15 research outputs found
Conditional Gradient Algorithms for Rank-One Matrix Approximations with a Sparsity Constraint
The sparsity constrained rank-one matrix approximation problem is a difficult
mathematical optimization problem which arises in a wide array of useful
applications in engineering, machine learning and statistics, and the design of
algorithms for this problem has attracted intensive research activities. We
introduce an algorithmic framework, called ConGradU, that unifies a variety of
seemingly different algorithms that have been derived from disparate
approaches, and allows for deriving new schemes. Building on the old and
well-known conditional gradient algorithm, ConGradU is a simplified version
with unit step size and yields a generic algorithm which either is given by an
analytic formula or requires a very low computational complexity. Mathematical
properties are systematically developed and numerical experiments are given.Comment: Minor changes. Final version. To appear in SIAM Revie
The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing
This paper deals with the computational complexity of conditions which
guarantee that the NP-hard problem of finding the sparsest solution to an
underdetermined linear system can be solved by efficient algorithms. In the
literature, several such conditions have been introduced. The most well-known
ones are the mutual coherence, the restricted isometry property (RIP), and the
nullspace property (NSP). While evaluating the mutual coherence of a given
matrix is easy, it has been suspected for some time that evaluating RIP and NSP
is computationally intractable in general. We confirm these conjectures by
showing that for a given matrix A and positive integer k, computing the best
constants for which the RIP or NSP hold is, in general, NP-hard. These results
are based on the fact that determining the spark of a matrix is NP-hard, which
is also established in this paper. Furthermore, we also give several complexity
statements about problems related to the above concepts.Comment: 13 pages; accepted for publication in IEEE Trans. Inf. Theor
Near-optimal bounds for phase synchronization
The problem of phase synchronization is to estimate the phases (angles) of a
complex unit-modulus vector from their noisy pairwise relative measurements
, where is a complex-valued Gaussian random matrix.
The maximum likelihood estimator (MLE) is a solution to a unit-modulus
constrained quadratic programming problem, which is nonconvex. Existing works
have proposed polynomial-time algorithms such as a semidefinite relaxation
(SDP) approach or the generalized power method (GPM) to solve it. Numerical
experiments suggest both of these methods succeed with high probability for
up to , yet, existing analyses only
confirm this observation for up to . In this
paper, we bridge the gap, by proving SDP is tight for , and GPM converges to the global optimum under
the same regime. Moreover, we establish a linear convergence rate for GPM, and
derive a tighter bound for the MLE. A novel technique we develop
in this paper is to track (theoretically) closely related sequences of
iterates, in addition to the sequence of iterates GPM actually produces. As a
by-product, we obtain an perturbation bound for leading
eigenvectors. Our result also confirms intuitions that use techniques from
statistical mechanics.Comment: 34 pages, 1 figur