Compressive Measurement Designs for Estimating Structured Signals in Structured Clutter: A Bayesian Experimental Design Approach

This work considers an estimation task in compressive sensing, where the goal is to estimate an unknown signal from compressive measurements that are corrupted by additive pre-measurement noise (interference, or clutter) as well as post-measurement noise, in the specific setting where some (perhaps limited) prior knowledge on the signal, interference, and noise is available. The specific aim here is to devise a strategy for incorporating this prior information into the design of an appropriate compressive measurement strategy. Here, the prior information is interpreted as statistics of a prior distribution on the relevant quantities, and an approach based on Bayesian Experimental Design is proposed. Experimental results on synthetic data demonstrate that the proposed approach outperforms traditional random compressive measurement designs, which are agnostic to the prior information, as well as several other knowledge-enhanced sensing matrix designs based on more heuristic notions.Comment: 5 pages, 4 figures. Accepted for publication at The Asilomar Conference on Signals, Systems, and Computers 201

Global testing under sparse alternatives: ANOVA, multiple comparisons and the higher criticism

Testing for the significance of a subset of regression coefficients in a linear model, a staple of statistical analysis, goes back at least to the work of Fisher who introduced the analysis of variance (ANOVA). We study this problem under the assumption that the coefficient vector is sparse, a common situation in modern high-dimensional settings. Suppose we have $p$ covariates and that under the alternative, the response only depends upon the order of $p^{1-\alpha}$ of those, $0\le\alpha\le1$. Under moderate sparsity levels, that is, $0\le\alpha\le1/2$, we show that ANOVA is essentially optimal under some conditions on the design. This is no longer the case under strong sparsity constraints, that is, $\alpha>1/2$. In such settings, a multiple comparison procedure is often preferred and we establish its optimality when $\alpha\geq3/4$. However, these two very popular methods are suboptimal, and sometimes powerless, under moderately strong sparsity where $1/2<\alpha<3/4$. We suggest a method based on the higher criticism that is powerful in the whole range $\alpha>1/2$. This optimality property is true for a variety of designs, including the classical (balanced) multi-way designs and more modern "$p>n$" designs arising in genetics and signal processing. In addition to the standard fixed effects model, we establish similar results for a random effects model where the nonzero coefficients of the regression vector are normally distributed.Comment: Published in at http://dx.doi.org/10.1214/11-AOS910 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

A Max-Product EM Algorithm for Reconstructing Markov-tree Sparse Signals from Compressive Samples

We propose a Bayesian expectation-maximization (EM) algorithm for reconstructing Markov-tree sparse signals via belief propagation. The measurements follow an underdetermined linear model where the regression-coefficient vector is the sum of an unknown approximately sparse signal and a zero-mean white Gaussian noise with an unknown variance. The signal is composed of large- and small-magnitude components identified by binary state variables whose probabilistic dependence structure is described by a Markov tree. Gaussian priors are assigned to the signal coefficients given their state variables and the Jeffreys' noninformative prior is assigned to the noise variance. Our signal reconstruction scheme is based on an EM iteration that aims at maximizing the posterior distribution of the signal and its state variables given the noise variance. We construct the missing data for the EM iteration so that the complete-data posterior distribution corresponds to a hidden Markov tree (HMT) probabilistic graphical model that contains no loops and implement its maximization (M) step via a max-product algorithm. This EM algorithm estimates the vector of state variables as well as solves iteratively a linear system of equations to obtain the corresponding signal estimate. We select the noise variance so that the corresponding estimated signal and state variables obtained upon convergence of the EM iteration have the largest marginal posterior distribution. We compare the proposed and existing state-of-the-art reconstruction methods via signal and image reconstruction experiments.Comment: To appear in IEEE Transactions on Signal Processin

Info-Greedy sequential adaptive compressed sensing

We present an information-theoretic framework for sequential adaptive compressed sensing, Info-Greedy Sensing, where measurements are chosen to maximize the extracted information conditioned on the previous measurements. We show that the widely used bisection approach is Info-Greedy for a family of $k$-sparse signals by connecting compressed sensing and blackbox complexity of sequential query algorithms, and present Info-Greedy algorithms for Gaussian and Gaussian Mixture Model (GMM) signals, as well as ways to design sparse Info-Greedy measurements. Numerical examples demonstrate the good performance of the proposed algorithms using simulated and real data: Info-Greedy Sensing shows significant improvement over random projection for signals with sparse and low-rank covariance matrices, and adaptivity brings robustness when there is a mismatch between the assumed and the true distributions.Comment: Preliminary results presented at Allerton Conference 2014. To appear in IEEE Journal Selected Topics on Signal Processin