Near-Optimal Estimation of Simultaneously Sparse and Low-Rank Matrices from Nested Linear Measurements

In this paper we consider the problem of estimating simultaneously low-rank and row-wise sparse matrices from nested linear measurements where the linear operator consists of the product of a linear operator $\mathcal{W}$ and a matrix $\mathbf{\varPsi}$. Leveraging the nested structure of the measurement operator, we propose a computationally efficient two-stage algorithm for estimating the simultaneously structured target matrix. Assuming that $\mathcal{W}$ is a restricted isometry for low-rank matrices and $\mathbf{\varPsi}$ is a restricted isometry for row-wise sparse matrices, we establish an accuracy guarantee that holds uniformly for all sufficiently low-rank and row-wise sparse matrices with high probability. Furthermore, using standard tools from information theory, we establish a minimax lower bound for estimation of simultaneously low-rank and row-wise sparse matrices from linear measurements that need not be nested. The accuracy bounds established for the algorithm, that also serve as a minimax upper bound, differ from the derived minimax lower bound merely by a polylogarithmic factor of the dimensions. Therefore, the proposed algorithm is nearly minimax optimal. We also discuss some applications of the proposed observation model and evaluate our algorithm through numerical simulation

Active Sampling Count Sketch (ASCS) for Online Sparse Estimation of a Trillion Scale Covariance Matrix

Estimating and storing the covariance (or correlation) matrix of high-dimensional data is computationally challenging because both memory and computational requirements scale quadratically with the dimension. Fortunately, high-dimensional covariance matrices as observed in text, click-through, meta-genomics datasets, etc are often sparse. In this paper, we consider the problem of efficient sparse estimation of covariance matrices with possibly trillions of entries. The size of the datasets we target requires the algorithm to be online, as more than one pass over the data is prohibitive. In this paper, we propose Active Sampling Count Sketch (ASCS), an online and one-pass sketching algorithm, that recovers the large entries of the covariance matrix accurately. Count Sketch (CS), and other sub-linear compressed sensing algorithms, offer a natural solution to the problem in theory. However, vanilla CS does not work well in practice due to a low signal-to-noise ratio (SNR). At the heart of our approach is a novel active sampling strategy that increases the SNR of classical CS. We demonstrate the practicality of our algorithm with synthetic data and real-world high dimensional datasets. ASCS significantly improves over vanilla CS, demonstrating the merit of our active sampling strategy.Comment: 13 page