33 research outputs found
Wavelet-Fourier CORSING techniques for multi-dimensional advection-diffusion-reaction equations
We present and analyze a novel wavelet-Fourier technique for the numerical
treatment of multidimensional advection-diffusion-reaction equations based on
the CORSING (COmpRessed SolvING) paradigm. Combining the Petrov-Galerkin
technique with the compressed sensing approach, the proposed method is able to
approximate the largest coefficients of the solution with respect to a
biorthogonal wavelet basis. Namely, we assemble a compressed discretization
based on randomized subsampling of the Fourier test space and we employ sparse
recovery techniques to approximate the solution to the PDE. In this paper, we
provide the first rigorous recovery error bounds and effective recipes for the
implementation of the CORSING technique in the multi-dimensional setting. Our
theoretical analysis relies on new estimates for the local a-coherence, which
measures interferences between wavelet and Fourier basis functions with respect
to the metric induced by the PDE operator. The stability and robustness of the
proposed scheme is shown by numerical illustrations in the one-, two-, and
three-dimensional case
Sparse recovery in bounded Riesz systems with applications to numerical methods for PDEs
We study sparse recovery with structured random measurement matrices having
independent, identically distributed, and uniformly bounded rows and with a
nontrivial covariance structure. This class of matrices arises from random
sampling of bounded Riesz systems and generalizes random partial Fourier
matrices. Our main result improves the currently available results for the null
space and restricted isometry properties of such random matrices. The main
novelty of our analysis is a new upper bound for the expectation of the
supremum of a Bernoulli process associated with a restricted isometry constant.
We apply our result to prove new performance guarantees for the CORSING method,
a recently introduced numerical approximation technique for partial
differential equations (PDEs) based on compressive sensing
Compressive Fourier collocation methods for high-dimensional diffusion equations with periodic boundary conditions
High-dimensional Partial Differential Equations (PDEs) are a popular
mathematical modelling tool, with applications ranging from finance to
computational chemistry. However, standard numerical techniques for solving
these PDEs are typically affected by the curse of dimensionality. In this work,
we tackle this challenge while focusing on stationary diffusion equations
defined over a high-dimensional domain with periodic boundary conditions.
Inspired by recent progress in sparse function approximation in high
dimensions, we propose a new method called compressive Fourier collocation.
Combining ideas from compressive sensing and spectral collocation, our method
replaces the use of structured collocation grids with Monte Carlo sampling and
employs sparse recovery techniques, such as orthogonal matching pursuit and
minimization, to approximate the Fourier coefficients of the PDE
solution. We conduct a rigorous theoretical analysis showing that the
approximation error of the proposed method is comparable with the best -term
approximation (with respect to the Fourier basis) to the solution. Using the
recently introduced framework of random sampling in bounded Riesz systems, our
analysis shows that the compressive Fourier collocation method mitigates the
curse of dimensionality with respect to the number of collocation points under
sufficient conditions on the regularity of the diffusion coefficient. We also
present numerical experiments that illustrate the accuracy and stability of the
method for the approximation of sparse and compressible solutions.Comment: 33 pages, 9 figure
Square Root {LASSO}: well-posedness, Lipschitz stability and the tuning trade off
This paper studies well-posedness and parameter sensitivity of the Square
Root LASSO (SR-LASSO), an optimization model for recovering sparse solutions to
linear inverse problems in finite dimension. An advantage of the SR-LASSO
(e.g., over the standard LASSO) is that the optimal tuning of the
regularization parameter is robust with respect to measurement noise. This
paper provides three point-based regularity conditions at a solution of the
SR-LASSO: the weak, intermediate, and strong assumptions. It is shown that the
weak assumption implies uniqueness of the solution in question. The
intermediate assumption yields a directionally differentiable and locally
Lipschitz solution map (with explicit Lipschitz bounds), whereas the strong
assumption gives continuous differentiability of said map around the point in
question. Our analysis leads to new theoretical insights on the comparison
between SR-LASSO and LASSO from the viewpoint of tuning parameter sensitivity:
noise-robust optimal parameter choice for SR-LASSO comes at the "price" of
elevated tuning parameter sensitivity. Numerical results support and showcase
the theoretical findings
LASSO reloaded: a variational analysis perspective with applications to compressed sensing
This paper provides a variational analysis of the unconstrained formulation
of the LASSO problem, ubiquitous in statistical learning, signal processing,
and inverse problems. In particular, we establish smoothness results for the
optimal value as well as Lipschitz properties of the optimal solution as
functions of the right-hand side (or measurement vector) and the regularization
parameter. Moreover, we show how to apply the proposed variational analysis to
study the sensitivity of the optimal solution to the tuning parameter in the
context of compressed sensing with subgaussian measurements. Our theoretical
findings are validated by numerical experiments