Introduction to Compressed Sensing · Introduction to Compressed Sensing Gitta Kutyniok (Institut...

Introduction to Compressed Sensing

Gitta Kutyniok

(Institut fur Mathematik, Technische Universitat Berlin)

Winter School on “Compressed Sensing”, TU BerlinDecember 3–5, 2015

Gitta Kutyniok (TU Berlin) Introduction to Compressed Sensing Winter School 2015 1 / 40

Outline

1 Modern Data ProcessingData DelugeInformation Content of DataWhy do we need Compressed Sensing?

2 Main Ideas of Compressed SensingSparsityMeasurement MatricesRecovery Algorithms

3 Applications

4 This Winter School

The Age of Data

Problem of the 21th Century:

We live in a digitalized world.

Slogan: “Big Data”.

New technologies produce/sense enormous amounts of data.

Problems: Storage, Transmission, and Analysis.

“Big Data Research and Development Initiative”

Barack Obama (March 2012)

Olympic Games 2012

Better, Stronger, Faster!

Accelerating Data Deluge

Situation 2010:

1250 Billion Gigabytes generated in 2010:

# digital bits > # stars in the universe

Growing by a factor of 10 every 5 years.

Available transmission bandwidth

Observations:

Total data generated > total storage

Increases in generation rate >> increases in communication rate

What can we do...?

Quote by Einstein

“Not everything that can be counted counts,

and not everything that counts can be counted.”

Albert Einstein

An Applied Harmonic Analysis Viewpoint

Exploit a carefully designed representation system (ψλ)λ∈Λ ⊆ H:

H ∋ f −→ (〈f , ψλ〉)λ∈Λ −→∑

λ∈Λ

〈f , ψλ〉ψλ = f .

Desiderata:

Special features encoded in the “large” coefficients | 〈f , ψλ〉 |.Efficient representations:

f ≈∑

λ∈ΛN

〈f , ψλ〉ψλ, #(ΛN) small

Goals:

Derive high compression by considering only the “large” coefficients.

Modification of the coefficients according to the task.

Review of Wavelets for L2(R2)

Definition (1D): Let φ ∈ L2(R) be a scaling function and ψ ∈ L2(R) be awavelet. Then the associated wavelet system is defined by

{φ(x −m) : m ∈ Z} ∪ {2j/2 ψ(2jx −m) : j ≥ 0,m ∈ Z}.

Review of Wavelets for L2(R2)

Definition (1D): Let φ ∈ L2(R) be a scaling function and ψ ∈ L2(R) be awavelet. Then the associated wavelet system is defined by

{φ(x −m) : m ∈ Z} ∪ {2j/2 ψ(2jx −m) : j ≥ 0,m ∈ Z}.

Definition (2D): A wavelet system is defined by

{φ(1)(x −m) : m ∈ Z2} ∪ {2jψ(i)(2jx −m) : j ≥ 0,m ∈ Z

2, i = 1, 2, 3},

where ψ(1)(x) = φ(x1)ψ(x2),

φ(1)(x) = φ(x1)φ(x2) and ψ(2)(x) = ψ(x1)φ(x2),

ψ(3)(x) = ψ(x1)ψ(x2).

The World is Compressible!

N pixelsk << Nlarge waveletcoefficients

N widebandsignalsamples

k << Nlarge Gaborcoefficients

JPEG2000

Kompression auf 1/20 Kompression auf 1/200

The New Paradigm for Data Processing: Sparsity!

Sparse Signals:A signal x ∈ R

N is k-sparse, if

‖x‖0 = #non-zero coefficients ≤ k .

Model Σk : Union of k-dimensional subspaces.

Compressible Signals:A signal x ∈ R

N is compressible, if the sortedcoefficients have rapid (power law) decay.

Model: ℓp ball with p ≤ 1.

“Not everything that can be counted counts...” (Einstein)

Classical Approach:

Sensing/Sampling Compression ReconstructionxN k N

Classical Approach:

Sensing/Sampling:◮ Linear processing.

Compression:◮ Non-linear processing.

Why acquire N samples only to discard all but k pieces of data?

Classical Approach:

Sensing/Sampling:◮ Linear processing.

Compression:◮ Non-linear processing.

Why acquire N samples only to discard all but k pieces of data?

Fundamental Idea:

Directly acquire “compressed data”, i.e., the information content.

Take more universal measurements:

Compressed Sensing Reconstructionx(k <)n(<< N) N

Compressed Sensing enters the Stage

‘Initial’ Papers:

E. Candes, J. Romberg, T. Tao, Stable signal recovery from incomplete and

inaccurate measurements, Comm. Pure Appl. Math. 59 (2006), 1207–1223.

D. Donoho, Compressed sensing, IEEE Trans. Inform. Theory 52 (2006),1289–1306.

Avalanche of Results (dsp.rice.edu/cs):

Approx. 2000 papers and 150 conferences so far.

Compressed Sensing enters the Stage

‘Initial’ Papers:

E. Candes, J. Romberg, T. Tao, Stable signal recovery from incomplete and

inaccurate measurements, Comm. Pure Appl. Math. 59 (2006), 1207–1223.

D. Donoho, Compressed sensing, IEEE Trans. Inform. Theory 52 (2006),1289–1306.

Avalanche of Results (dsp.rice.edu/cs):

Approx. 2000 papers and 150 conferences so far.

Relation to the following areas:

Applied harmonic analysis.

Applied linear algebra.

Convex optimization.

Geometric functional analysis.

Random matrix theory.

Application areas: Radar, Astronomy, Biology, Seismology, Signalprocessing and more.

What is Compressed Sensing...?

Compressed Sensing Problem, I

General Procedure:

Signal x ∈ RN .

x is k-sparse.

Take n << N linear, non-adaptive measurements using a matrix A.

Compressed Sensing Problem, I

General Procedure:

Signal x ∈ RN .

x is k-sparse.

Take n << N linear, non-adaptive measurements using a matrix A.

Viewpoints:

Efficient sampling.

Dimension reduction.

Efficient representation.

Compressed Sensing Problem, II

Fundamental Questions:

What are suitable signal models?

When and with which accuracy can the signal be recovered?

What are suitable sensing matrices?

How can the signal be algorithmically recovered?

Fundamental Theorem of Sparse Solutions

Definition:Let A be an n × N matrix. Then spark(A) denotes the minimal number oflinearly dependent columns; spark(A) ∈ [2, n + 1].

Lemma:Let A be an n × N matrix, and let k ∈ N. Then the following conditionsare equivalent:

(i) For every y ∈ Rn, there exists at most one x ∈ R

N with ‖x‖0 ≤ ksuch that y = Ax .

(ii) k < spark(A)/2.

Lemma:Let A be an n × N matrix, and let k ∈ N. Then the following conditionsare equivalent:

(i) For every y ∈ Rn, there exists at most one x ∈ R

N with ‖x‖0 ≤ ksuch that y = Ax .

(ii) k < spark(A)/2.

Sketch of Proof:

Assume y = Ax0 = Ax1.

Then x0 − x1 ∈ N (A).

Sparsity and ℓ1

Assumption: Letting A be an n × N-matrix, n << N, the seeked solutionx0 of y = Ax0 satisfies:

‖x0‖0 = #{i : x0i 6= 0} is ‘small’, i.e., x0 is sparse.

Sparsity and ℓ1

Ideal: Solve...(P0) min

x‖x‖0 subject to y = Ax

Sparsity and ℓ1

Basis Pursuit (Chen, Donoho, Saunders; 1998)

(P1) minx

‖x‖1 subject to y = Ax

−→ This can be solved by linear programming!

Sparsity and ℓ1

Basis Pursuit (Chen, Donoho, Saunders; 1998)

(P1) minx

−→ This can be solved by linear programming!

Meta-Result: If the solution x0 is sufficiently sparse, and A is sufficientlyincoherent, then x0 can be recovered from y via (P1).

ℓ1 promotes Sparsity!

{x : y = Ax}

min ‖x‖2 s.t. y = Ax

min ‖x‖1 s.t. y = Ax

Equivalent Condition for Uniqueness of ℓ1

Reminder:spark(A) = min{k : N (A) ∩ Σk 6= {0}}.

Definition:Let A be an n × N matrix. Then A has the null space property of order k ,if, for all h ∈ N (A) \ {0} and for all index sets |Λ| ≤ k ,

‖1Λh‖1 < 12‖h‖1.

Equivalent Condition for Uniqueness of ℓ1

Reminder:spark(A) = min{k : N (A) ∩ Σk 6= {0}}.

Definition:Let A be an n × N matrix. Then A has the null space property of order k ,if, for all h ∈ N (A) \ {0} and for all index sets |Λ| ≤ k ,

‖1Λh‖1 < 12‖h‖1.

Theorem (Cohen, Dahmen, DeVore; 2008):Let A be an n × N matrix, and let k ∈ N. The following are equivalent:

(i) For every y ∈ Rn, there exists at most one solution in Σk of

‖x‖1 subject to y = Ax .

(ii) A satisfies the null space property of order k .

Sufficient Condition for ‘ℓ0 = ℓ1’: Coherence

Definition:Let A = (ai)

Ni=1 be an n× N matrix. Then its coherence µ(A) is

µ(A) = maxi 6=j

| 〈ai , aj〉 |‖ai‖2‖aj‖2

N − n

n(N − 1), 1]

Sufficient Condition for ‘ℓ0 = ℓ1’: Coherence

Definition:Let A = (ai)

Ni=1 be an n× N matrix. Then its coherence µ(A) is

µ(A) = maxi 6=j

| 〈ai , aj〉 |‖ai‖2‖aj‖2

N − n

n(N − 1), 1]

Theorem (Elad, Bruckstein; 2002) (Donoho, Elad; 2003):Let A be an n × N matrix, and let x0 ∈ R

N \ {0} satisfy

‖x0‖0 < 12 (1 + µ(A)−1).

Then x0 is the unique solution of

‖x‖0 s.t. Ax0 = Ax and minx

‖x‖1 s.t. Ax0 = Ax .

Sufficient Condition for ‘ℓ0 = ℓ1’: RIP

Again Key Idea: Sparsity

Our signal is k-sparse:

Φ is effectively an n × k Matrix

Again Key Idea: Sparsity

Our signal is k-sparse:

Φ is effectively an n × k Matrix

=⇒ Design Φ so that each of its n × k submatrices is full rank!

Definition: Let A be an n× N matrix. Then A has the Restricted IsometryProperty (RIP) of order k , if there exists δk ∈ (0, 1) with

(1− δk)‖x‖22 ≤ ‖Ax‖22 ≤ (1 + δk)‖x‖22 ∀x ∈ Σk .

Restricted Isometry Property (RIP)

Stable Embedding:

Φ shall preserve the geometry of the set of sparse signals:

Φ(x1)

Φ(x2)

Restricted Isometry Property:

‖x1 − x2‖ ≈ ‖Φ(x1)− Φ(x2)‖.

Restricted Isometry Property (RIP)

Stable Embedding:

Φ shall preserve the geometry of the set of sparse signals:

Φ(x1)

Φ(x2)

Restricted Isometry Property:

‖x1 − x2‖ ≈ ‖Φ(x1)− Φ(x2)‖.

But this is a combinatorial NP-hard design problem!

Insight from Banach Space Theory

General Approach to RIP:

Based on work by Garnaev, Gluskin, and Kushin (77’ & 84’)

Design Φ to be a random matrix, e.g.◮ Gaussian iid◮ Bernoulli (±1) iid◮ ...

Such matrices Φ have the Restricted Isometry Property with highprobability, if

n = O(k · log(

) << N.

Theorem (Cohen, Dahmen, DeVore; 2008) (Candes; 2008):Let A be an n × N matrix which satisfies the RIP of order 2k withδ2k <

√2− 1, and let x0 ∈ R

N . Then the solution x of

‖x‖1 subject to Ax0 = Ax .

satisfies

‖x0 − x‖2 ≤ C ·(σk(x

0)1√k

where σk(x0)1 is the ℓ1-error of best k-term approximation to x0, i.e.,

σk(x0)1 := inf

y∈Σk

‖x0 − y‖1.

Sensing Matrices and Recovery Algorithms...

Sensing Matrices

Deterministic Matrices:

n × N-Vandermonde matrix:

spark(A) = n + 1, but poorly conditioned.

n × n2-equiangular tight frames (Strohmer, Heath; 2003):

µ(A) =1√n, then n = O(k2 logN), but N = n2.

n × N-matrices (Bourgain, DeVore, Haupt, et al.; 2007–):

n & k2−µ, but µ is very small.

Sensing Matrices

Random Matrices:

n × N-matrix with i.i.d. entries:

spark(A) = n + 1 with probability 1.

n × N-matrix with subgaussian distr. (Candes, Donoho, et al.;2006–): If

n = O(k log(N/k)),

then A satisfies the RIP of order δ2k with prob. at least

1− 2e−c·n ‘overwhelmingly high probability’.

Question:How far can we get with deterministic matrices?

Sparse Recovery Algorithms: ℓ1 Minimization

Convex Problem:

Convex problem with a conic constraint:

‖x‖1 subject to ‖Ax − y‖22 ≤ ε

−→ Specialized algorithms for Compressed Sensing!−→ www.acm.caltech.edu/l1magic and sparselab.stanford.edu!

Equivalent formulation:

Unconstrained version:

12‖Ax − y‖22 + λ‖x‖1

Sparse Recovery Algorithms: Greedy and Combinatorial

Greedy Algorithms:

Orthogonal Matching Pursuit

Iterative Thresholding

Combinatorial Algorithms:

Combinatorial group testing

Data streams

Compressed Sensing in Action...

Application Areas of Compressed Sensing

Compressed SensingImaging

Sciences

Technology

Communikations

Theory

Information

Theory

Biology

Geology/

Seismology

Astronomy

Optics

Business

Remote

Sensing

Compression/

Dimension Reduktion

Medicine

Further Applications

Astronomy◮ Cosmic Microwave Background, Planck mission, ...

Communication◮ Channel estimation, (sensor) networks,...

Computational Biology◮ DNA microarrays, ...

Geophysical Data Analysis◮ Seismic data recovery, wavefield extrapolation, ...

Photography◮ Single-pixel camera,...

Physics◮ Simulation of atomic systems, quantum state tomography, ...

Topics of this Winter School

Winter School on “Compressed Sensing”

Topics:

Model of sparse vectors Model of low-rank matrices(Rachel Ward)

Model of sparse vectors Model of sparse lattice vectors(Axel Flinth)

Measurement matrices Structured random matrices(Holger Rauhut)

Measurements Non-linearity(Roman Vershynin and Rachel Ward)

Application/Extension: Recovery of high-dimensional functions(Massimo Fornasier)

Applications: Data separation, missing data recovery & Fourier data(Gitta Kutyniok)

Applications: Proteomics analysis & MRI(Martin Genzel & Jackie Ma)

Let’s conclude...

Conclusions

Sparsity is a natural model for signals.

Compressed Sensing:Sparse high-dimensional signals can be recovered efficiently

from a small set of linear, non-adaptive measurements!

Various connections to different areas inside mathematics and acrossdisciplines.

Examples of applications:◮ Astronomy.◮ Biology.◮ Communication.◮ Radar.◮ ...

Compressed Sensing for Future Technologies:

Great potential, but wide open field!

Technische Universität BerlinApplied Functional Analysis Group

THANK YOU!

Contact:

www.math.tu-berlin.de/∼kutyniokCode available at:

www.ShearLab.org

Related Books:

Y. Eldar and G. KutyniokCompressed Sensing: Theory and Applications

Cambridge University Press, 2012.S. Foucart and H. RauhutA Mathematical Introduction to Compressive Sensing

Birkhauser-Springer, 2013.

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