In high dimensional sparse regression, pivotal estimators are estimators for which the optimal regularization parameter is independent of the noise level. The canonical pivotal estimator is the square-root Lasso, formulated along with its derivatives as a "non-smooth + non-smooth" optimization problem. Modern techniques to solve these include smoothing the datafitting term, to benefit from fast efficient proximal algorithms. In this work we show minimax sup-norm convergence rates for non smoothed and smoothed, single task and multitask square-root Lasso-type estimators. Thanks to our theoretical analysis, we provide some guidelines on how to set the smoothing hyperparameter, and illustrate on synthetic data the interest of such guidelines.
We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors $p$ is large, possibly much larger than $n$, but only $s$ regressors are significant. The method is a modification of the lasso, called the square-root lasso. The method is pivotal in that it neither relies on the knowledge of the standard deviation $σ$ or nor does it need to pre-estimate $σ$. Moreover, the method does not rely on normality or sub-Gaussianity of noise. It achieves near-oracle performance, attaining the convergence rate $σ\{(s/n)\log p\}^{1/2}$ in …
This article provides a new toolbox to derive sparse recovery guarantees from small deviations on extreme singular values or extreme eigenvalues obtained in Random Matrix Theory. This work is based on Restricted Isometry Constants (RICs) which are a pivotal notion in Compressed Sensing and High-Dimensional Statistics as these constants finely assess how a linear operator is conditioned on the set of sparse vectors and hence how it performs in SRSR. While it is an open problem to construct deterministic matrices with apposite RICs, one can prove that such matrices exist using random matrices mo…
Many recent problems in signal processing and machine learning such as compressed sensing, image restoration, matrix/tensor recovery, and non-negative matrix factorization can be cast as constrained optimization. Projected gradient descent is a simple yet efficient method for solving such constrained optimization problems. Local convergence analysis furthers our understanding of its asymptotic behavior near the solution, offering sharper bounds on the convergence rate compared to global convergence analysis. However, local guarantees often appear scattered in problem-specific areas of machine …
We study a practical algorithm for sparse principal component analysis (PCA) of incomplete and noisy data. Our algorithm is based on the semidefinite program (SDP) relaxation of the non-convex $l_1$-regularized PCA problem. We provide theoretical and experimental evidence that SDP enables us to exactly recover the true support of the sparse leading eigenvector of the unknown true matrix, despite only observing an incomplete (missing uniformly at random) and noisy version of it. We derive sufficient conditions for exact recovery, which involve matrix incoherence, the spectral gap between the la…
University of California San Diego（加州大学圣迭戈分校）；Google Research, India（谷歌印度研究院）
One-bit compressed sensing (1bCS) is an extremely quantized signal acquisition method that has been proposed and studied rigorously in the past decade. In 1bCS, linear samples of a high dimensional signal are quantized to only one bit per sample (sign of the measurement). Assuming the original signal vector to be sparse, existing results in 1bCS either aim to find the support of the vector, or approximate the signal allowing a small error. The focus of this paper is support recovery, which often also computationally facilitate approximate signal recovery. A {\em universal} measurement matrix f…
Straight-Through meets Sparse Recovery: the Support Exploration Algorithm
Aix Marseille Univ（艾克斯-马赛大学）；CNRS（法国国家科学研究中心）；Institut de Mathématiques de Toulouse（图卢兹数学研究所）；Université de Toulouse（图卢兹大学）；UPS IMT（图卢兹第三大学（保罗·萨巴蒂埃大学）图卢兹理工学院）；IPAL（IPAL研究所）
University of California, San Diego（加州大学圣地亚哥分校）；University of Massachusetts Amherst（马萨诸塞大学阿默斯特分校）
Mixture models are widely used to fit complex and multimodal datasets. In this paper we study mixtures with high dimensional sparse latent parameter vectors and consider the problem of support recovery of those vectors. While parameter learning in mixture models is well-studied, the sparsity constraint remains relatively unexplored. Sparsity of parameter vectors is a natural constraint in variety of settings, and support recovery is a major step towards parameter estimation. We provide efficient algorithms for support recovery that have a logarithmic sample complexity dependence on the dimensi…
One-bit compressed sensing (1bCS) is an extreme-quantized signal acquisition method that has been intermittently studied in the past decade. In 1bCS, linear samples of a high dimensional signal are quantized to only one bit per sample (sign of the measurement). The extreme quantization makes it an interesting case study of the more general single-index or generalized linear models. At the same time it can also be thought of as a `design' version of learning a binary linear classifier or halfspace-learning. Assuming the original signal vector to be sparse, existing results in 1bCS either aim to…
It is known that for a certain class of single index models (SIMs) $Y = f(\boldsymbol{X}_{p \times 1}^\intercal\boldsymbolβ_0, \varepsilon)$, support recovery is impossible when $\boldsymbol{X} \sim \mathcal{N}(0, \mathbb{I}_{p \times p})$ and a model complexity adjusted sample size is below a critical threshold. Recently, optimal algorithms based on Sliced Inverse Regression (SIR) were suggested. These algorithms work provably under the assumption that the design $\boldsymbol{X}$ comes from an i.i.d. Gaussian distribution. In the present paper we analyze algorithms based on covariance screeni…
We demonstrate that the primal-dual witness proof method may be used to establish variable selection consistency and $\ell_\infty$-bounds for sparse regression problems, even when the loss function and/or regularizer are nonconvex. Using this method, we derive two theorems concerning support recovery and $\ell_\infty$-guarantees for the regression estimator in a general setting. Our results provide rigorous theoretical justification for the use of nonconvex regularization: For certain nonconvex regularizers with vanishing derivative away from the origin, support recovery consistency may be gua…
This paper investigates the problem of recovering the support of structured signals via adaptive compressive sensing. We examine several classes of structured support sets, and characterize the fundamental limits of accurately recovering such sets through compressive measurements, while simultaneously providing adaptive support recovery protocols that perform near optimally for these classes. We show that by adaptively designing the sensing matrix we can attain significant performance gains over non-adaptive protocols. These gains arise from the fact that adaptive sensing can: (i) better mitig…
Consider the problem of learning the drift coefficient of a $p$-dimensional stochastic differential equation from a sample path of length $T$. We assume that the drift is parametrized by a high-dimensional vector, and study the support recovery problem when both $p$ and $T$ can tend to infinity. In particular, we prove a general lower bound on the sample-complexity $T$ by using a characterization of mutual information as a time integral of conditional variance, due to Kadota, Zakai, and Ziv. For linear stochastic differential equations, the drift coefficient is parametrized by a $p\times p$ ma…
We formulate sparse support recovery as a salient set identification problem and use information-theoretic analyses to characterize the recovery performance and sample complexity. We consider a very general model where we are not restricted to linear models or specific distributions. We state non-asymptotic bounds on recovery probability and a tight mutual information formula for sample complexity. We evaluate our bounds for applications such as sparse linear regression and explicitly characterize effects of correlation or noisy features on recovery performance. We show improvements upon previ…
Leading methods for support recovery in high-dimensional regression, such as Lasso, have been well-studied and their limitations in the context of correlated design have been characterized with precise incoherence conditions. In this work, we present a similar treatment of selection consistency for marginal regression (MR), a computationally efficient family of methods with connections to decision trees. Selection based on marginal regression is also referred to as covariate screening or independence screening and is a popular approach in applied work, especially in ultra high-dimensional sett…
In this paper, we study a new notion of scaled minimaxity for sparse estimation in high-dimensional linear regression model. We present more optimistic lower bounds than the one given by the classical minimax theory and hence improve on existing results. We recover sharp results for the global minimaxity as a consequence of our study. Fixing the scale of the signal-to-noise ratio, we prove that the estimation error can be much smaller than the global minimax error. We construct a new optimal estimator for the scaled minimax sparse estimation. An optimal adaptive procedure is also described.
Consider the problem of simultaneous estimation and support recovery of the coefficient vector in a linear data model with additive Gaussian noise. We study the problem of estimating the model coefficients based on a recently proposed non-convex regularizer, namely the stochastic gates (STG) [Yamada et al. 2020]. We suggest a new projection-based algorithm for solving the STG regularized minimization problem, and prove convergence and support recovery guarantees of the STG-estimator for a range of random and non-random design matrix setups. Our new algorithm has been shown to outperform the ex…
We sharply characterize the performance of different penalization schemes for the problem of selecting the relevant variables in the multi-task setting. Previous work focuses on the regression problem where conditions on the design matrix complicate the analysis. A clearer and simpler picture emerges by studying the Normal means model. This model, often used in the field of statistics, is a simplified model that provides a laboratory for studying complex procedures.
This letter presents a novel Block Bayesian Hypothesis Testing Algorithm (Block-BHTA) for reconstructing block sparse signals with unknown block structures. The Block-BHTA comprises the detection and recovery of the supports, and the estimation of the amplitudes of the block sparse signal. The support detection and recovery is performed using a Bayesian hypothesis testing. Then, based on the detected and reconstructed supports, the nonzero amplitudes are estimated by linear MMSE. The effectiveness of Block-BHTA is demonstrated by numerical experiments.
The support recovery problem consists of determining a sparse subset of variables that is relevant in generating a set of observations. In this paper, we study the support recovery problem in the phase retrieval model consisting of noisy phaseless measurements, which arises in a diverse range of settings such as optical detection, X-ray crystallography, electron microscopy, and coherent diffractive imaging. Our focus is on information-theoretic fundamental limits under an approximate recovery criterion, considering both discrete and Gaussian models for the sparse non-zero entries, along with G…
The support recovery problem consists of determining a sparse subset of a set of variables that is relevant in generating a set of observations, and arises in a diverse range of settings such as compressive sensing, and subset selection in regression, and group testing. In this paper, we take a unified approach to support recovery problems, considering general probabilistic models relating a sparse data vector to an observation vector. We study the information-theoretic limits of both exact and partial support recovery, taking a novel approach motivated by thresholding techniques in channel co…
