Optimal Convex Lifted Sparse Phase Retrieval and PCA With an Atomic Matrix Norm Regularizer
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Publication:6194012
DOI10.1109/TIT.2022.3228508arXiv2111.04652OpenAlexW3211697769MaRDI QIDQ6194012FDOQ6194012
Authors: Andrew D. McRae, Justin Romberg, Mark A. Davenport 
Publication date: 19 March 2024
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: We present novel analysis and algorithms for solving sparse phase retrieval and sparse principal component analysis (PCA) with convex lifted matrix formulations. The key innovation is a new mixed atomic matrix norm that, when used as regularization, promotes low-rank matrices with sparse factors. We show that convex programs with this atomic norm as a regularizer provide near-optimal sample complexity and error rate guarantees for sparse phase retrieval and sparse PCA. While we do not know how to solve the convex programs exactly with an efficient algorithm, for the phase retrieval case we carefully analyze the program and its dual and thereby derive a practical heuristic algorithm. We show empirically that this practical algorithm performs similarly to existing state-of-the-art algorithms.
Full work available at URL: https://arxiv.org/abs/2111.04652
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