Sparse recovery with brownian sensing
Alexandra Carpentier, Odalric Maillard and Rémi Munos
We consider the problem of recovering the parameter α of a sparse function f (i.e. the number of non-zero entries of α is small compared to the number K of features) given noisy evaluations of f at a set of well-chosen sampling points. We introduce an additional randomization process, called Brownian sensing, based on the computation of stochastic integrals, which produces a Gaussian sensing matrix, for which good recovery properties are proven, independently on the number of sampling points N, even when the features are arbitrarily non-orthogonal. Under the assumption that f is Hölder continuous with exponent at least 1/2 we provide an estimate of the parameter with quadratic error O(||η|| / N ), where η is the observation noise. The method uses a set of sampling points uniformly distributed along a one-dimensional curve selected according to the features. We report numerical experiments illustrating our method.
|Project Keyword:||Project Keyword UNSPECIFIED|
|Deposited By:||Rémi Munos|
|Deposited On:||21 February 2012|