m≪p. The main result shows that there exist constructions of the sketching matrices A and B so that even if X has O(p) nonzeros, it can be recovered exactly and efficiently using a convex program as long as these nonzeros are not concentrated in any single row column of X. Furthermore, it suffices for the size of Y (the sketch dimension) to scale as m = O(√(# nonzeros in X) × log p). The results also show that the recovery is robust and stable in the sense that if X is equal to a sparse matrix plus a perturbation, then the convex program we propose produces an approximation with accuracy proportional to the size of the perturbation. Unlike traditional results on sparse recovery, where the sensing matrix produces independent measurements, our sensing operator is highly constrained (it assumes a tensor product structure). Therefore, proving recovery guarantees require nonstandard techniques. Indeed, our approach relies on a novel result concerning tensor products of bipartite graphs, which may be of independent interest. This problem is motivated by the following application, among others. Consider a p×n data matrix D, consisting of n observations of p variables. Assume that the correlation matrix X:=DD T is (approximately) sparse in the sense that each of the p variables is significantly correlated with only a few others. Our results show that these significant correlations can be detected even if we have access to only a sketch of the data S=AD with A ∈ R m×p . We study the recovery of sparse vectors from subsampled random convolutions via @math -minimization. We consider the setup in which both the subsampling locations as well as the generating vector are chosen at random. For a subgaussian generator with independent entries, we improve previously known estimates: if the sparsity @math is small enough, i.e., @math , we show that @math measurements are sufficient to recover @math -sparse vectors in dimension @math with high probability, matching the well-known condition for recovery from standard Gaussian measurements. If @math is larger, then essentially @math measurements are sufficient, again improving over previous estimates. Our results are shown via the so-called robust null space property which is weaker than the standard restricted isometry property. Our method of proof involves a novel combination of small ball estimates with chaining techniques which should be of independent interest. We consider the approximate sparse recovery problem, where the goal is to (approximately) recover a high-dimensional vector xisinRopfn from its lower-dimensional sketch AxisinRopfm. Specifically, we focus on the sparse recovery problem in the L1 norm: for a parameter k, given the sketch Ax, compute an approximation xcirc of x such that the L1 approximation error parx-xcircpar1 is close to minx' parx-x'par1, where x' ranges over all vectors with at most k terms. The sparse recovery problem has been subject to extensive research over the last few years. Many solutions to this problem have been discovered, achieving different trade-offs between various attributes, such as the sketch length, encoding and recovery times. In this paper we provide a sparse recovery scheme which achieves close to optimal performance on virtually all attributes (see Figure 1). In particular, this is the first recovery scheme that guarantees O(k log(n k)) sketch length, and near-linear O(n log (n k)) recovery time simultaneously. It also features low encoding and update times, and is noise-resilient. We consider high dimensional sparse regression, and develop strategies able to deal with arbitrary -- possibly, severe or coordinated -- errors in the covariance matrix @math . These may come from corrupted data, persistent experimental errors, or malicious respondents in surveys recommender systems, etc. Such non-stochastic error-in-variables problems are notoriously difficult to treat, and as we demonstrate, the problem is particularly pronounced in high-dimensional settings where the primary goal is support recovery of the sparse regressor. We develop algorithms for support recovery in sparse regression, when some number @math out of @math total covariate response pairs are arbitrarily (possibly maliciously) corrupted . We are interested in understanding how many outliers, @math , we can tolerate, while identifying the correct support. To the best of our knowledge, neither standard outlier rejection techniques, nor recently developed robust regression algorithms (that focus only on corrupted response variables), nor recent algorithms for dealing with stochastic noise or erasures, can provide guarantees on support recovery. Perhaps surprisingly, we also show that the natural brute force algorithm that searches over all subsets of @math covariate response pairs, and all subsets of possible support coordinates in order to minimize regression error, is remarkably poor, unable to correctly identify the support with even @math corrupted points, where @math is the sparsity. This is true even in the basic setting we consider, where all authentic measurements and noise are independent and sub-Gaussian. In this setting, we provide a simple algorithm -- no more computationally taxing than OMP -- that gives stronger performance guarantees, recovering the support with up to @math corrupted points, where @math is the dimension of the signal to be recovered. The goal of (stable) sparse recovery is to recover a @math -sparse approximation @math of a vector @math from linear measurements of @math . Specifically, the goal is to recover @math such that @math for some constant @math and norm parameters @math and @math . It is known that, for @math or @math , this task can be accomplished using @math non-adaptive measurements CRT06:Stable-Signal and that this bound is tight DIPW, FPRU, PW11 . In this paper we show that if one is allowed to perform measurements that are adaptive , then the number of measurements can be considerably reduced. Specifically, for @math and @math we show A scheme with @math measurements that uses @math rounds. This is a significant improvement over the best possible non-adaptive bound. A scheme with @math measurements that uses two rounds. This improves over the best possible non-adaptive bound. To the best of our knowledge, these are the first results of this type. The goal of sparse recovery is to recover a k-sparse signal x e Rn from (possibly noisy) linear measurements of the form y = Ax, where A e Rmxn describes the measurement process. Standard results in compressive sensing show that it is possible to recover the signal x from m = O(k log(n k)) measurements, and that this bound is tight. The framework of model-based compressive sensing [BCDH10] overcomes the lower bound and reduces the number of measurements further to O(k) by limiting the supports of x to a subset M of the (nk) possible supports. This has led to many measurement-efficient algorithms for a wide variety of signal models, including block-sparsity and tree-sparsity. Unfortunately, extending the framework to other, more general models has been stymied by the following obstacle: for the framework to apply, one needs an algorithm that, given a signal x, solves the following optimization problem exactly: [EQUATION] (here x[n] denotes the projection of x on coordinates not in Ω). However, an approximation algorithm for this optimization task is not sufficient. Since many problems of this form are not known to have exact polynomial-time algorithms, this requirement poses an obstacle for extending the framework to a richer class of models. In this paper, we remove this obstacle and show how to extend the model-based compressive sensing framework so that it requires only approximate solutions to the aforementioned optimization problems. Interestingly, our extension requires the existence of approximation algorithms for both the maximization and the minimization variants of the optimization problem. Further, we apply our framework to the Constrained Earth Mover's Distance (CEMD) model introduced in [SHI13], obtaining a sparse recovery scheme that uses significantly less than O(k log(n k)) measurements. This is the first non-trivial theoretical bound for this model, since the validation of the approach presented in [SHI13] was purely empirical. The result is obtained by designing a novel approximation algorithm for the maximization version of the problem and proving approximation guarantees for the minimization algorithm described in [SHI13]. Consider the problem of recovering an unknown signal from undersampled measurements, given the knowledge that the signal has a sparse representation in a specified dictionary @math . This problem is now understood to be well-posed and efficiently solvable under suitable assumptions on the measurements and dictionary if the number of measurements scales roughly with the sparsity level. One sufficient condition for such is the @math -restricted isometry property ( @math -RIP), which asks that the sampling matrix approximately preserve the norm of all signals which are sufficiently sparse in @math . While many classes of random matrices are known to satisfy such conditions, such matrices are not representative of the structural constraints imposed by practical sensing systems. We close this gap in the theory by demonstrating that one can subsample a fixed orthogonal matrix in such a way that the @math -RIP will hold, provided this basis is sufficiently incoherent with the sparsifying dictionary $ ... 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. Consider the recovery of an unknown signal @math from quantized linear measurements. In the one-bit compressive sensing setting, one typically assumes that @math is sparse, and that the measurements are of the form @math . Since such measurements give no information on the norm of @math , recovery methods typically assume that @math . We show that if one allows more generally for quantized affine measurements of the form @math , and if the vectors @math are random, an appropriate choice of the affine shifts @math allows norm recovery to be easily incorporated into existing methods for one-bit compressive sensing. In addition, we show that for arbitrary fixed @math in the annulus @math , one may estimate the norm @math up to additive error @math from @math such binary measurements through a single evaluation of the inverse Gaussian error function. Finally, all of our recovery guarantees can be made universal over sparse vectors in the sense that with high probability, one set of measurements and thresholds can successfully estimate all sparse vectors @math in a Euclidean ball of known radius. Given @math noisy samples with @math dimensions, where @math , we show that the multi-step thresholding procedure based on the Lasso -- we call it the Thresholded Lasso , can accurately estimate a sparse vector @math in a linear model @math , where @math is a design matrix normalized to have column @math norm @math , and @math . We show that under the restricted eigenvalue (RE) condition (Bickel-Ritov-Tsybakov 09), it is possible to achieve the @math loss within a logarithmic factor of the ideal mean square error one would achieve with an oracle while selecting a sufficiently sparse model -- hence achieving sparse oracle inequalities ; the oracle would supply perfect information about which coordinates are non-zero and which are above the noise level. In some sense, the Thresholded Lasso recovers the choices that would have been made by the @math penalized least squares estimators, in that it selects a sufficiently sparse model without sacrificing the accuracy in estimating @math and in predicting @math . We also show for the Gauss-Dantzig selector (Cand e s-Tao 07), if @math obeys a uniform uncertainty principle and if the true parameter is sufficiently sparse, one will achieve the sparse oracle inequalities as above, while allowing at most @math irrelevant variables in the model in the worst case, where @math is the smallest integer such that for @math , @math . Our simulation results on the Thresholded Lasso match our theoretical analysis excellently. This paper studies the problem of recovering a sparse signal x ∈ ℝn from highly corrupted linear measurements y = Ax + e ∈ ℝm, where e is an unknown error vector whose nonzero entries may be unbounded. Motivated by an observation from face recognition in computer vision, this paper proves that for highly correlated (and possibly overcomplete) dictionaries A, any sufficiently sparse signal x can be recovered by solving an l1 -minimization problem min ||x||1 + ||e||1 subject to y = Ax + e. More precisely, if the fraction of the support of the error e is bounded away from one and the support of a: is a very small fraction of the dimension m, then as m becomes large the above l1 -minimization succeeds for all signals x and almost all sign-and-support patterns of e. This result suggests that accurate recovery of sparse signals is possible and computationally feasible even with nearly 100 of the observations corrupted. The proof relies on a careful characterization of the faces of a convex polytope spanned together by the standard crosspolytope and a set of independent identically distributed (i.i.d.) Gaussian vectors with nonzero mean and small variance, dubbed the "cross-and-bouquet" (CAB) model. Simulations and experiments corroborate the findings, and suggest extensions to the result. Recovering structured models (e.g., sparse or group-sparse vectors, low-rank matrices) given a few linear observations have been well-studied recently. In various applications in signal processing and machine learning, the model of interest is structured in several ways, for example, a matrix that is simultaneously sparse and low rank. Often norms that promote the individual structures are known, and allow for recovery using an orderwise optimal number of measurements (e.g., @math norm for sparsity, nuclear norm for matrix rank). Hence, it is reasonable to minimize a combination of such norms. We show that, surprisingly, using multiobjective optimization with these norms can do no better, orderwise, than exploiting only one of the structures, thus revealing a fundamental limitation in sample complexity. This result suggests that to fully exploit the multiple structures, we need an entirely new convex relaxation. Further, specializing our results to the case of sparse and low-rank matrices, we show that a nonconvex formulation recovers the model from very few measurements (on the order of the degrees of freedom), whereas the convex problem combining the @math and nuclear norms requires many more measurements, illustrating a gap between the performance of the convex and nonconvex recovery problems. Our framework applies to arbitrary structure-inducing norms as well as to a wide range of measurement ensembles. This allows us to give sample complexity bounds for problems such as sparse phase retrieval and low-rank tensor completion. We investigate the problem of reconstructing a high-dimensional nonnegative sparse vector from lower-dimensional linear measurements. While much work has focused on dense measurement matrices, sparse measurement schemes can be more efficient both with respect to signal sensing as well as reconstruction complexity. Known constructions use the adjacency matrices of expander graphs, which often lead to recovery algorithms which are much more efficient than minimization. However, prior constructions of sparse measurement matrices rely on expander graphs with very high expansion coefficients which make the construction of such graphs difficult and the size of the recoverable sets very small. In this paper, we introduce sparse measurement matrices for the recovery of nonnegative vectors, using perturbations of the adjacency matrices of expander graphs requiring much smaller expansion coefficients, hereby referred to as minimal expanders. We show that when minimization is used as the reconstruction method, these constructions allow the recovery of signals that are almost three orders of magnitude larger compared to the existing theoretical results for sparse measurement matrices. We provide for the first time tight upper bounds for the so called weak and strong recovery thresholds when minimization is used. We further show that the success of optimization is equivalent to the existence of a “unique” vector in the set of solutions to the linear equations, which enables alternative algorithms for minimization. We further show that the defined minimal expansion property is necessary for all measurement matrices for compressive sensing, (even when the non-negativity assumption is removed) therefore implying that our construction is tight. We finally present a novel recovery algorithm that exploits expansion and is much more computationally efficient compared to minimization.