Dimensionality reduction with subgaussian matrices: a unified theory

We present a theory for Euclidean dimensionality reduction with subgaussian matrices which unifies several restricted isometry property and Johnson-Lindenstrauss type results obtained earlier for specific data sets. In particular, we recover and, in several cases, improve results for sets of sparse and structured sparse vectors, low-rank matrices and tensors, and smooth manifolds. In addition, we establish a new Johnson-Lindenstrauss embedding for data sets taking the form of an infinite union of subspaces of a Hilbert space

Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NP-hard. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, namely the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this pre-existing concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization

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

Variable selection in high-dimensional additive models based on norms of projections

We consider the problem of variable selection in high-dimensional sparse additive models. We focus on the case that the components belong to nonparametric classes of functions. The proposed method is motivated by geometric considerations in Hilbert spaces and consists of comparing the norms of the projections of the data onto various additive subspaces. Under minimal geometric assumptions, we prove concentration inequalities which lead to new conditions under which consistent variable selection is possible. As an application, we establish conditions under which a single component can be estimated with the rate of convergence corresponding to the situation in which the other components are known.Comment: 27 page