Minimax Optimal Sparse Signal Recovery With Poisson Statistics

DOI10.1109/TSP.2016.2529588MaRDI QIDQ4619657zbMATH OpenOpenAlexFDO

Authors Mohammad Hossein Rohban, Venkatesh Saligrama, Delaram Motamed Vaziri

Publication date 7 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05200

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We are motivated by problems that arise in a number of applications such as Online Marketing and Explosives detection, where the observations are usually modeled using Poisson statistics. We model each observation as a Poisson random variable whose mean is a sparse linear superposition of known patterns. Unlike many conventional problems observations here are not identically distributed since they are associated with different sensing modalities. We analyze the performance of a Maximum Likelihood (ML) decoder, which for our Poisson setting involves a non-linear optimization but yet is computationally tractable. We derive fundamental sample complexity bounds for sparse recovery when the measurements are contaminated with Poisson noise. In contrast to the least-squares linear regression setting with Gaussian noise, we observe that in addition to sparsity, the scale of the parameters also fundamentally impacts $el{l}_2$ error in the Poisson setting. We show tightness of our upper bounds both theoretically and experimentally. In particular, we derive a minimax matching lower bound on the mean-squared error and show that our constrained ML decoder is minimax optimal for this regime.

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Cited in

(1)

• Variance-stabilization-based compressive inversion under Poisson or Poisson–Gaussian noise with analytical bounds

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