Nearly Minimax-Optimal Rates for Noisy Sparse Phase Retrieval via Early-Stopped Mirror Descent
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This paper studies early-stopped mirror descent applied to noisy sparse phase retrieval, which is the problem of recovering a k-sparse signal 𝐱^⋆∈ℝ^n from a set of quadratic Gaussian measurements corrupted by sub-exponential noise. We consider the (non-convex) unregularized empirical risk minimization problem and show that early-stopped mirror descent, when equipped with the hyperbolic entropy mirror map and proper initialization, achieves a nearly minimax-optimal rate of convergence, provided the sample size is at least of order k^2 (modulo logarithmic term) and the minimum (in modulus) non-zero entry of the signal is on the order of 𝐱^⋆_2/√(k). Our theory leads to a simple algorithm that does not rely on explicit regularization or thresholding steps to promote sparsity. More generally, our results establish a connection between mirror descent and sparsity in the non-convex problem of noisy sparse phase retrieval, adding to the literature on early stopping that has mostly focused on non-sparse, Euclidean, and convex settings via gradient descent. Our proof combines a potential-based analysis of mirror descent with a quantitative control on a variational coherence property that we establish along the path of mirror descent, up to a prescribed stopping time.
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