Compressed sensing with cross validation

  • Authors:
  • Rachel Ward

  • Affiliations:
  • Courant Institute, New York University, New York, NY and Princeton University, Princeton, NJ

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2009

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Abstract

Compressed sensing (CS) decoding algorithms can efficiently recover an N-dimensional real-valued vector x to within a factor of its best k-term approximation by taking m = O(k log N/k) measurements y = Φx. If the sparsity or approximate sparsity level of x were known, then this theoretical guarantee would imply quality assurance of the resulting CS estimate. However, because the underlying sparsity of the signal x is unknown, the quality of a CS estimate x using m measurements is not assured. It is nevertheless shown in this paper that sharp bounds on the error ∥x - x∥l2N can be achieved with almost no effort. More precisely, suppose that a maximum number of measurements m is preimposed. One can reserve 10 logp of these m measurements and compute a sequence of possible estimates (xj)jp=1 to x from the m - 10logp remaining measurements; the errors ∥x - xj∥l2N for j = 1,...,p can then be bounded with high probability. As a consequence, numerical upper and lower bounds on the error between x and the best k-term approximation to x can be estimated for p values of k with almost no cost. This observation has applications outside CS as well.