Optimal designs for Lasso and Dantzig selector using Expander Codes
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We investigate the high-dimensional regression problem using adjacency matrices of unbalanced expander graphs. In this frame, we prove that the ℓ_2-prediction error and the ℓ_1-risk of the lasso and the Dantzig selector are optimal up to an explicit multiplicative constant. Thus we can estimate a high-dimensional target vector with an error term similar to the one obtained in a situation where one knows the support of the largest coordinates in advance. Moreover, we show that these design matrices have an explicit restricted eigenvalue. Precisely, they satisfy the restricted eigenvalue assumption and the compatibility condition with an explicit constant. Eventually, we capitalize on the recent construction of unbalanced expander graphs due to Guruswami, Umans, and Vadhan, to provide a deterministic polynomial time construction of these design matrices.
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