Polyhedral signal recovery from indirect observations


Séminaire Données et Aléatoire Théorie & Applications

12/11/2020 - 14:00 Mr Anatoli Juditsky (DAO - UGA)

We consider the problem of recovering linear image of unknown signal belonging to a given convex compact signal set from noisy observation of another linear image of the signal. We develop a simple generic efficiently computable nonlinear in observations "polyhedral" estimate along with computation-friendly techniques for its design and risk analysis. We demonstrate that under favorable circumstances the resulting estimate is provably near-optimal in the minimax sense, the "favorable circumstances" being less restrictive than the weakest known so far assumptions ensuring near-optimality of estimates which are linear in observations.
Joint work with Arkadi Nemirovski, Georgia Tech.
Lien vidéo : https://cloud-ljk.imag.fr/index.php/s/pzBcpo9Err2paay