Robust High Dimensional Sparse Regression and Matching Pursuit
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We consider high dimensional sparse regression, and develop strategies able to deal with arbitrary -- possibly, severe or coordinated -- errors in the covariance matrix X. These may come from corrupted data, persistent experimental errors, or malicious respondents in surveys/recommender systems, etc. Such non-stochastic error-in-variables problems are notoriously difficult to treat, and as we demonstrate, the problem is particularly pronounced in high-dimensional settings where the primary goal is support recovery of the sparse regressor. We develop algorithms for support recovery in sparse regression, when some number n_1 out of n+n_1 total covariate/response pairs are arbitrarily (possibly maliciously) corrupted. We are interested in understanding how many outliers, n_1, we can tolerate, while identifying the correct support. To the best of our knowledge, neither standard outlier rejection techniques, nor recently developed robust regression algorithms (that focus only on corrupted response variables), nor recent algorithms for dealing with stochastic noise or erasures, can provide guarantees on support recovery. Perhaps surprisingly, we also show that the natural brute force algorithm that searches over all subsets of n covariate/response pairs, and all subsets of possible support coordinates in order to minimize regression error, is remarkably poor, unable to correctly identify the support with even n_1 = O(n/k) corrupted points, where k is the sparsity. This is true even in the basic setting we consider, where all authentic measurements and noise are independent and sub-Gaussian. In this setting, we provide a simple algorithm -- no more computationally taxing than OMP -- that gives stronger performance guarantees, recovering the support with up to n_1 = O(n/(√(k) p)) corrupted points, where p is the dimension of the signal to be recovered.
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