Necessary and Sufficient Conditions on Sparsity Pattern Recovery

The problem of detecting the sparsity pattern of a k-sparse vector in R^n from m random noisy measurements is of interest in many areas such as system identification, denoising, pattern recognition, and compressed sensing. This paper addresses the scaling of the number of measurements m, with signal dimension n and sparsity-level nonzeros k, for asymptotically-reliable detection. We show a necessary condition for perfect recovery at any given SNR for all algorithms, regardless of complexity, is m = Omega(k log(n-k)) measurements. Conversely, it is shown that this scaling of Omega(k log(n-k)) measurements is sufficient for a remarkably simple ``maximum correlation'' estimator. Hence this scaling is optimal and does not require more sophisticated techniques such as lasso or matching pursuit. The constants for both the necessary and sufficient conditions are precisely defined in terms of the minimum-to-average ratio of the nonzero components and the SNR. The necessary condition improves upon previous results for maximum likelihood estimation. For lasso, it also provides a necessary condition at any SNR and for low SNR improves upon previous work. The sufficient condition provides the first asymptotically-reliable detection guarantee at finite SNR.Comment: Submitted to IEEE Transactions on Information Theor

Orthogonal Matching Pursuit: A Brownian Motion Analysis

A well-known analysis of Tropp and Gilbert shows that orthogonal matching pursuit (OMP) can recover a k-sparse n-dimensional real vector from 4 k log(n) noise-free linear measurements obtained through a random Gaussian measurement matrix with a probability that approaches one as n approaches infinity. This work strengthens this result by showing that a lower number of measurements, 2 k log(n - k), is in fact sufficient for asymptotic recovery. More generally, when the sparsity level satisfies kmin <= k <= kmax but is unknown, 2 kmax log(n - kmin) measurements is sufficient. Furthermore, this number of measurements is also sufficient for detection of the sparsity pattern (support) of the vector with measurement errors provided the signal-to-noise ratio (SNR) scales to infinity. The scaling 2 k log(n - k) exactly matches the number of measurements required by the more complex lasso method for signal recovery with a similar SNR scaling.Comment: 11 pages, 2 figure

Sharp thresholds for high-dimensional and noisy recovery of sparsity

The problem of consistently estimating the sparsity pattern of a vector \betastar \in \real^\mdim based on observations contaminated by noise arises in various contexts, including subset selection in regression, structure estimation in graphical models, sparse approximation, and signal denoising. We analyze the behavior of $\ell_1$-constrained quadratic programming (QP), also referred to as the Lasso, for recovering the sparsity pattern. Our main result is to establish a sharp relation between the problem dimension \mdim, the number \spindex of non-zero elements in \betastar, and the number of observations \numobs that are required for reliable recovery. For a broad class of Gaussian ensembles satisfying mutual incoherence conditions, we establish existence and compute explicit values of thresholds \ThreshLow and \ThreshUp with the following properties: for any $\epsilon > 0$, if \numobs > 2 (\ThreshUp + \epsilon) \log (\mdim - \spindex) + \spindex + 1, then the Lasso succeeds in recovering the sparsity pattern with probability converging to one for large problems, whereas for \numobs < 2 (\ThreshLow - \epsilon) \log (\mdim - \spindex) + \spindex + 1, then the probability of successful recovery converges to zero. For the special case of the uniform Gaussian ensemble, we show that \ThreshLow = \ThreshUp = 1, so that the threshold is sharp and exactly determined.Comment: Appeared as Technical Report 708, Department of Statistics, UC Berkele

Approximate Sparsity Pattern Recovery: Information-Theoretic Lower Bounds

Recovery of the sparsity pattern (or support) of an unknown sparse vector from a small number of noisy linear measurements is an important problem in compressed sensing. In this paper, the high-dimensional setting is considered. It is shown that if the measurement rate and per-sample signal-to-noise ratio (SNR) are finite constants independent of the length of the vector, then the optimal sparsity pattern estimate will have a constant fraction of errors. Lower bounds on the measurement rate needed to attain a desired fraction of errors are given in terms of the SNR and various key parameters of the unknown vector. The tightness of the bounds in a scaling sense, as a function of the SNR and the fraction of errors, is established by comparison with existing achievable bounds. Near optimality is shown for a wide variety of practically motivated signal models

Rank-Sparsity Incoherence for Matrix Decomposition

Suppose we are given a matrix that is formed by adding an unknown sparse matrix to an unknown low-rank matrix. Our goal is to decompose the given matrix into its sparse and low-rank components. Such a problem arises in a number of applications in model and system identification, and is NP-hard in general. In this paper we consider a convex optimization formulation to splitting the specified matrix into its components, by minimizing a linear combination of the $\ell_1$ norm and the nuclear norm of the components. We develop a notion of \emph{rank-sparsity incoherence}, expressed as an uncertainty principle between the sparsity pattern of a matrix and its row and column spaces, and use it to characterize both fundamental identifiability as well as (deterministic) sufficient conditions for exact recovery. Our analysis is geometric in nature, with the tangent spaces to the algebraic varieties of sparse and low-rank matrices playing a prominent role. When the sparse and low-rank matrices are drawn from certain natural random ensembles, we show that the sufficient conditions for exact recovery are satisfied with high probability. We conclude with simulation results on synthetic matrix decomposition problems