Two added structures in sparse recovery: nonnegativity and disjointedness Simon Foucart University of Georgia Semester Program on “High-Dimensional Approximation” ICERM 7 October 2014
Part I: Nonnegative Sparse Recovery (joint work with D. Koslicki)
Motivation from Metagenomics
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample.
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic.
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1.
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads)
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads) ◮ A ∈ R m × N : frequencies of length-6 subwords in all known (i.e., sequenced) bacteria.
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads) ◮ A ∈ R m × N : frequencies of length-6 subwords in all known (i.e., sequenced) bacteria. It is a frequency matrix, that is,
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads) ◮ A ∈ R m × N : frequencies of length-6 subwords in all known (i.e., sequenced) bacteria. It is a frequency matrix, that is, � m A i , j ≥ 0 and i =1 A i , j = 1 .
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads) ◮ A ∈ R m × N : frequencies of length-6 subwords in all known (i.e., sequenced) bacteria. It is a frequency matrix, that is, � m A i , j ≥ 0 and i =1 A i , j = 1 . ◮ Quikr improves on traditional read-by-read methods, especially in terms of speed.
Motivation from Metagenomics ◮ x ∈ R N ( N = 273 , 727): concentrations of known bacteria in a given environmental sample. Sparsity assumption is realistic. Note also that x ≥ 0 and � j x j = 1. ◮ y ∈ R m ( m = 4 6 = 4 , 096): frequencies of length-6 subwords (in 16S rRNA gene reads or in whole-genome shotgun reads) ◮ A ∈ R m × N : frequencies of length-6 subwords in all known (i.e., sequenced) bacteria. It is a frequency matrix, that is, � m A i , j ≥ 0 and i =1 A i , j = 1 . ◮ Quikr improves on traditional read-by-read methods, especially in terms of speed. ◮ Codes available at sourceforge.net/projects/quikr/ sourceforge.net/projects/wgsquikr/
Exact Measurements
Exact Measurements Let x ∈ R N be a nonnegative vector with support S .
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . �
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . � ◮ x is the unique minimizer of � z � 1 s.to Az = y and z ≥ 0 iff v S ≥ 0 ⇒ � N (NNBP) for all v ∈ ker A \ { 0 } , i =1 v i > 0 .
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . � ◮ x is the unique minimizer of � z � 1 s.to Az = y and z ≥ 0 iff v S ≥ 0 ⇒ � N (NNBP) for all v ∈ ker A \ { 0 } , i =1 v i > 0 . ◮ x is the unique z ≥ 0 s.to Az = y iff (F) for all v ∈ ker A \ { 0 } , v S ≥ 0 is impossible .
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . � ◮ x is the unique minimizer of � z � 1 s.to Az = y and z ≥ 0 iff v S ≥ 0 ⇒ � N (NNBP) for all v ∈ ker A \ { 0 } , i =1 v i > 0 . ◮ x is the unique z ≥ 0 s.to Az = y iff (F) for all v ∈ ker A \ { 0 } , v S ≥ 0 is impossible . In general, (F) ⇒ (NNBP) and (BP) ⇒ (NNBP).
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . � ◮ x is the unique minimizer of � z � 1 s.to Az = y and z ≥ 0 iff v S ≥ 0 ⇒ � N (NNBP) for all v ∈ ker A \ { 0 } , i =1 v i > 0 . ◮ x is the unique z ≥ 0 s.to Az = y iff (F) for all v ∈ ker A \ { 0 } , v S ≥ 0 is impossible . In general, (F) ⇒ (NNBP) and (BP) ⇒ (NNBP). If 1 ∈ im ( A ⊤ ) (e.g. if A is a frequency matrix), then (NNBP) ⇒ (F) ⇒ (BP).
Exact Measurements Let x ∈ R N be a nonnegative vector with support S . ◮ x is the unique minimizer of � z � 1 s.to Az = y iff � � � � < � � � (BP) for all v ∈ ker A \ { 0 } , j ∈ S v j ℓ ∈ S | v ℓ | . � ◮ x is the unique minimizer of � z � 1 s.to Az = y and z ≥ 0 iff v S ≥ 0 ⇒ � N (NNBP) for all v ∈ ker A \ { 0 } , i =1 v i > 0 . ◮ x is the unique z ≥ 0 s.to Az = y iff (F) for all v ∈ ker A \ { 0 } , v S ≥ 0 is impossible . In general, (F) ⇒ (NNBP) and (BP) ⇒ (NNBP). If 1 ∈ im ( A ⊤ ) (e.g. if A is a frequency matrix), then (NNBP) ⇒ (F) ⇒ (BP). Morale: ℓ 1 -minimization not suited for nonnegative sparse recovery.
Nonnegative Least Squares ◮ To solve the feasibility problem, one may consider � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N
Nonnegative Least Squares ◮ To solve the feasibility problem, one may consider � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N ◮ MATLAB’s lsqnonneg implements [Lawson–Hanson 74].
Nonnegative Least Squares ◮ To solve the feasibility problem, one may consider � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N ◮ MATLAB’s lsqnonneg implements [Lawson–Hanson 74]. ◮ This algorithm iterates the scheme � � � � S n +1 = S n ∪ j n +1 = argmax j A ∗ ( y − Ax n ) , j � � y − Az � 2 , supp ( z ) ⊆ S n +1 � x n +1 = argmin ,
Nonnegative Least Squares ◮ To solve the feasibility problem, one may consider � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N ◮ MATLAB’s lsqnonneg implements [Lawson–Hanson 74]. ◮ This algorithm iterates the scheme � � � � S n +1 = S n ∪ j n +1 = argmax j A ∗ ( y − Ax n ) , j � � y − Az � 2 , supp ( z ) ⊆ S n +1 � x n +1 = argmin , and inner loop to make sure that x n +1 ≥ 0 .
Nonnegative Least Squares ◮ To solve the feasibility problem, one may consider � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N ◮ MATLAB’s lsqnonneg implements [Lawson–Hanson 74]. ◮ This algorithm iterates the scheme � � � � S n +1 = S n ∪ j n +1 = argmax j A ∗ ( y − Ax n ) , j � � y − Az � 2 , supp ( z ) ⊆ S n +1 � x n +1 = argmin , and inner loop to make sure that x n +1 ≥ 0 . ◮ Connection with OMP explains suitability for sparse recovery.
Inaccurate Measurements
Inaccurate Measurements ◮ When y = Ax + e with e � = 0 , a classical strategy consists in solving the ℓ 1 -regularization � z � 1 + ν � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N
Inaccurate Measurements ◮ When y = Ax + e with e � = 0 , a classical strategy consists in solving the ℓ 1 -regularization � z � 1 + ν � y − Az � 2 subject to z ≥ 0 . minimize 2 z ∈ R N ◮ We prefer the ℓ 1 -squared regularization � z � 2 1 + λ 2 � y − Az � 2 subject to z ≥ 0 , minimize 2 z ∈ R N
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