Analysis of Fisher Information and the Cram\'{e}r-Rao Bound for Nonlinear Parameter Estimation after Compressed Sensing

In this paper, we analyze the impact of compressed sensing with complex random matrices on Fisher information and the Cram\'{e}r-Rao Bound (CRB) for estimating unknown parameters in the mean value function of a complex multivariate normal distribution. We consider the class of random compression matrices whose distribution is right-orthogonally invariant. The compression matrix whose elements are i.i.d. standard normal random variables is one such matrix. We show that for all such compression matrices, the Fisher information matrix has a complex matrix beta distribution. We also derive the distribution of CRB. These distributions can be used to quantify the loss in CRB as a function of the Fisher information of the non-compressed data. In our numerical examples, we consider a direction of arrival estimation problem and discuss the use of these distributions as guidelines for choosing compression ratios based on the resulting loss in CRB.Comment: 12 pages, 3figure

Statistical Mechanics of High-Dimensional Inference

To model modern large-scale datasets, we need efficient algorithms to infer a set of $P$ unknown model parameters from $N$ noisy measurements. What are fundamental limits on the accuracy of parameter inference, given finite signal-to-noise ratios, limited measurements, prior information, and computational tractability requirements? How can we combine prior information with measurements to achieve these limits? Classical statistics gives incisive answers to these questions as the measurement density $\alpha = \frac{N}{P}\rightarrow \infty$. However, these classical results are not relevant to modern high-dimensional inference problems, which instead occur at finite $\alpha$. We formulate and analyze high-dimensional inference as a problem in the statistical physics of quenched disorder. Our analysis uncovers fundamental limits on the accuracy of inference in high dimensions, and reveals that widely cherished inference algorithms like maximum likelihood (ML) and maximum-a posteriori (MAP) inference cannot achieve these limits. We further find optimal, computationally tractable algorithms that can achieve these limits. Intriguingly, in high dimensions, these optimal algorithms become computationally simpler than MAP and ML, while still outperforming them. For example, such optimal algorithms can lead to as much as a 20% reduction in the amount of data to achieve the same performance relative to MAP. Moreover, our analysis reveals simple relations between optimal high dimensional inference and low dimensional scalar Bayesian inference, insights into the nature of generalization and predictive power in high dimensions, information theoretic limits on compressed sensing, phase transitions in quadratic inference, and connections to central mathematical objects in convex optimization theory and random matrix theory.Comment: See http://ganguli-gang.stanford.edu/pdf/HighDimInf.Supp.pdf for supplementary materia

Compressed matched filter for non-Gaussian noise

We consider estimation of a deterministic unknown parameter vector in a linear model with non-Gaussian noise. In the Gaussian case, dimensionality reduction via a linear matched filter provides a simple low dimensional sufficient statistic which can be easily communicated and/or stored for future inference. Such a statistic is usually unknown in the general non-Gaussian case. Instead, we propose a hybrid matched filter coupled with a randomized compressed sensing procedure, which together create a low dimensional statistic. We also derive a complementary algorithm for robust reconstruction given this statistic. Our recovery method is based on the fast iterative shrinkage and thresholding algorithm which is used for outlier rejection given the compressed data. We demonstrate the advantages of the proposed framework using synthetic simulations

Rank-based model selection for multiple ions quantum tomography

The statistical analysis of measurement data has become a key component of many quantum engineering experiments. As standard full state tomography becomes unfeasible for large dimensional quantum systems, one needs to exploit prior information and the "sparsity" properties of the experimental state in order to reduce the dimensionality of the estimation problem. In this paper we propose model selection as a general principle for finding the simplest, or most parsimonious explanation of the data, by fitting different models and choosing the estimator with the best trade-off between likelihood fit and model complexity. We apply two well established model selection methods -- the Akaike information criterion (AIC) and the Bayesian information criterion (BIC) -- to models consising of states of fixed rank and datasets such as are currently produced in multiple ions experiments. We test the performance of AIC and BIC on randomly chosen low rank states of 4 ions, and study the dependence of the selected rank with the number of measurement repetitions for one ion states. We then apply the methods to real data from a 4 ions experiment aimed at creating a Smolin state of rank 4. The two methods indicate that the optimal model for describing the data lies between ranks 6 and 9, and the Pearson $\chi^{2}$ test is applied to validate this conclusion. Additionally we find that the mean square error of the maximum likelihood estimator for pure states is close to that of the optimal over all possible measurements.Comment: 24 pages, 6 figures, 3 table

Phase Retrieval From Binary Measurements

We consider the problem of signal reconstruction from quadratic measurements that are encoded as +1 or -1 depending on whether they exceed a predetermined positive threshold or not. Binary measurements are fast to acquire and inexpensive in terms of hardware. We formulate the problem of signal reconstruction using a consistency criterion, wherein one seeks to find a signal that is in agreement with the measurements. To enforce consistency, we construct a convex cost using a one-sided quadratic penalty and minimize it using an iterative accelerated projected gradient-descent (APGD) technique. The PGD scheme reduces the cost function in each iteration, whereas incorporating momentum into PGD, notwithstanding the lack of such a descent property, exhibits faster convergence than PGD empirically. We refer to the resulting algorithm as binary phase retrieval (BPR). Considering additive white noise contamination prior to quantization, we also derive the Cramer-Rao Bound (CRB) for the binary encoding model. Experimental results demonstrate that the BPR algorithm yields a signal-to- reconstruction error ratio (SRER) of approximately 25 dB in the absence of noise. In the presence of noise prior to quantization, the SRER is within 2 to 3 dB of the CRB