l1 Ext Slides
l1 Ext Slides
Convex-Cardinality Problems
Part II
• total variation
• iterated weighted ℓ1 heuristic
• matrix rank constraints
0
x
−1
−2
0 500 1000 1500 2000
1
xcor
−1
−2
0 500 1000 1500 2000
0
x̂
−2
0 500 1000 1500 2000
2
0
x̂
−2
0 500 1000 1500 2000
2
0
x̂
−2
0 500 1000 1500 2000
0
x̂
−2
0 500 1000 1500 2000
2
0
x̂
−2
0 500 1000 1500 2000
2
0
x̂
−2
0 500 1000 1500 2000
• as convex-cardinality problem:
1.5 1.5
1 1
0.5 0.5
0 0
−0.5 −0.5
0 0
5 5
10 30 10 30
15 25 15 25
20 20 20 20
15 15
25 25
10 10
30 30
5 5
35 35
1.5 1.5
1 1
0.5 0.5
0 0
−0.5 −0.5
0 0
5 5
10 30 10 30
15 25 15 25
20 20 20 20
15 15
25 25
10 10
30 30
5 5
35 35
40
card(x)
30
20
10
iterated ℓ1
ℓ1
0
1 2 3 4 5 6
iteration
3
1
2 0.8
0.6
1 0.4
0.2
y(t)
0 0
−0.2 b(t)
−1 −0.4
−0.6
a(t)
−2 −0.8
−1
−3
0 50 100 150 200 250 300 50 100 150 200 250 300
t t
1 1
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
−0.2 −0.2
−0.4 −0.4
−0.6 −0.6
−0.8 −0.8
−1 −1
50 100 150 200 250 300 50 100 150 200 250 300
t t
minimize Rank X
subject to X 0, D 0 diagonal
X +D ∈C
with variables D, X ∈ Sn
C is convex set of acceptable approximations to Σ
• trace heuristic:
minimize Tr X
subject to X 0, D 0 diagonal
X +D ∈C
• trace heuristic
minimize Tr X
subject to X 0, d 0
kΣ−1/2(X + diag(d) − Σ)Σ−1/2k ≤ β
2
16 10
14
0
12 10
Rank(X)
λi(X)
10
−2
8 10
−4
4 10
2 −2 −1 0 −2 −1 0
10 10 10 10 10 10
β β
• i.e., we have recovered the factor model from the empirical covariance