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1. Recovery analysis of damped spectrally sparse signals and its relation to MUSIC

   https://doi.org/10.1093/imaiai/iaaa024  

   Li, Shuang ; Mansour, Hassan ; Wakin, Michael B ( October 2020 , Information and Inference: A Journal of the IMA)

   null (Ed.)

   Abstract One of the classical approaches for estimating the frequencies and damping factors in a spectrally sparse signal is the MUltiple SIgnal Classification (MUSIC) algorithm, which exploits the low-rank structure of an autocorrelation matrix. Low-rank matrices have also received considerable attention recently in the context of optimization algorithms with partial observations, and nuclear norm minimization (NNM) has been widely used as a popular heuristic of rank minimization for low-rank matrix recovery problems. On the other hand, it has been shown that NNM can be viewed as a special case of atomic norm minimization (ANM), which has achieved great success in solving line spectrum estimation problems. However, as far as we know, the general ANM (not NNM) considered in many existing works can only handle frequency estimation in undamped sinusoids. In this work, we aim to fill this gap and deal with damped spectrally sparse signal recovery problems. In particular, inspired by the dual analysis used in ANM, we offer a novel optimization-based perspective on the classical MUSIC algorithm and propose an algorithm for spectral estimation that involves searching for the peaks of the dual polynomial corresponding to a certain NNM problem, and we show that this algorithm is in fact equivalent to MUSIC itself. Building on this connection, we also extend the classical MUSIC algorithm to the missing data case. We provide exact recovery guarantees for our proposed algorithms and quantify how the sample complexity depends on the true spectral parameters. In particular, we provide a parameter-specific recovery bound for low-rank matrix recovery of jointly sparse signals rather than use certain incoherence properties as in existing literature. Simulation results also indicate that the proposed algorithms significantly outperform some relevant existing methods (e.g., ANM) in frequency estimation of damped exponentials. 

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2. mRSC: Multidimensional Robust Synthetic Control

   https://doi.org/10.1145/3309697.3331507  

   Amjad, Muhammad Jehangir ; Misra, Vishal ; Shah, Devavrat ; Shen, Dennis ( July 2019 , ACM SIGMETRICS)

   We propose an algorithm to impute and forecast a time series by transforming the observed time series into a matrix, utilizing matrix estimation to recover missing values and de-noise observed entries, and performing linear regression to make predictions. At the core of our analysis is a representation result, which states that for a large class of models, the transformed time series matrix is (approximately) low-rank. In effect, this generalizes the widely used Singular Spectrum Analysis (SSA) in the time series literature, and allows us to establish a rigorous link between time series analysis and matrix estimation. The key to establishing this link is constructing a Page matrix with non-overlapping entries rather than a Hankel matrix as is commonly done in the literature (e.g., SSA). This particular matrix structure allows us to provide finite sample analysis for imputation and prediction, and prove the asymptotic consistency of our method. Another salient feature of our algorithm is that it is model agnostic with respect to both the underlying time dynamics and the noise distribution in the observations. The noise agnostic property of our approach allows us to recover the latent states when only given access to noisy and partial observations a la a Hidden Markov Model; e.g., recovering the time-varying parameter of a Poisson process without knowing that the underlying process is Poisson. Furthermore, since our forecasting algorithm requires regression with noisy features, our approach suggests a matrix estimation based method-coupled with a novel, non-standard matrix estimation error metric-to solve the error-in-variable regression problem, which could be of interest in its own right. Through synthetic and real-world datasets, we demonstrate that our algorithm outperforms standard software packages (including R libraries) in the presence of missing data as well as high levels of noise. 

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3. Model Agnostic Time Series Analysis via Matrix Estimation

   Agarwal, Anish ; Amjad, Muhammad Jehangir ; Shah, Devavrat ; Shen, Dennis ( December 2018 , ACM SIGMETRICS performance evaluation review)

   We propose an algorithm to impute and forecast a time series by transforming the observed time series into a matrix, utilizing matrix estimation to recover missing values and de-noise observed entries, and performing linear regression to make predictions. At the core of our analysis is a representation result, which states that for a large class of models, the transformed time series matrix is (approximately) low-rank. In effect, this generalizes the widely used Singular Spectrum Analysis (SSA) in the time series literature, and allows us to establish a rigorous link between time series analysis and matrix estimation. The key to establishing this link is constructing a Page matrix with non-overlapping entries rather than a Hankel matrix as is commonly done in the literature (e.g., SSA). This particular matrix structure allows us to provide finite sample analysis for imputation and prediction, and prove the asymptotic consistency of our method. Another salient feature of our algorithm is that it is model agnostic with respect to both the underlying time dynamics and the noise distribution in the observations. The noise agnostic property of our approach allows us to recover the latent states when only given access to noisy and partial observations a la a Hidden Markov Model; e.g., recovering the time-varying parameter of a Poisson process without knowing that the underlying process is Poisson. Furthermore, since our forecasting algorithm requires regression with noisy features, our approach suggests a matrix estimation based method—coupled with a novel, non-standard matrix estimation error metric—to solve the error-in-variable regression problem, which could be of interest in its own right. Through synthetic and real-world datasets, we demonstrate that our algorithm outperforms standard software packages (including R libraries) in the presence of missing data as well as high levels of noise. 

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4. Robust Matrix Sensing in the Semi-Random Model

   Gao, Xing ; Cheng, Yu ( December 2023 , Proceedings of the 37th Conference on Neural Information Processing Systems)

   Low-rank matrix recovery is a fundamental problem in machine learning with numerous applications. In practice, the problem can be solved by convex optimization namely nuclear norm minimization, or by non-convex optimization as it is well-known that for low-rank matrix problems like matrix sensing and matrix completion, all local optima of the natural non-convex objectives are also globally optimal under certain ideal assumptions. In this paper, we study new approaches for matrix sensing in a semi-random model where an adversary can add any number of arbitrary sensing matrices. More precisely, the problem is to recover a low-rank matrix $X^\star$ from linear measurements $b_i = \langle A_i, X^\star \rangle$, where an unknown subset of the sensing matrices satisfies the Restricted Isometry Property (RIP) and the rest of the $A_i$'s are chosen adversarially. It is known that in the semi-random model, existing non-convex objectives can have bad local optima. To fix this, we present a descent-style algorithm that provably recovers the ground-truth matrix $X^\star$. For the closely-related problem of semi-random matrix completion, prior work [CG18] showed that all bad local optima can be eliminated by reweighting the input data. However, the analogous approach for matrix sensing requires reweighting a set of matrices to satisfy RIP, which is a condition that is NP-hard to check. Instead, we build on the framework proposed in [KLL$^+$23] for semi-random sparse linear regression, where the algorithm in each iteration reweights the input based on the current solution, and then takes a weighted gradient step that is guaranteed to work well locally. Our analysis crucially exploits the connection between sparsity in vector problems and low-rankness in matrix problems, which may have other applications in obtaining robust algorithms for sparse and low-rank problems. 

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5. Tensor-based reconstruction applied to regularized time-lapse data

   https://doi.org/10.1093/gji/ggac211  

   Popa, Jonathan ; Minkoff, Susan E. ; Lou, Yifei ( June 2022 , Geophysical Journal International)

   Repeatedly recording seismic data over a period of months or years is one way to identify trapped oil and gas and to monitor CO2 injection in underground storage reservoirs and saline aquifers. This process of recording data over time and then differencing the images assumes the recording of the data over a particular subsurface region is repeatable. In other words, the hope is that one can recover changes in the Earth when the survey parameters are held fixed between data collection times. Unfortunately, perfect experimental repeatability almost never occurs. Acquisition inconsistencies such as changes in weather (currents, wind) for marine seismic data are inevitable, resulting in source and receiver location differences between surveys at the very least. Thus, data processing aimed at improving repeatability between baseline and monitor surveys is extremely useful. One such processing tool is regularization (or binning) that aligns multiple surveys with different source or receiver configurations onto a common grid. Data binned onto a regular grid can be stored in a high-dimensional data structure called a tensor with, for example, x and y receiver coordinates and time as indices of the tensor. Such a higher-order data structure describing a subsection of the Earth often exhibits redundancies which one can exploit to fill in gaps caused by sampling the surveys onto the common grid. In fact, since data gaps and noise increase the rank of the tensor, seeking to recover the original data by reducing the rank (low-rank tensor-based completion) successfully fills in gaps caused by binning. The tensor nuclear norm (TNN) is defined by the tensor singular value decomposition (tSVD) which generalizes the matrix SVD. In this work we complete missing time-lapse data caused by binning using the alternating direction method of multipliers (or ADMM) to minimize the TNN. For a synthetic experiment with three parabolic events in which the time-lapse difference involves an amplitude increase in one of these events between baseline and monitor data sets, the binning and reconstruction algorithm (TNN-ADMM) correctly recovers this time-lapse change. We also apply this workflow of binning and TNN-ADMM reconstruction to a real marine survey from offshore Western Australia in which the binning onto a regular grid results in significant data gaps. The data after reconstruction varies continuously without the large gaps caused by the binning process.

    

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