A First-order Augmented Lagrangian Method for Compressed Sensing

We propose a first-order augmented Lagrangian algorithm (FAL) for solving the basis pursuit problem. FAL computes a solution to this problem by inexactly solving a sequence of L1-regularized least squares sub-problems. These sub-problems are solved using an infinite memory proximal gradient algorithm wherein each update reduces to "shrinkage" or constrained "shrinkage". We show that FAL converges to an optimal solution of the basis pursuit problem whenever the solution is unique, which is the case with very high probability for compressed sensing problems. We construct a parameter sequence such that the corresponding FAL iterates are eps-feasible and eps-optimal for all eps>0 within O(log(1/eps)) FAL iterations. Moreover, FAL requires at most O(1/eps) matrix-vector multiplications of the form Ax or A^Ty to compute an eps-feasible, eps-optimal solution. We show that FAL can be easily extended to solve the basis pursuit denoising problem when there is a non-trivial level of noise on the measurements. We report the results of numerical experiments comparing FAL with the state-of-the-art algorithms for both noisy and noiseless compressed sensing problems. A striking property of FAL that we observed in the numerical experiments with randomly generated instances when there is no measurement noise was that FAL always correctly identifies the support of the target signal without any thresholding or post-processing, for moderately small error tolerance values

Statistical mechanics of complex economies

In the pursuit of ever increasing efficiency and growth, our economies have evolved to remarkable degrees of complexity, with nested production processes feeding each other in order to create products of greater sophistication from less sophisticated ones, down to raw materials. The engine of such an expansion have been competitive markets that, according to General Equilibrium Theory (GET), achieve efficient allocations under specific conditions. We study large random economies within the GET framework, as templates of complex economies, and we find that a non-trivial phase transition occurs: the economy freezes in a state where all production processes collapse when either the number of primary goods or the number of available technologies fall below a critical threshold. As in other examples of phase transitions in large random systems, this is an unintended consequence of the growth in complexity. Our findings suggest that the Industrial Revolution can be regarded as a sharp transition between different phases, but also imply that well developed economies can collapse if too many intermediate goods are introduced.Comment: 30 pages, 10 figure

Sparse Representation of Photometric Redshift PDFs: Preparing for Petascale Astronomy

One of the consequences of entering the era of precision cosmology is the widespread adoption of photometric redshift probability density functions (PDFs). Both current and future photometric surveys are expected to obtain images of billions of distinct galaxies. As a result, storing and analyzing all of these PDFs will be non-trivial and even more severe if a survey plans to compute and store multiple different PDFs. In this paper we propose the use of a sparse basis representation to fully represent individual photo-$z$ PDFs. By using an Orthogonal Matching Pursuit algorithm and a combination of Gaussian and Voigt basis functions, we demonstrate how our approach is superior to a multi-Gaussian fitting, as we require approximately half of the parameters for the same fitting accuracy with the additional advantage that an entire PDF can be stored by using a 4-byte integer per basis function, and we can achieve better accuracy by increasing the number of bases. By using data from the CFHTLenS, we demonstrate that only ten to twenty points per galaxy are sufficient to reconstruct both the individual PDFs and the ensemble redshift distribution, $N(z)$, to an accuracy of 99.9% when compared to the one built using the original PDFs computed with a resolution of $\delta z = 0.01$, reducing the required storage of two hundred original values by a factor of ten to twenty. Finally, we demonstrate how this basis representation can be directly extended to a cosmological analysis, thereby increasing computational performance without losing resolution nor accuracy.Comment: 12 pages, 10 figures. Accepted for publication in MNRAS. The code can be found at http://lcdm.astro.illinois.edu/code/pdfz.htm