Minimax error bound for the column sparse principal subspace case

Let q[0,1]q\in[0,1], and let S^\hat{\mathcal{S}} estimate the principal subspace S\mathcal{S} under the same conditions as in the column sparse upper-bound corollary, with RqR_q replaced by dRqdR_q. Write sinΘ(S^,S)F2\|\sin\Theta(\hat{\mathcal{S}},\mathcal{S})\|_F^2 for the squared Frobenius subspace error. Minimax error bound for the column sparse case. There exists an estimator S^\hat{\mathcal{S}} such that, with high probability,

sinΘ(S^,S)F2cdRq(σ2(1+logp)n)1q/2,\|\sin\Theta(\hat{\mathcal{S}},\mathcal{S})\|_F^2\leq c d R_q\left(\frac{\sigma^2(1+\log p)}{n}\right)^{1-q/2},

and consequently the optimal minimax lower and upper bounds satisfy

sinΘ(S^,S)F2dRq(σ2logpn)1q/2.\|\sin\Theta(\hat{\mathcal{S}},\mathcal{S})\|_F^2\asymp d R_q\left(\frac{\sigma^2\log p}{n}\right)^{1-q/2}.

This would close the gap between the existing column-sparse upper and lower bounds when dd is larger than the logarithmic regime; the source provides no resolution of the conjecture.

Sources & referencesView supporting material

Primary source

Vincent Q. Vu and Jing Lei, “Minimax sparse principal subspace estimation in high dimensions”, arXiv:1211.0373 (2014).

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