Covariance Estimation from Compressive Data Partitions using a Projected Gradient-based Algorithm

Covariance matrix estimation techniques require high acquisition costs that challenge the sampling systems' storing and transmission capabilities. For this reason, various acquisition approaches have been developed to simultaneously sense and compress the relevant information of the signal using random projections. However, estimating the covariance matrix from the random projections is an ill-posed problem that requires further information about the data, such as sparsity, low rank, or stationary behavior. Furthermore, this approach fails using high compression ratios. Therefore, this paper proposes an algorithm based on the projected gradient method to recover a low-rank or Toeplitz approximation of the covariance matrix. The proposed algorithm divides the data into subsets projected onto different subspaces, assuming that each subset contains an approximation of the signal statistics, improving the inverse problem's condition. The error induced by this assumption is analytically derived along with the convergence guarantees of the proposed method. Extensive simulations show that the proposed algorithm can effectively recover the covariance matrix of hyperspectral images with high compression ratios (8-15% approx) in noisy scenarios. Additionally, simulations and theoretical results show that filtering the gradient reduces the estimator's error recovering up to twice the number of eigenvectors.Comment: submitted to IEEE Transactions on Image Processin

Low Complexity Regularization of Linear Inverse Problems

Inverse problems and regularization theory is a central theme in contemporary signal processing, where the goal is to reconstruct an unknown signal from partial indirect, and possibly noisy, measurements of it. A now standard method for recovering the unknown signal is to solve a convex optimization problem that enforces some prior knowledge about its structure. This has proved efficient in many problems routinely encountered in imaging sciences, statistics and machine learning. This chapter delivers a review of recent advances in the field where the regularization prior promotes solutions conforming to some notion of simplicity/low-complexity. These priors encompass as popular examples sparsity and group sparsity (to capture the compressibility of natural signals and images), total variation and analysis sparsity (to promote piecewise regularity), and low-rank (as natural extension of sparsity to matrix-valued data). Our aim is to provide a unified treatment of all these regularizations under a single umbrella, namely the theory of partial smoothness. This framework is very general and accommodates all low-complexity regularizers just mentioned, as well as many others. Partial smoothness turns out to be the canonical way to encode low-dimensional models that can be linear spaces or more general smooth manifolds. This review is intended to serve as a one stop shop toward the understanding of the theoretical properties of the so-regularized solutions. It covers a large spectrum including: (i) recovery guarantees and stability to noise, both in terms of $\ell^2$-stability and model (manifold) identification; (ii) sensitivity analysis to perturbations of the parameters involved (in particular the observations), with applications to unbiased risk estimation ; (iii) convergence properties of the forward-backward proximal splitting scheme, that is particularly well suited to solve the corresponding large-scale regularized optimization problem

Subspace Methods for Joint Sparse Recovery

We propose robust and efficient algorithms for the joint sparse recovery problem in compressed sensing, which simultaneously recover the supports of jointly sparse signals from their multiple measurement vectors obtained through a common sensing matrix. In a favorable situation, the unknown matrix, which consists of the jointly sparse signals, has linearly independent nonzero rows. In this case, the MUSIC (MUltiple SIgnal Classification) algorithm, originally proposed by Schmidt for the direction of arrival problem in sensor array processing and later proposed and analyzed for joint sparse recovery by Feng and Bresler, provides a guarantee with the minimum number of measurements. We focus instead on the unfavorable but practically significant case of rank-defect or ill-conditioning. This situation arises with limited number of measurement vectors, or with highly correlated signal components. In this case MUSIC fails, and in practice none of the existing methods can consistently approach the fundamental limit. We propose subspace-augmented MUSIC (SA-MUSIC), which improves on MUSIC so that the support is reliably recovered under such unfavorable conditions. Combined with subspace-based greedy algorithms also proposed and analyzed in this paper, SA-MUSIC provides a computationally efficient algorithm with a performance guarantee. The performance guarantees are given in terms of a version of restricted isometry property. In particular, we also present a non-asymptotic perturbation analysis of the signal subspace estimation that has been missing in the previous study of MUSIC.Comment: submitted to IEEE transactions on Information Theory, revised versio

Revisiting the Nystrom Method for Improved Large-Scale Machine Learning

We reconsider randomized algorithms for the low-rank approximation of symmetric positive semi-definite (SPSD) matrices such as Laplacian and kernel matrices that arise in data analysis and machine learning applications. Our main results consist of an empirical evaluation of the performance quality and running time of sampling and projection methods on a diverse suite of SPSD matrices. Our results highlight complementary aspects of sampling versus projection methods; they characterize the effects of common data preprocessing steps on the performance of these algorithms; and they point to important differences between uniform sampling and nonuniform sampling methods based on leverage scores. In addition, our empirical results illustrate that existing theory is so weak that it does not provide even a qualitative guide to practice. Thus, we complement our empirical results with a suite of worst-case theoretical bounds for both random sampling and random projection methods. These bounds are qualitatively superior to existing bounds---e.g. improved additive-error bounds for spectral and Frobenius norm error and relative-error bounds for trace norm error---and they point to future directions to make these algorithms useful in even larger-scale machine learning applications.Comment: 60 pages, 15 color figures; updated proof of Frobenius norm bounds, added comparison to projection-based low-rank approximations, and an analysis of the power method applied to SPSD sketche

Thirty Years of Machine Learning: The Road to Pareto-Optimal Wireless Networks

Future wireless networks have a substantial potential in terms of supporting a broad range of complex compelling applications both in military and civilian fields, where the users are able to enjoy high-rate, low-latency, low-cost and reliable information services. Achieving this ambitious goal requires new radio techniques for adaptive learning and intelligent decision making because of the complex heterogeneous nature of the network structures and wireless services. Machine learning (ML) algorithms have great success in supporting big data analytics, efficient parameter estimation and interactive decision making. Hence, in this article, we review the thirty-year history of ML by elaborating on supervised learning, unsupervised learning, reinforcement learning and deep learning. Furthermore, we investigate their employment in the compelling applications of wireless networks, including heterogeneous networks (HetNets), cognitive radios (CR), Internet of things (IoT), machine to machine networks (M2M), and so on. This article aims for assisting the readers in clarifying the motivation and methodology of the various ML algorithms, so as to invoke them for hitherto unexplored services as well as scenarios of future wireless networks.Comment: 46 pages, 22 fig

Inexact Gradient Projection and Fast Data Driven Compressed Sensing

We study convergence of the iterative projected gradient (IPG) algorithm for arbitrary (possibly nonconvex) sets and when both the gradient and projection oracles are computed approximately. We consider different notions of approximation of which we show that the Progressive Fixed Precision (PFP) and the $(1+\epsilon)$-optimal oracles can achieve the same accuracy as for the exact IPG algorithm. We show that the former scheme is also able to maintain the (linear) rate of convergence of the exact algorithm, under the same embedding assumption. In contrast, the $(1+\epsilon)$-approximate oracle requires a stronger embedding condition, moderate compression ratios and it typically slows down the convergence. We apply our results to accelerate solving a class of data driven compressed sensing problems, where we replace iterative exhaustive searches over large datasets by fast approximate nearest neighbour search strategies based on the cover tree data structure. For datasets with low intrinsic dimensions our proposed algorithm achieves a complexity logarithmic in terms of the dataset population as opposed to the linear complexity of a brute force search. By running several numerical experiments we conclude similar observations as predicted by our theoretical analysis