Covariance sketching

Gautam Dasarathy, Parikshit Shah, Badri Narayan Bhaskar, Robert Nowak

Research output: Chapter in Book/Report/Conference proceedingConference contribution

6 Scopus citations

Abstract

Learning covariance matrices from high-dimensional data is an important problem that has received a lot of attention recently. We are particularly interested in the high-dimensional setting, where the number of samples one has access to is fewer than the number of variates. Fortunately, in many applications of interest, the underlying covariance matrix is sparse and hence has limited degrees of freedom. In most existing work however, it is assumed that one can obtain samples of all the variates simultaneously. This could be very expensive or physically infeasible in some applications. As a means of overcoming this limitation, we propose a new procedure that 'pools' the covariates into a small number of groups and then samples each pooled group. We show that in certain cases it is possible to recover the covariance matrix from the pooled samples using an efficient convex optimization program, and so we call the procedure 'covariance sketching'.

Original languageEnglish (US)
Title of host publication2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012
Pages1026-1033
Number of pages8
DOIs
StatePublished - Dec 1 2012
Event2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012 - Monticello, IL, United States
Duration: Oct 1 2012Oct 5 2012

Publication series

Name2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012

Other

Other2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012
CountryUnited States
CityMonticello, IL
Period10/1/1210/5/12

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ASJC Scopus subject areas

  • Computer Networks and Communications
  • Computer Science Applications

Cite this

Dasarathy, G., Shah, P., Bhaskar, B. N., & Nowak, R. (2012). Covariance sketching. In 2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012 (pp. 1026-1033). [6483331] (2012 50th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2012). https://doi.org/10.1109/Allerton.2012.6483331