We formulate sparse support recovery as a salient set identification problem and use information-theoretic analyses to characterize the recovery performance and sample complexity. We consider a very general model where we are not restricted to linear models or specific distributions. We state non-asymptotic bounds on recovery probability and a tight mutual information formula for sample complexity. We evaluate our bounds for applications such as sparse linear regression and explicitly characterize effects of correlation or noisy features on recovery performance. We show improvements upon previous work and identify gaps between the performance of recovery algorithms and fundamental information.
The problem of consistently estimating the sparsity pattern of a vector β* ∈ RP based on observations contaminated by noise arises in various contexts, including signal denoising, sparse approximation, compressed sensing, and model selection. We analyze the behavior of l1-constrained quadratic programming (QP), also referred to as the Lasso, for recovering the sparsity pattern. Our main result is to establish precise conditions on the problern dimension p, the number k of nonzero elements in β*, and the number of observations n that are necessary and sufficient for sparsity pattern recovery using the Lasso. We first analyze the case of observations made using deterministic design matrices and sub-Gaussian additive noise, and provide sufficient conditions for support recovery and l∞-error bounds, as well as results showing the necessity of incoherence and bounds on the minimum value. We then turn to the case of random designs, in which each row of the design is drawn from a N(0, Σ) ensemble. For a broad class of Gaussian ensembles satisfying mutual incoherence conditions, we compute explicit values of thresholds 0 0, if n > 2(θu + δ)k log(p - k), then the Lasso succeeds in recovering the sparsity pattern with probability converging to one for large problems, whereas for n < 2(θl - δ)k log(p - k), then the probability of successful recovery converges to zero. For the special case of the uniform Gaussian ensemble (Σ = I p×p), we show that θl = θu = 1, so that the precise threshold n = 2k log (p - k) is exactly determined. We consider the fundamental problem of estimating the mean of a vector y=Xβ+z, where X is an n×p design matrix in which one can have far more variables than observations, and z is a stochastic error term -— the so-called “p>n” setup. When β is sparse, or, more generally, when there is a sparse subset of covariates providing a close approximation to the unknown mean vector, we ask whether or not it is possible to accurately estimate Xβ using a computationally tractable algorithm. We show that, in a surprisingly wide range of situations, the lasso happens to nearly select the best subset of variables. Quantitatively speaking, we prove that solving a simple quadratic program achieves a squared error within a logarithmic factor of the ideal mean squared error that one would achieve with an oracle supplying perfect information about which variables should and should not be included in the model. Interestingly, our results describe the average performance of the lasso; that is, the performance one can expect in an vast majority of cases where Xβ is a sparse or nearly sparse superposition of variables, but not in all cases. Our results are nonasymptotic and widely applicable, since they simply require that pairs of predictor variables are not too collinear. This paper develops theoretical results regarding noisy 1-bit compressed sensing and sparse binomial regression. We demonstrate that a single convex program gives an accurate estimate of the signal, or coefficient vector, for both of these models. We show that an -sparse signal in can be accurately estimated from m = O(s log(n s)) single-bit measurements using a simple convex program. This remains true even if each measurement bit is flipped with probability nearly 1 2. Worst-case (adversarial) noise can also be accounted for, and uniform results that hold for all sparse inputs are derived as well. In the terminology of sparse logistic regression, we show that O (s log (2n s)) Bernoulli trials are sufficient to estimate a coefficient vector in which is approximately -sparse. Moreover, the same convex program works for virtually all generalized linear models, in which the link function may be unknown. To our knowledge, these are the first results that tie together the theory of sparse logistic regression to 1-bit compressed sensing. Our results apply to general signal structures aside from sparsity; one only needs to know the size of the set where signals reside. The size is given by the mean width of K, a computable quantity whose square serves as a robust extension of the dimension. We present computationally efficient and provably correct algorithms with near-optimal sample-complexity for noisy non-adaptive group testing. Group testing involves grouping arbitrary subsets of items into pools. Each pool is then tested to identify the defective items, which are usually assumed to be sparsely distributed. We consider random non-adaptive pooling where pools are selected randomly and independently of the test outcomes. Our noisy scenario accounts for both false negatives and false positives for the test outcomes. Inspired by compressive sensing algorithms we introduce four novel computationally efficient decoding algorithms for group testing, CBP via Linear Programming (CBP-LP), NCBP-LP (Noisy CBP-LP), and the two related algorithms NCBP-SLP+ and NCBP-SLP- (“Simple” NCBP-LP). The first of these algorithms deals with the noiseless measurement scenario, and the next three with the noisy measurement scenario. We derive explicit sample-complexity bounds — with all constants made explicit — for these algorithms as a function of the desired error probability; the noise parameters; the number of items; and the size of the defective set (or an upper bound on it). We show that the sample-complexities of our algorithms are near-optimal with respect to known information-theoretic bounds. Although the standard formulations of prediction problems involve fully-observed and noiseless data drawn in an i.i.d. manner, many applications involve noisy and or missing data, possibly involving dependence, as well. We study these issues in the context of high-dimensional sparse linear regression, and propose novel estimators for the cases of noisy, missing and or dependent data. Many standard approaches to noisy or missing data, such as those using the EM algorithm, lead to optimization problems that are inherently nonconvex, and it is difficult to establish theoretical guarantees on practical algorithms. While our approach also involves optimizing nonconvex programs, we are able to both analyze the statistical error associated with any global optimum, and more surprisingly, to prove that a simple algorithm based on projected gradient descent will converge in polynomial time to a small neighborhood of the set of all global minimizers. On the statistical side, we provide nonasymptotic bounds that hold with high probability for the cases of noisy, missing and or dependent data. On the computational side, we prove that under the same types of conditions required for statistical consistency, the projected gradient descent algorithm is guaranteed to converge at a geometric rate to a near-global minimizer. We illustrate these theoretical predictions with simulations, showing close agreement with the predicted scalings.