Living on the Edge - Phase Transitions in Random Convex Programs

author: Joel Tropp, Department of Computing and Mathematical Sciences, California Institute of Technology (Caltech)
published: Aug. 26, 2013,   recorded: July 2013,   views: 5334
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Description

Recent empirical research indicates that many convex optimization problems with random constraints exhibit a phase transition as the number of constraints increases. For example, this phenomenon emerges in the l1 minimization method for identifying a sparse vector from random linear samples. Indeed, this approach succeeds with high probability when the number of samples exceeds a threshold that depends on the sparsity level; otherwise, it fails with high probability.

This talk summarizes a rigorous analysis that explains why phase transitions are ubiquitous in random convex optimization problems. It also describes tools for making reliable predictions about the quantitative aspects of the transition, including the location and the width of the transition region. These techniques apply to regularized linear inverse problems with random measurements, to demixing problems under a random incoherence model, and also to cone programs with random affine constraints. Joint work with D. Amelunxen, M. Lotz, and M. B. McCoy

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