We propose a new framework -- Square Root Principal Component Pursuit -- for low-rank matrix recovery from observations corrupted with noise and outliers. Inspired by the square root Lasso, this new formulation does not require prior knowledge of the noise level. We show that a single, universal choice of the regularization parameter suffices to achieve reconstruction error proportional to the (a priori unknown) noise level. In comparison, previous formulations such as stable PCP rely on noise-dependent parameters to achieve similar performance, and are therefore challenging to deploy in applications where the noise level is unknown. We validate the effectiveness of our new method through experiments on simulated and real datasets. Our simulations corroborate the claim that a universal choice of the regularization parameter yields near optimal performance across a range of noise levels, indicating that the proposed method outperforms the (somewhat loose) bound proved here.
MAP Support Detection for Greedy Sparse Signal Recovery Algorithms in Compressive Sensing
Intel Labs（英特尔实验室）；University of Texas at Austin（德克萨斯大学奥斯汀分校）
一个可靠的支持检测是必不可少的贪心算法从压缩和噪声测量准确地重建稀疏信号。提出了一种新的贪心算法支持度检测方法--\textit{maximum a posteriori (MAP) support detection}。不同于现有的支持检测方法，确定支持指数的幅度最大的相关值，每次迭代，所提出的方法选择他们的最大似然比计算下的真实和空的支持假设，同时利用传感矩阵，稀疏信号和噪声的分布。利用这种技术，MAP匹配追踪（MAP-MP）首次提出了利用建议的支持检测方法的优点，并推导出了一个充分条件时，稀疏信号是二进制的情况下，完美的信号恢复。随后，一组迭代的贪心算法，称为MAP-广义正交匹配追踪（MAP-gOMP），MAP-压缩采样匹配追踪（MAP-CoSaMP），和MAP-子空间追踪（MAP-SP），以证明所提出的支持检测方法现有的贪心算法的适用性。实验结果表明，所提出的贪心算法具有高可靠性的支持检测，可以更好，更快，更容易实现比通过线性规划的基追踪。
Texas A&M University（德克萨斯A&M大学）；Cainiao Network（菜鸟网络）；University of California, Davis（加州大学戴维斯分校）；The Chinese University of Hong Kong（香港中文大学）
We consider the problem of maximizing the $\ell_1$ norm of a linear map over the sphere, which arises in various machine learning applications such as orthogonal dictionary learning (ODL) and robust subspace recovery (RSR). The problem is numerically challenging due to its nonsmooth objective and nonconvex constraint, and its algorithmic aspects have not been well explored. In this paper, we show how the manifold structure of the sphere can be exploited to design fast algorithms for tackling this problem. Specifically, our contribution is threefold. First, we present a manifold proximal point …
Thresholded Basis Pursuit: An LP Algorithm for Achieving Optimal Support Recovery for Sparse and Approximately Sparse Signals from Noisy Random Measurements
Johns Hopkins University（约翰斯·霍普金斯大学）；Technical University of Munich（慕尼黑工业大学）；KU Eichstätt–Ingolstadt（埃希施泰特-英戈尔施塔特天主教大学）
The recovery of sparse data is at the core of many applications in machine learning and signal processing. While such problems can be tackled using $\ell_1$-regularization as in the LASSO estimator and in the Basis Pursuit approach, specialized algorithms are typically required to solve the corresponding high-dimensional non-smooth optimization for large instances. Iteratively Reweighted Least Squares (IRLS) is a widely used algorithm for this purpose due its excellent numerical performance. However, while existing theory is able to guarantee convergence of this algorithm to the minimizer, it …
Indian Institute of Technology, Kharagpur（印度理工学院克勒格布尔分校）
Recovery of an unknown sparse signal from a few of its projections is the key objective of compressed sensing. Often one comes across signals that are not ordinarily sparse but are sparse blockwise. Existing block sparse recovery algorithms like BOMP make the assumption of uniform block size and known block boundaries, which are, however, not very practical in many applications. This paper addresses this problem and proposes a two step procedure, where the first stage is a coarse block location identification stage while the second stage carries out finer localization of a non-zero cluster wit…
