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Greedy Algorithms

Module by: Jason Laska, Ronald DeVore. E-mail the authors

We now turn to the questions of generating good approximations for nn term approximation from a general dictionary We shall assume that the dictionary DD is complete in the Hilbert space HH. This means that every element in HH can be approximated arbitrarily well by linear combinations of the elements of DD. Since the dictionary is no longer an orthogonal basis as was considered above, we need to revisit how to find good nn term approximations. Because of redundancy within the dictionary, we cannot simply pick the largest coefficients as we saw with a basis. Greedy algorithms are a method to generate good nn term approximations.

  1. General Greedy Algorithm Given ff, we want to generate an nn-term approximation to ff.
    fs= s=1 n c j g j fs= s=1 n c j g j
    (1)
    The general steps are as follows:
    1. Initialize: (approximation) s 0 =0s 0 =0, (residual) r 0 =fr 0 =f, approximation collectionΛ 0 =Λ 0 =
    2. Search DD for some gDgD, then add gg to the set ΛΛ.
    3. Use {g 1 ,g 2 ,...,g n }{g 1 ,g 2 ,...,g n } to find new approximation for s n s n .
    At stage nn, we have s n s n , r n =f-s n r n =f-s n , and Λ n ={g 1 ,g 2 ,...,g n }Λ n ={g 1 ,g 2 ,...,g n }. There are many types of greedy algorithms. We describe the three most common in the case SS is a Hilbert space. However, there are anlaogues of these for L p L p .
  2. Pure Greedy Algorithm (PGA) Note: >From r n r n choose g n+1 := argmax |r n (f),g|g n+1 := argmax |r n (f),g| (the gg that causes the largest inner product).
    s n+1 =s n +r n (f),ggs n+1 =s n +r n (f),gg
    (2)
    r n+1 =f-s n -f-s n ,gg=f-s n+1 r n+1 =f-s n -f-s n ,gg=f-s n+1
    (3)
    This method is similar to a steepest decent algorithm for decreasing the error.
  3. Orthogonal Greedy Algorithm (OGA) >From r n r n choose g n+1 := argmax |r n (f),g|g n+1 := argmax |r n (f),g| as in the PGA.
    V n+1 :=sp{g 1 ,g 2 ,...,g n+1 }V n+1 :=sp{g 1 ,g 2 ,...,g n+1 }
    (4)
    s n+1 :=p V n+1 f= j=1 n+1 α j g j s n+1 :=p V n+1 f= j=1 n+1 α j g j
    (5)
    where P V P V denotes the orthogonal projection onto the space VV. We can find s n+1 =P V n+1 fs n+1 =P V n+1 f by solving the linear system of equations
    j=1 n+1 α j g j ,g k =f,g k . j=1 n+1 α j g j ,g k =f,g k .
    (6)
    Then, r n+1 =f-s n+1 r n+1 =f-s n+1 .
  4. Relaxed Greedy Algorithm (RGA) >From r n r n choose g n+1 g n+1 in some way (for example, our earlier methods) and then define
    s n+1 (f)=αs n +βg n+1 s n+1 (f)=αs n +βg n+1
    (7)
    Unlike PGA, here we do not make a full step in the correct direction. For example, one way to proceed is to define
    arginf α,β,g f-αs n +βg n =:α * ,β * ,g * arginf α,β,g f-αs n +βg n =:α * ,β * ,g *
    (8)
    This type of greedy algorithm is known to perform the best as compred with the previous two.

Measuring Performance

Given XX, DD, it is not practical to minimize σ n (f) X σ n (f) X by searching over all the possibilities. The greedy approximation gives an nn-term solution with less computation, but does it perform well?

Let

L 1 (D):={fX:c g g, gD |c g |M}L 1 (D):={fX:c g g, gD |c g |M}
(9)

where the smallest MM is the L 1 L 1 norm of ff.

Theorem 1

For OGA or RGA as described above, we have

f-s n fCn -1 2 |f| L 1 .f-s n fCn -1 2 |f| L 1 .
(10)

remark 1

Remark 5 This is similar to σ n (x) l 2 n -1 2 x l 1 σ n (x) l 2 n -1 2 x l 1 (nn-term approximation) but its not always quite as good.

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