25,155 research outputs found
Norms on complex matrices induced by random vectors II: extension of weakly unitarily invariant norms
We improve and expand in two directions the theory of norms on complex
matrices induced by random vectors. We first provide a simple proof of the
classification of weakly unitarily invariant norms on the Hermitian matrices.
We use this to extend the main theorem in [7] from exponent to . Our proofs are much simpler than the originals: they do not require
Lewis' framework for group invariance in convex matrix analysis. This
clarification puts the entire theory on simpler foundations while extending its
range of applicability.Comment: 10 page
Linear Convergence of Comparison-based Step-size Adaptive Randomized Search via Stability of Markov Chains
In this paper, we consider comparison-based adaptive stochastic algorithms
for solving numerical optimisation problems. We consider a specific subclass of
algorithms that we call comparison-based step-size adaptive randomized search
(CB-SARS), where the state variables at a given iteration are a vector of the
search space and a positive parameter, the step-size, typically controlling the
overall standard deviation of the underlying search distribution.We investigate
the linear convergence of CB-SARS on\emph{scaling-invariant} objective
functions. Scaling-invariantfunctions preserve the ordering of points with
respect to their functionvalue when the points are scaled with the same
positive parameter (thescaling is done w.r.t. a fixed reference point). This
class offunctions includes norms composed with strictly increasing functions
aswell as many non quasi-convex and non-continuousfunctions. On
scaling-invariant functions, we show the existence of ahomogeneous Markov
chain, as a consequence of natural invarianceproperties of CB-SARS (essentially
scale-invariance and invariance tostrictly increasing transformation of the
objective function). We thenderive sufficient conditions for \emph{global
linear convergence} ofCB-SARS, expressed in terms of different stability
conditions of thenormalised homogeneous Markov chain (irreducibility,
positivity, Harrisrecurrence, geometric ergodicity) and thus define a general
methodologyfor proving global linear convergence of CB-SARS algorithms
onscaling-invariant functions. As a by-product we provide aconnexion between
comparison-based adaptive stochasticalgorithms and Markov chain Monte Carlo
algorithms.Comment: SIAM Journal on Optimization, Society for Industrial and Applied
Mathematics, 201
Sparse phase retrieval via group-sparse optimization
This paper deals with sparse phase retrieval, i.e., the problem of estimating
a vector from quadratic measurements under the assumption that few components
are nonzero. In particular, we consider the problem of finding the sparsest
vector consistent with the measurements and reformulate it as a group-sparse
optimization problem with linear constraints. Then, we analyze the convex
relaxation of the latter based on the minimization of a block l1-norm and show
various exact recovery and stability results in the real and complex cases.
Invariance to circular shifts and reflections are also discussed for real
vectors measured via complex matrices
Diagonality Measures of Hermitian Positive-Definite Matrices with Application to the Approximate Joint Diagonalization Problem
In this paper, we introduce properly-invariant diagonality measures of
Hermitian positive-definite matrices. These diagonality measures are defined as
distances or divergences between a given positive-definite matrix and its
diagonal part. We then give closed-form expressions of these diagonality
measures and discuss their invariance properties. The diagonality measure based
on the log-determinant -divergence is general enough as it includes a
diagonality criterion used by the signal processing community as a special
case. These diagonality measures are then used to formulate minimization
problems for finding the approximate joint diagonalizer of a given set of
Hermitian positive-definite matrices. Numerical computations based on a
modified Newton method are presented and commented
Invariances in variance estimates
We provide variants and improvements of the Brascamp-Lieb variance inequality
which take into account the invariance properties of the underlying measure.
This is applied to spectral gap estimates for log-concave measures with many
symmetries and to non-interacting conservative spin systems
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