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Numerische Mathematik

, Volume 142, Issue 3, pp 667–711 | Cite as

Correcting for unknown errors in sparse high-dimensional function approximation

  • Ben Adcock
  • Anyi Bao
  • Simone BrugiapagliaEmail author
Article
  • 68 Downloads

Abstract

We consider sparsity-based techniques for the approximation of high-dimensional functions from random pointwise evaluations. To date, almost all the works published in this field contain some a priori assumptions about the error corrupting the samples that are hard to verify in practice. In this paper, we instead focus on the scenario where the error is unknown. We study the performance of four sparsity-promoting optimization problems: weighted quadratically-constrained basis pursuit, weighted LASSO, weighted square-root LASSO, and weighted LAD-LASSO. From the theoretical perspective, we prove uniform recovery guarantees for these decoders, deriving recipes for the optimal choice of the respective tuning parameters. On the numerical side, we compare them in the pure function approximation case and in applications to uncertainty quantification of ODEs and PDEs with random inputs. Our main conclusion is that the lesser-known square-root LASSO is better suited for high-dimensional approximation than the other procedures in the case of bounded noise, since it avoids (both theoretically and numerically) the need for parameter tuning.

Mathematics Subject Classification

65D15 41A10 94A20 

Notes

Acknowledgements

BA, AB and SB acknowledge the Natural Sciences and Engineering Research Council of Canada through Grant 611675 and the Alfred P. Sloan Foundation and the Pacific Institute for the Mathematical Sciences (PIMS) Collaborative Research Group “High-Dimensional Data Analysis”. SB acknowledges the support of the PIMS Post-doctoral Training Center in Stochastics. The authors are grateful to Claire Boyer, John Jakeman, Richard Lockhart, Akil Narayan, and Clayton G. Webster for interesting and fruitful discussions.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Simon Fraser UniversityBurnabyCanada
  2. 2.University of British ColumbiaVancouverCanada

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