617 research outputs found

    Sharp thresholds for high-dimensional and noisy recovery of sparsity

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    The problem of consistently estimating the sparsity pattern of a vector \betastar \in \real^\mdim based on observations contaminated by noise arises in various contexts, including subset selection in regression, structure estimation in graphical models, sparse approximation, and signal denoising. We analyze the behavior of β„“1\ell_1-constrained quadratic programming (QP), also referred to as the Lasso, for recovering the sparsity pattern. Our main result is to establish a sharp relation between the problem dimension \mdim, the number \spindex of non-zero elements in \betastar, and the number of observations \numobs that are required for reliable recovery. For a broad class of Gaussian ensembles satisfying mutual incoherence conditions, we establish existence and compute explicit values of thresholds \ThreshLow and \ThreshUp with the following properties: for any Ο΅>0\epsilon > 0, if \numobs > 2 (\ThreshUp + \epsilon) \log (\mdim - \spindex) + \spindex + 1, then the Lasso succeeds in recovering the sparsity pattern with probability converging to one for large problems, whereas for \numobs < 2 (\ThreshLow - \epsilon) \log (\mdim - \spindex) + \spindex + 1, then the probability of successful recovery converges to zero. For the special case of the uniform Gaussian ensemble, we show that \ThreshLow = \ThreshUp = 1, so that the threshold is sharp and exactly determined.Comment: Appeared as Technical Report 708, Department of Statistics, UC Berkele

    Restricted strong convexity and weighted matrix completion: Optimal bounds with noise

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    We consider the matrix completion problem under a form of row/column weighted entrywise sampling, including the case of uniform entrywise sampling as a special case. We analyze the associated random observation operator, and prove that with high probability, it satisfies a form of restricted strong convexity with respect to weighted Frobenius norm. Using this property, we obtain as corollaries a number of error bounds on matrix completion in the weighted Frobenius norm under noisy sampling and for both exact and near low-rank matrices. Our results are based on measures of the "spikiness" and "low-rankness" of matrices that are less restrictive than the incoherence conditions imposed in previous work. Our technique involves an MM-estimator that includes controls on both the rank and spikiness of the solution, and we establish non-asymptotic error bounds in weighted Frobenius norm for recovering matrices lying with β„“q\ell_q-"balls" of bounded spikiness. Using information-theoretic methods, we show that no algorithm can achieve better estimates (up to a logarithmic factor) over these same sets, showing that our conditions on matrices and associated rates are essentially optimal

    Randomized Sketches of Convex Programs with Sharp Guarantees

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    Random projection (RP) is a classical technique for reducing storage and computational costs. We analyze RP-based approximations of convex programs, in which the original optimization problem is approximated by the solution of a lower-dimensional problem. Such dimensionality reduction is essential in computation-limited settings, since the complexity of general convex programming can be quite high (e.g., cubic for quadratic programs, and substantially higher for semidefinite programs). In addition to computational savings, random projection is also useful for reducing memory usage, and has useful properties for privacy-sensitive optimization. We prove that the approximation ratio of this procedure can be bounded in terms of the geometry of constraint set. For a broad class of random projections, including those based on various sub-Gaussian distributions as well as randomized Hadamard and Fourier transforms, the data matrix defining the cost function can be projected down to the statistical dimension of the tangent cone of the constraints at the original solution, which is often substantially smaller than the original dimension. We illustrate consequences of our theory for various cases, including unconstrained and β„“1\ell_1-constrained least squares, support vector machines, low-rank matrix estimation, and discuss implications on privacy-sensitive optimization and some connections with de-noising and compressed sensing
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