Noisy linear inverse problems under convex constraints: exact risk asymptotics in high dimensions

DOI10.1214/23-AOS2301arXiv2201.08435OpenAlexW4387819051MaRDI QIDQ6183752FDOQ6183752

Qiyang Han

Publication date: 4 January 2024

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In the standard Gaussian linear measurement model $Y=Xm{u}_0+xiinmathbb{R}^m$ with a fixed noise level $sigma>0$, we consider the problem of estimating the unknown signal $m{u}_0$ under a convex constraint $m{u}_{0}inK$, where $K$ is a closed convex set in $mathbb{R}^n$. We show that the risk of the natural convex constrained least squares estimator (LSE) $hatmu(sigma)$ can be characterized exactly in high dimensional limits, by that of the convex constrained LSE $hat{mu}_K^{mathsfseq}$ in the corresponding Gaussian sequence model at a different noise level. The characterization holds (uniformly) for risks in the maximal regime that ranges from constant order all the way down to essentially the parametric rate, as long as certain necessary non-degeneracy condition is satisfied for $hatmu(sigma)$. The precise risk characterization reveals a fundamental difference between noiseless (or low noise limit) and noisy linear inverse problems in terms of the sample complexity for signal recovery. A concrete example is given by the isotonic regression problem: While exact recovery of a general monotone signal requires $mgg{n}^{1/3}$ samples in the noiseless setting, consistent signal recovery in the noisy setting requires as few as $mgglogn$ samples. Such a discrepancy occurs when the low and high noise risk behavior of $hat{mu}_K^{mathsfseq}$ differ significantly. In statistical languages, this occurs when $hat{mu}_K^{mathsfseq}$ estimates $0$ at a faster `adaptation rate' than the slower `worst-case rate' for general signals. Several other examples, including non-negative least squares and generalized Lasso (in constrained forms), are also worked out to demonstrate the concrete applicability of the theory in problems of different types.

Full work available at URL: https://arxiv.org/abs/2201.08435

zbMATH Keywords

high-dimensional asymptoticslinear inverse problemfixed-point equationGaussian sequence model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

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