Signal Estimation with Additive Error Metrics in Compressed Sensing

Compressed sensing typically deals with the estimation of a system input from its noise-corrupted linear measurements, where the number of measurements is smaller than the number of input components. The performance of the estimation process is usually quantified by some standard error metric such as squared error or support set error. In this correspondence, we consider a noisy compressed sensing problem with any arbitrary error metric. We propose a simple, fast, and highly general algorithm that estimates the original signal by minimizing the error metric defined by the user. We verify that our algorithm is optimal owing to the decoupling principle, and we describe a general method to compute the fundamental information-theoretic performance limit for any error metric. We provide two example metrics --- minimum mean absolute error and minimum mean support error --- and give the theoretical performance limits for these two cases. Experimental results show that our algorithm outperforms methods such as relaxed belief propagation (relaxed BP) and compressive sampling matching pursuit (CoSaMP), and reaches the suggested theoretical limits for our two example metrics.Comment: to appear in IEEE Trans. Inf. Theor

Optimal and Adaptive Monteiro-Svaiter Acceleration

We develop a variant of the Monteiro-Svaiter (MS) acceleration framework that removes the need to solve an expensive implicit equation at every iteration. Consequently, for any $p\ge 2$ we improve the complexity of convex optimization with Lipschitz $p$th derivative by a logarithmic factor, matching a lower bound. We also introduce an MS subproblem solver that requires no knowledge of problem parameters, and implement it as either a second- or first-order method by solving linear systems or applying MinRes, respectively. On logistic regression our method outperforms previous second-order momentum methods, but under-performs Newton's method; simply iterating our first-order adaptive subproblem solver performs comparably to L-BFGS