## Tuesday, March 15, 2011

### CS: IHT, Fast Random Projections, Student internship, Compressed Sensing over $\ell_p$-balls: Minimax Mean Square Error, Infinite-dimensional generalization of Kolmogorov widths

Back to our regular subject of interest:.

Bob is continuing his excellent adventures in experimenting with the IHT algorithm:

Finally, here are the two interesting papers on arxiv:

We consider the compressed sensing problem, where the object $x_0 \in \bR^N$ is to be recovered from incomplete measurements $y = Ax_0 + z$; here the sensing matrix $A$ is an $n \times N$ random matrix with iid Gaussian entries and $n \lt N$. A popular method of sparsity-promoting reconstruction is $\ell^1$-penalized least-squares reconstruction (aka LASSO, Basis Pursuit). It is currently popular to consider the strict sparsity model, where the object $x_0$ is nonzero in only a small fraction of entries. In this paper, we instead consider the much more broadly applicable $\ell_p$-sparsity model, where $x_0$ is sparse in the sense of having $\ell_p$ norm bounded by $\xi \cdot N^{1/p}$ for some fixed $0 \lt p \leq 1$ and $\xi \gt 0$.
We study an asymptotic regime in which $n$ and $N$ both tend to infinity with limiting ratio $n/N = \delta \in (0,1)$, both in the noisy ($z \neq 0$) and noiseless ($z=0$) cases. Under weak assumptions on $x_0$, we are able to precisely evaluate the worst-case asymptotic minimax mean-squared reconstruction error (AMSE) for $\ell^1$ penalized least-squares: min over penalization parameters, max over $\ell_p$-sparse objects $x_0$. We exhibit the asymptotically least-favorable object (hardest sparse signal to recover) and the maximin penalization.
Our explicit formulas unexpectedly involve quantities appearing classically in statistical decision theory. Occurring in the present setting, they reflect a deeper connection between penalized $\ell^1$ minimization and scalar soft thresholding. This connection, which follows from earlier work of the authors and collaborators on the AMP iterative thresholding algorithm, is carefully explained. Our approach also gives precise results under weak-$\ell_p$ ball coefficient constraints, as we show here.
Recently the theory of widths of Kolmogorov-Gelfand has received a great deal of interest due to its close relationship with the newly born area of Compressive Sensing in Signal Processing. However fundamental problems of the theory of widths in multidimensional Theory of Functions remain untouched, as well as analogous problems in the theory of multidimensional Signal Analysis. In the present paper we provide a multidimensional generalization of the original result of Kolmogorov about the widths of an "ellipsoidal sets" consisting of functions defined on an interval.

Image Credit: NASA/JPL/Space Science Institute, W00066850.jpg was taken on March 11, 2011 and received on Earth March 13, 2011. The camera was pointing toward SATURN at approximately 2,871,117 kilometers away, and the image was taken using the MT2 and CL2 filters.