Covariance Estimation: The GLM and Regularization Perspectives

Finding an unconstrained and statistically interpretable reparameterization of a covariance matrix is still an open problem in statistics. Its solution is of central importance in covariance estimation, particularly in the recent high-dimensional data environment where enforcing the positive-definiteness constraint could be computationally expensive. We provide a survey of the progress made in modeling covariance matrices from two relatively complementary perspectives: (1) generalized linear models (GLM) or parsimony and use of covariates in low dimensions, and (2) regularization or sparsity for high-dimensional data. An emerging, unifying and powerful trend in both perspectives is that of reducing a covariance estimation problem to that of estimating a sequence of regression problems. We point out several instances of the regression-based formulation. A notable case is in sparse estimation of a precision matrix or a Gaussian graphical model leading to the fast graphical LASSO algorithm. Some advantages and limitations of the regression-based Cholesky decomposition relative to the classical spectral (eigenvalue) and variance-correlation decompositions are highlighted. The former provides an unconstrained and statistically interpretable reparameterization, and guarantees the positive-definiteness of the estimated covariance matrix. It reduces the unintuitive task of covariance estimation to that of modeling a sequence of regressions at the cost of imposing an a priori order among the variables. Elementwise regularization of the sample covariance matrix such as banding, tapering and thresholding has desirable asymptotic properties and the sparse estimated covariance matrix is positive definite with probability tending to one for large samples and dimensions.Comment: Published in at http://dx.doi.org/10.1214/11-STS358 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Sparse Modeling for Image and Vision Processing

In recent years, a large amount of multi-disciplinary research has been conducted on sparse models and their applications. In statistics and machine learning, the sparsity principle is used to perform model selection---that is, automatically selecting a simple model among a large collection of them. In signal processing, sparse coding consists of representing data with linear combinations of a few dictionary elements. Subsequently, the corresponding tools have been widely adopted by several scientific communities such as neuroscience, bioinformatics, or computer vision. The goal of this monograph is to offer a self-contained view of sparse modeling for visual recognition and image processing. More specifically, we focus on applications where the dictionary is learned and adapted to data, yielding a compact representation that has been successful in various contexts.Comment: 205 pages, to appear in Foundations and Trends in Computer Graphics and Visio

Simultaneously Structured Models with Application to Sparse and Low-rank Matrices

The topic of recovery of a structured model given a small number of linear observations has been well-studied in recent years. Examples include recovering sparse or group-sparse vectors, low-rank matrices, and the sum of sparse and low-rank matrices, among others. In various applications in signal processing and machine learning, the model of interest is known to be structured in several ways at the same time, for example, a matrix that is simultaneously sparse and low-rank. Often norms that promote each individual structure are known, and allow for recovery using an order-wise optimal number of measurements (e.g., $\ell_1$ norm for sparsity, nuclear norm for matrix rank). Hence, it is reasonable to minimize a combination of such norms. We show that, surprisingly, if we use multi-objective optimization with these norms, then we can do no better, order-wise, than an algorithm that exploits only one of the present structures. This result suggests that to fully exploit the multiple structures, we need an entirely new convex relaxation, i.e. not one that is a function of the convex relaxations used for each structure. We then specialize our results to the case of sparse and low-rank matrices. We show that a nonconvex formulation of the problem can recover the model from very few measurements, which is on the order of the degrees of freedom of the matrix, whereas the convex problem obtained from a combination of the $\ell_1$ and nuclear norms requires many more measurements. This proves an order-wise gap between the performance of the convex and nonconvex recovery problems in this case. Our framework applies to arbitrary structure-inducing norms as well as to a wide range of measurement ensembles. This allows us to give performance bounds for problems such as sparse phase retrieval and low-rank tensor completion.Comment: 38 pages, 9 figure

Image Fusion via Sparse Regularization with Non-Convex Penalties

The L1 norm regularized least squares method is often used for finding sparse approximate solutions and is widely used in 1-D signal restoration. Basis pursuit denoising (BPD) performs noise reduction in this way. However, the shortcoming of using L1 norm regularization is the underestimation of the true solution. Recently, a class of non-convex penalties have been proposed to improve this situation. This kind of penalty function is non-convex itself, but preserves the convexity property of the whole cost function. This approach has been confirmed to offer good performance in 1-D signal denoising. This paper demonstrates the aforementioned method to 2-D signals (images) and applies it to multisensor image fusion. The problem is posed as an inverse one and a corresponding cost function is judiciously designed to include two data attachment terms. The whole cost function is proved to be convex upon suitably choosing the non-convex penalty, so that the cost function minimization can be tackled by convex optimization approaches, which comprise simple computations. The performance of the proposed method is benchmarked against a number of state-of-the-art image fusion techniques and superior performance is demonstrated both visually and in terms of various assessment measures

Sufficient Dimension Reduction and Modeling Responses Conditioned on Covariates: An Integrated Approach via Convex Optimization

Given observations of a collection of covariates and responses $(Y, X) \in \mathbb{R}^p \times \mathbb{R}^q$, sufficient dimension reduction (SDR) techniques aim to identify a mapping $f: \mathbb{R}^q \rightarrow \mathbb{R}^k$ with $k \ll q$ such that $Y|f(X)$ is independent of $X$. The image $f(X)$ summarizes the relevant information in a potentially large number of covariates $X$ that influence the responses $Y$. In many contemporary settings, the number of responses $p$ is also quite large, in addition to a large number $q$ of covariates. This leads to the challenge of fitting a succinctly parameterized statistical model to $Y|f(X)$, which is a problem that is usually not addressed in a traditional SDR framework. In this paper, we present a computationally tractable convex relaxation based estimator for simultaneously (a) identifying a linear dimension reduction $f(X)$ of the covariates that is sufficient with respect to the responses, and (b) fitting several types of structured low-dimensional models -- factor models, graphical models, latent-variable graphical models -- to the conditional distribution of $Y|f(X)$. We analyze the consistency properties of our estimator in a high-dimensional scaling regime. We also illustrate the performance of our approach on a newsgroup dataset and on a dataset consisting of financial asset prices.Comment: 34 pages, 1 figur