Robust Lasso With Missing and Grossly Corrupted Observations

DOI10.1109/TIT.2012.2232347zbMATH Open1364.94146OpenAlexW2057690238MaRDI QIDQ2989299FDOQ2989299

Authors

Publication date 8 June 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.0391

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper studies the problem of accurately recovering a sparse vector $$ from highly corrupted linear measurements $$ where $e^{star}$ is a sparse error vector whose nonzero entries may be unbounded and $w$ is a bounded noise. We propose a so-called extended Lasso optimization which takes into consideration sparse prior information of both $$ and $e^{star}$. Our first result shows that the extended Lasso can faithfully recover both the regression as well as the corruption vector. Our analysis relies on the notion of extended restricted eigenvalue for the design matrix $X$. Our second set of results applies to a general class of Gaussian design matrix $X$ with i.i.d rows $operN(0,Sigma)$, for which we can establish a surprising result: the extended Lasso can recover exact signed supports of both $$ and $e^{star}$ from only $Omega(klogplogn)$ observations, even when the fraction of corruption is arbitrarily close to one. Our analysis also shows that this amount of observations required to achieve exact signed support is indeed optimal.

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