This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: Gradient Descent with Sparsification: An iterative algorithm for sparse recovery with restricted isometry property Rahul Garg firstname.lastname@example.org Rohit Khandekar email@example.com IBM T. J. Watson Research Center, 1101 Kitchawan Road, Route 134, Yorktown Heights, NY 10598 Abstract We present an algorithm for finding an s- sparse vector x that minimizes the square- error k y- x k 2 where satisfies the re- stricted isometry property (RIP), with iso- metric constant 2 s < 1 / 3. Our algorithm, called GraDeS (Gradient Descent with Spar- sification) iteratively updates x as: x H s x + 1 > ( y- x ) where > 1 and H s sets all but s largest magnitude coordinates to zero. GraDeS con- verges to the correct solution in constant number of iterations. The condition 2 s < 1 / 3 is most general for which a near-linear time algorithm is known. In comparison, the best condition under which a polynomial- time algorithm is known, is 2 s < 2- 1. Our Matlab implementation of GraDeS out- performs previously proposed algorithms like Subspace Pursuit, StOMP, OMP, and Lasso by an order of magnitude. Curiously, our experiments also uncovered cases where L1-regularized regression (Lasso) fails but GraDeS finds the correct solution. 1. Introduction Finding a sparse solution to a system of linear equa- tions has been an important problem in multiple do- mains such as model selection in statistics and ma- chine learning (Golub & Loan, 1996; Efron et al., 2004; Wainwright et al., 2006; Ranzato et al., 2007), sparse principal component analysis (Zou et al., 2006), image Appearing in Proceedings of the 26 th International Confer- ence on Machine Learning , Montreal, Canada, 2009. Copy- right 2009 by the author(s)/owner(s). deconvolution and de-noising (Figueiredo & Nowak, 2005) and compressed sensing (Cand` es & Wakin, 2008). The recent results in the area of compressed sensing, especially those relating to the properties of random matrices (Cand` es & Tao, 2006; Cand` es et al., 2006) has exploded the interest in this area which is finding applications in diverse domains such as coding and information theory, signal processing, artificial in- telligence, and imaging. Due to these developments, efficient algorithms to find sparse solutions are increas- ingly becoming very important. Consider a system of linear equations of the form y = x (1) where y < m is an m-dimensional vector of mea- surements, x < n is the unknown signal to be recon- structed and < m n is the measurement matrix. The signal x is represented in a suitable (possibly over- complete) basis and is assumed to be s-sparse (i.e. at most s out of n components in x are non-zero). The sparse reconstruction problem is min x < n || x || subject to y = x (2) where || x || represents the number of non-zero entries in x . This problem is not only NP-hard (Natarajan, 1995), but also hard to approximate within a factor O (2 log 1- ( m ) ) of the optimal solution (Neylon, 2006).) of the optimal solution (Neylon, 2006)....
View Full Document
- Spring '11