22 research outputs found
Gradient Hard Thresholding Pursuit for Sparsity-Constrained Optimization
Hard Thresholding Pursuit (HTP) is an iterative greedy selection procedure
for finding sparse solutions of underdetermined linear systems. This method has
been shown to have strong theoretical guarantee and impressive numerical
performance. In this paper, we generalize HTP from compressive sensing to a
generic problem setup of sparsity-constrained convex optimization. The proposed
algorithm iterates between a standard gradient descent step and a hard
thresholding step with or without debiasing. We prove that our method enjoys
the strong guarantees analogous to HTP in terms of rate of convergence and
parameter estimation accuracy. Numerical evidences show that our method is
superior to the state-of-the-art greedy selection methods in sparse logistic
regression and sparse precision matrix estimation tasks
Stable Recovery Of Sparse Vectors From Random Sinusoidal Feature Maps
Random sinusoidal features are a popular approach for speeding up
kernel-based inference in large datasets. Prior to the inference stage, the
approach suggests performing dimensionality reduction by first multiplying each
data vector by a random Gaussian matrix, and then computing an element-wise
sinusoid. Theoretical analysis shows that collecting a sufficient number of
such features can be reliably used for subsequent inference in kernel
classification and regression.
In this work, we demonstrate that with a mild increase in the dimension of
the embedding, it is also possible to reconstruct the data vector from such
random sinusoidal features, provided that the underlying data is sparse enough.
In particular, we propose a numerically stable algorithm for reconstructing the
data vector given the nonlinear features, and analyze its sample complexity.
Our algorithm can be extended to other types of structured inverse problems,
such as demixing a pair of sparse (but incoherent) vectors. We support the
efficacy of our approach via numerical experiments
Optimal Rates of Convergence for Noisy Sparse Phase Retrieval via Thresholded Wirtinger Flow
This paper considers the noisy sparse phase retrieval problem: recovering a
sparse signal from noisy quadratic measurements , , with independent sub-exponential
noise . The goals are to understand the effect of the sparsity of
on the estimation precision and to construct a computationally feasible
estimator to achieve the optimal rates. Inspired by the Wirtinger Flow [12]
proposed for noiseless and non-sparse phase retrieval, a novel thresholded
gradient descent algorithm is proposed and it is shown to adaptively achieve
the minimax optimal rates of convergence over a wide range of sparsity levels
when the 's are independent standard Gaussian random vectors, provided
that the sample size is sufficiently large compared to the sparsity of .Comment: 28 pages, 4 figure