6,337 research outputs found
Learning Model-Based Sparsity via Projected Gradient Descent
Several convex formulation methods have been proposed previously for
statistical estimation with structured sparsity as the prior. These methods
often require a carefully tuned regularization parameter, often a cumbersome or
heuristic exercise. Furthermore, the estimate that these methods produce might
not belong to the desired sparsity model, albeit accurately approximating the
true parameter. Therefore, greedy-type algorithms could often be more desirable
in estimating structured-sparse parameters. So far, these greedy methods have
mostly focused on linear statistical models. In this paper we study the
projected gradient descent with non-convex structured-sparse parameter model as
the constraint set. Should the cost function have a Stable Model-Restricted
Hessian the algorithm produces an approximation for the desired minimizer. As
an example we elaborate on application of the main results to estimation in
Generalized Linear Model
DOLPHIn - Dictionary Learning for Phase Retrieval
We propose a new algorithm to learn a dictionary for reconstructing and
sparsely encoding signals from measurements without phase. Specifically, we
consider the task of estimating a two-dimensional image from squared-magnitude
measurements of a complex-valued linear transformation of the original image.
Several recent phase retrieval algorithms exploit underlying sparsity of the
unknown signal in order to improve recovery performance. In this work, we
consider such a sparse signal prior in the context of phase retrieval, when the
sparsifying dictionary is not known in advance. Our algorithm jointly
reconstructs the unknown signal - possibly corrupted by noise - and learns a
dictionary such that each patch of the estimated image can be sparsely
represented. Numerical experiments demonstrate that our approach can obtain
significantly better reconstructions for phase retrieval problems with noise
than methods that cannot exploit such "hidden" sparsity. Moreover, on the
theoretical side, we provide a convergence result for our method
Dual Averaging Method for Online Graph-structured Sparsity
Online learning algorithms update models via one sample per iteration, thus
efficient to process large-scale datasets and useful to detect malicious events
for social benefits, such as disease outbreak and traffic congestion on the
fly. However, existing algorithms for graph-structured models focused on the
offline setting and the least square loss, incapable for online setting, while
methods designed for online setting cannot be directly applied to the problem
of complex (usually non-convex) graph-structured sparsity model. To address
these limitations, in this paper we propose a new algorithm for
graph-structured sparsity constraint problems under online setting, which we
call \textsc{GraphDA}. The key part in \textsc{GraphDA} is to project both
averaging gradient (in dual space) and primal variables (in primal space) onto
lower dimensional subspaces, thus capturing the graph-structured sparsity
effectively. Furthermore, the objective functions assumed here are generally
convex so as to handle different losses for online learning settings. To the
best of our knowledge, \textsc{GraphDA} is the first online learning algorithm
for graph-structure constrained optimization problems. To validate our method,
we conduct extensive experiments on both benchmark graph and real-world graph
datasets. Our experiment results show that, compared to other baseline methods,
\textsc{GraphDA} not only improves classification performance, but also
successfully captures graph-structured features more effectively, hence
stronger interpretability.Comment: 11 pages, 14 figure
Sharp Time--Data Tradeoffs for Linear Inverse Problems
In this paper we characterize sharp time-data tradeoffs for optimization
problems used for solving linear inverse problems. We focus on the minimization
of a least-squares objective subject to a constraint defined as the sub-level
set of a penalty function. We present a unified convergence analysis of the
gradient projection algorithm applied to such problems. We sharply characterize
the convergence rate associated with a wide variety of random measurement
ensembles in terms of the number of measurements and structural complexity of
the signal with respect to the chosen penalty function. The results apply to
both convex and nonconvex constraints, demonstrating that a linear convergence
rate is attainable even though the least squares objective is not strongly
convex in these settings. When specialized to Gaussian measurements our results
show that such linear convergence occurs when the number of measurements is
merely 4 times the minimal number required to recover the desired signal at all
(a.k.a. the phase transition). We also achieve a slower but geometric rate of
convergence precisely above the phase transition point. Extensive numerical
results suggest that the derived rates exactly match the empirical performance
Structured Sparsity: Discrete and Convex approaches
Compressive sensing (CS) exploits sparsity to recover sparse or compressible
signals from dimensionality reducing, non-adaptive sensing mechanisms. Sparsity
is also used to enhance interpretability in machine learning and statistics
applications: While the ambient dimension is vast in modern data analysis
problems, the relevant information therein typically resides in a much lower
dimensional space. However, many solutions proposed nowadays do not leverage
the true underlying structure. Recent results in CS extend the simple sparsity
idea to more sophisticated {\em structured} sparsity models, which describe the
interdependency between the nonzero components of a signal, allowing to
increase the interpretability of the results and lead to better recovery
performance. In order to better understand the impact of structured sparsity,
in this chapter we analyze the connections between the discrete models and
their convex relaxations, highlighting their relative advantages. We start with
the general group sparse model and then elaborate on two important special
cases: the dispersive and the hierarchical models. For each, we present the
models in their discrete nature, discuss how to solve the ensuing discrete
problems and then describe convex relaxations. We also consider more general
structures as defined by set functions and present their convex proxies.
Further, we discuss efficient optimization solutions for structured sparsity
problems and illustrate structured sparsity in action via three applications.Comment: 30 pages, 18 figure
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