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Conference Papers Year : 2011

Sparse Recovery with Brownian Sensing

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Abstract

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.
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Dates and versions

hal-00943122 , version 1 (07-02-2014)

Identifiers

  • HAL Id : hal-00943122 , version 1

Cite

Alexandra Carpentier, Odalric Maillard, Rémi Munos. Sparse Recovery with Brownian Sensing. Advances in Neural Information Processing Systems, 2011, Granada, Spain. ⟨hal-00943122⟩
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