Optimal rates of convergence for noisy sparse phase retrieval via thresholded Wirtinger flow

T. Tony Cai, Xiaodong Li, Zongming Ma
2016 Annals of Statistics  
This paper considers the noisy sparse phase retrieval problem: recovering a sparse signal x ∈ R p from noisy quadratic measurements y j = (a j x) 2 + ε j , j = 1, . . . , m, with independent sub-exponential noise ε j . The goals are to understand the effect of the sparsity of x on the estimation precision and to construct a computationally feasible estimator to achieve the optimal rates adaptively. Inspired by the Wirtinger Flow [IEEE Trans. Inform. Theory 61 (2015) 1985-2007 proposed for
more » ... arse and noiseless phase retrieval, a novel thresholded gradient descent algorithm is proposed and it is shown to adaptively achieve the minimax optimal rates of convergence over a wide range of sparsity levels when the a j 's are independent standard Gaussian random vectors, provided that the sample size is sufficiently large compared to the sparsity of x.
doi:10.1214/16-aos1443 fatcat:blamiyatardajmgvbgoyadme6u