Near-optimal estimation on the union of shift-invariant subspaces
- Series
- Stochastics Seminar
- Time
- Thursday, September 26, 2024 - 15:30 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Dmitrii Ostrovskii – Georgia Tech
In the 1990s, Arkadi Nemirovski asked the following question:
How hard is it to estimate a solution to unknown homogeneous linear difference equation with constant coefficients of order S, observed in the Gaussian noise on [0,N]?
The class of all such solutions, or "signals," is parametric---described by 2S complex parameters---but extremely rich: it includes the weighted sums of S exponentials, polynomials of degree S, harmonic oscillations with S arbitrary frequencies, and their algebraic combinations. Geometrically, this class is the union of all S-dimensional shift-invariant subspaces of the space of two-sided sequences, and of interest is the minimax risk on it with respect to the mean-squared error on [0,N]. I will present a recent result that shows this minimax risk to be O( S log(N) log(S)^2 ), improving over the state of the art by a polynomial in S factor, and coming within an O( log(S)^2 ) factor from the lower bound. It relies upon an approximation-theoretic construction related to minimal-norm interpolation over shift-invariant subspaces, in the spirit of the Landau-Kolmogorov problem, that I shall present in some detail. Namely, we will see that any shift-invariant subspace admits a bounded-support reproducing kernel whose spectrum has nearly the smallest possible Lp-energies for all p ≥ 1 at once.