In many practical settings one can sequentially and adaptively guide the
collection of future data, based on information extracted from data collected
previously. These sequential data collection procedures are known by different
names, such as sequential experimental design, active learning or adaptive
sensing/sampling. The intricate relation between data analysis and acquisition
in adaptive sensing paradigms can be extremely powerful, and often allows for
reliable signal estimation and detection in situations where non-adaptive
sensing would fail dramatically.
In this work we investigate the problem of estimating the support of a
structured sparse signal from coordinate-wise observations under the adaptive
sensing paradigm. We present a general procedure for support set estimation
that is optimal in a variety of cases and shows that through the use of
adaptive sensing one can: (i) mitigate the effect of observation noise when
compared to non-adaptive sensing and, (ii) capitalize on structural information
to a much larger extent than possible with non-adaptive sensing. In addition to
a general procedure to perform adaptive sensing in structured settings we
present both performance upper bounds, and corresponding lower bounds for both
sensing paradigms
