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The generalized lasso with non-linear measurements

Tuesday, February 24, 2015 - 11:00
Yaniv Plan, Department of Math, UBC, CRC 2, Data Science
Statistics Seminar
Room 4192, Earth Science Buildling, 2207 Main Mall

Consider signal estimation from non-linear measurements.  A rough heuristic often used in practice postulates that "non-linear measurements may be treated as noisy linear measurements" and the signal may be reconstructed accordingly.  We give a rigorous backing to this idea, with a focus on low-dimensional signals buried in a high-dimensional spaces.  Just as noise may be diminished by projecting onto the lower dimensional space, the error from modeling non-linear measurements with linear measurements will be greatly reduced when using the signal structure in the reconstruction.  We assume a random Gaussian model for the measurement matrix, but allow the rows to have an unknown, and ill-conditioned, covariance matrix.  As a special case of our results, we give theoretical accuracy guarantee for 1-bit compressed sensing with unknown covariance matrix of the measurement vectors.