We work on a variety of algorithms for sparse and low-rank
One of our areas of interest in row-sparse Multiple Measurement
Vector (MMV) recovery. Where the problem is to solve Y=AX
+ η where Y and X are matrices, A is a projection operator;
moreover X is row-sparse, i.e. there are only a few rows that
have non-zero values the rest being all zeroes.
We have come up with a fast solver for this based upon the
Randomized Kakzmarz algorithm.
For matrix recovery the problem is to solve a low-rank matrix
from its lower-dimensional projections, i.e. y = A vec
(X) + η . The corresponding optimization problem is:
minX ||X||* + λ || y - A vec(X)||22
Here, the Schatten-p norm of the matrix promotes
rank-deficiency of the solution. We have come up with Split
Bregman type techniques to solve this problem. It yields better
results compared to state-of-the-art algorithms both in terms of
speed and accuracy.
However, the main bottleneck of such algorithms is the
computational speed - since all such methods require computing
the SVD of the matrix. Currently we are working on techniques to
solve these problems without the requirement of SVD. Our
techniques should not be confused with matrix factorization
based approaches - we still solve the same problem, but without
computing the SVD's.
In some cases, the problem is to solve a system of
equations where the solution is sparse and low-rank. In those
cases, the optimization problem that needs be solved is:
minX ||y- A vec(X)||22
+ λ1 ||X||*+ λ2 ||X||2,1
Here the l2,1-norm promotes a row-sparse solution.
For both the above mentioned problems, we have derived
efficient algorithms based upon the Split Bregman approach.
Currently, we are working on approximate yet efficient
algorithms for some bilinear problems:
||W(y- A (UV))||22 + λ1
||WU (U)||F2+ λ2
A large class of problems in matrix recovery and sparse
recovery can be cast in this form.
When W=WU=WV=I, this is a classical matrix
With properly chosen W, and WU=WV=I, this
still remains a matrix completion problem, but can be used for
situations where the noise in the system is sparse, i.e. can
||y- A (UV))||1 + λ1 ||U||F2+
With W=WU=I and a suitably chosen WV, we
can solve a Blind Compressed Sensing problem:
||y- A (UV))||22 + λ1
||U||F2+ λ2 ||vec(V)||1
Other variations are also possible.
Currently, we are working on stochastic descent methods to
efficiently solve these problems.