Computational Methods for Sparse Solution of Linear Inverse Problems

The goal of the sparse approximation problem is to approximate a target signal using a linear combination of a few elementary signals drawn from a fixed collection. This paper surveys the major practical algorithms for sparse approximation. Specific attention is paid to computational issues, to the circumstances in which individual methods tend to perform well, and to the theoretical guarantees available. Many fundamental questions in electrical engineering, statistics, and applied mathematics can be posed as sparse approximation problems, making these algorithms versatile and relevant to a plethora of applications

Structured penalties for functional linear models---partially empirical eigenvectors for regression

One of the challenges with functional data is incorporating spatial structure, or local correlation, into the analysis. This structure is inherent in the output from an increasing number of biomedical technologies, and a functional linear model is often used to estimate the relationship between the predictor functions and scalar responses. Common approaches to the ill-posed problem of estimating a coefficient function typically involve two stages: regularization and estimation. Regularization is usually done via dimension reduction, projecting onto a predefined span of basis functions or a reduced set of eigenvectors (principal components). In contrast, we present a unified approach that directly incorporates spatial structure into the estimation process by exploiting the joint eigenproperties of the predictors and a linear penalty operator. In this sense, the components in the regression are `partially empirical' and the framework is provided by the generalized singular value decomposition (GSVD). The GSVD clarifies the penalized estimation process and informs the choice of penalty by making explicit the joint influence of the penalty and predictors on the bias, variance, and performance of the estimated coefficient function. Laboratory spectroscopy data and simulations are used to illustrate the concepts.Comment: 29 pages, 3 figures, 5 tables; typo/notational errors edited and intro revised per journal review proces