Joel A. Tropp

Bio: Joel A. Tropp is an academic researcher from California Institute of Technology. The author has contributed to research in topics: Matrix (mathematics) & Convex optimization. The author has an hindex of 67, co-authored 173 publications receiving 49525 citations. Previous affiliations of Joel A. Tropp include Rice University & University of Michigan.

Streaming Low-Rank Matrix Approximation With An Application To Scientific Simulation

Abstract: This paper argues that randomized linear sketching is a natural tool for on-the-fly compression of data matrices that arise from large-scale scientific simulations and data collection. The technica...

Sketchy Decisions: Convex Low-Rank Matrix Optimization with Optimal Storage

Abstract: This paper concerns a fundamental class of convex matrix optimization problems. It presents the first algorithm that uses optimal storage and provably computes a low-rank approximation of a solution. In particular, when all solutions have low rank, the algorithm converges to a solution. This algorithm, SketchyCGM, modifies a standard convex optimization scheme, the conditional gradient method, to store only a small randomized sketch of the matrix variable. After the optimization terminates, the algorithm extracts a low-rank approximation of the solution from the sketch. In contrast to nonconvex heuristics, the guarantees for SketchyCGM do not rely on statistical models for the problem data. Numerical work demonstrates the benefits of SketchyCGM over heuristics.

Universality laws for randomized dimension reduction, with applications

Abstract: Dimension reduction is the process of embedding high-dimensional data into a lower dimensional space to facilitate its analysis. In the Euclidean setting, one fundamental technique for dimension reduction is to apply a random linear map to the data. This dimension reduction procedure succeeds when it preserves certain geometric features of the set. The question is how large the embedding dimension must be to ensure that randomized dimension reduction succeeds with high probability. This paper studies a natural family of randomized dimension reduction maps and a large class of data sets. It proves that there is a phase transition in the success probability of the dimension reduction map as the embedding dimension increases. For a given data set, the location of the phase transition is the same for all maps in this family. Furthermore, each map has the same stability properties, as quantified through the restricted minimum singular value. These results can be viewed as new universality laws in high-dimensional stochastic geometry. Universality laws for randomized dimension reduction have many applications in applied mathematics, signal processing, and statistics. They yield design principles for numerical linear algebra algorithms, for compressed sensing measurement ensembles, and for random linear codes. Furthermore, these results have implications for the performance of statistical estimation methods under a large class of random experimental designs.

Scalable Semidefinite Programming

Abstract: Semidefinite programming (SDP) is a powerful framework from convex optimization that has striking potential for data science applications. This paper develops a provably correct randomized algorithm for solving large, weakly constrained SDP problems by economizing on the storage and arithmetic costs. Numerical evidence shows that the method is effective for a range of applications, including relaxations of MaxCut, abstract phase retrieval, and quadratic assignment. Running on a laptop equivalent, the algorithm can handle SDP instances where the matrix variable has over $10^{14}$ entries.

The restricted isometry property for time-frequency structured random matrices

Abstract: This paper establishes the restricted isometry property for a Gabor system generated by n2 time–frequency shifts of a random window function in n dimensions. The sth order restricted isometry constant of the associated n × n2 Gabor synthesis matrix is small provided that s ≤ cn2/3 / log2n. This bound provides a qualitative improvement over previous estimates, which achieve only quadratic scaling of the sparsity s with respect to n. The proof depends on an estimate for the expected supremum of a second-order chaos.

Compressed sensing

Abstract: Suppose x is an unknown vector in Ropfm (a digital image or signal); we plan to measure n general linear functionals of x and then reconstruct. If x is known to be compressible by transform coding with a known transform, and we reconstruct via the nonlinear procedure defined here, the number of measurements n can be dramatically smaller than the size m. Thus, certain natural classes of images with m pixels need only n=O(m1/4log5/2(m)) nonadaptive nonpixel samples for faithful recovery, as opposed to the usual m pixel samples. More specifically, suppose x has a sparse representation in some orthonormal basis (e.g., wavelet, Fourier) or tight frame (e.g., curvelet, Gabor)-so the coefficients belong to an lscrp ball for 0

Robust uncertainty principles: exact signal reconstruction from highly incomplete frequency information

Abstract: This paper considers the model problem of reconstructing an object from incomplete frequency samples. Consider a discrete-time signal f/spl isin/C/sup N/ and a randomly chosen set of frequencies /spl Omega/. Is it possible to reconstruct f from the partial knowledge of its Fourier coefficients on the set /spl Omega/? A typical result of this paper is as follows. Suppose that f is a superposition of |T| spikes f(t)=/spl sigma//sub /spl tau//spl isin/T/f(/spl tau/)/spl delta/(t-/spl tau/) obeying |T|/spl les/C/sub M//spl middot/(log N)/sup -1/ /spl middot/ |/spl Omega/| for some constant C/sub M/>0. We do not know the locations of the spikes nor their amplitudes. Then with probability at least 1-O(N/sup -M/), f can be reconstructed exactly as the solution to the /spl lscr//sub 1/ minimization problem. In short, exact recovery may be obtained by solving a convex optimization problem. We give numerical values for C/sub M/ which depend on the desired probability of success. Our result may be interpreted as a novel kind of nonlinear sampling theorem. In effect, it says that any signal made out of |T| spikes may be recovered by convex programming from almost every set of frequencies of size O(|T|/spl middot/logN). Moreover, this is nearly optimal in the sense that any method succeeding with probability 1-O(N/sup -M/) would in general require a number of frequency samples at least proportional to |T|/spl middot/logN. The methodology extends to a variety of other situations and higher dimensions. For example, we show how one can reconstruct a piecewise constant (one- or two-dimensional) object from incomplete frequency samples - provided that the number of jumps (discontinuities) obeys the condition above - by minimizing other convex functionals such as the total variation of f.

An Introduction To Compressive Sampling

Abstract: Conventional approaches to sampling signals or images follow Shannon's theorem: the sampling rate must be at least twice the maximum frequency present in the signal (Nyquist rate). In the field of data conversion, standard analog-to-digital converter (ADC) technology implements the usual quantized Shannon representation - the signal is uniformly sampled at or above the Nyquist rate. This article surveys the theory of compressive sampling, also known as compressed sensing or CS, a novel sensing/sampling paradigm that goes against the common wisdom in data acquisition. CS theory asserts that one can recover certain signals and images from far fewer samples or measurements than traditional methods use.

$rm K$ -SVD: An Algorithm for Designing Overcomplete Dictionaries for Sparse Representation

Abstract: In recent years there has been a growing interest in the study of sparse representation of signals. Using an overcomplete dictionary that contains prototype signal-atoms, signals are described by sparse linear combinations of these atoms. Applications that use sparse representation are many and include compression, regularization in inverse problems, feature extraction, and more. Recent activity in this field has concentrated mainly on the study of pursuit algorithms that decompose signals with respect to a given dictionary. Designing dictionaries to better fit the above model can be done by either selecting one from a prespecified set of linear transforms or adapting the dictionary to a set of training signals. Both of these techniques have been considered, but this topic is largely still open. In this paper we propose a novel algorithm for adapting dictionaries in order to achieve sparse signal representations. Given a set of training signals, we seek the dictionary that leads to the best representation for each member in this set, under strict sparsity constraints. We present a new method-the K-SVD algorithm-generalizing the K-means clustering process. K-SVD is an iterative method that alternates between sparse coding of the examples based on the current dictionary and a process of updating the dictionary atoms to better fit the data. The update of the dictionary columns is combined with an update of the sparse representations, thereby accelerating convergence. The K-SVD algorithm is flexible and can work with any pursuit method (e.g., basis pursuit, FOCUSS, or matching pursuit). We analyze this algorithm and demonstrate its results both on synthetic tests and in applications on real image data