Uniform Recovery of Structured Signals from Nonlinear Observations: Improved Error Rates
Consider the recovery of structured signals from nonlinear observations. Under Gaussian matrix and a large class of unknown nonlinear link functions, Plan and Vershynin (2016) showed that generalized Lasso achieves accurate nonuniform recovery of a fixed signal. More recently, Genzel and Stollenwerk (2023) showed that generalized Lasso is indeed capable of accurately recovering all structured signals. However, in some canonical settings with discontinuous link functions, their uniform recovery error rate is essentially slower than the nonuniform one. Specifically, in the recovery of $n$-dimensional $k$-sparse vectors from $m$ measurements, generalized Lasso with a perfectly tuned $\ell_1$ constraint achieves nonuniform error rate $ O(\sqrt{k\log(en/k)/m})$, while the uniform error rate of Genzel and Stollenwerk is no faster than $O((k\log(en/k)/m)^{1/4})$. In this paper, we narrow this gap by establishing improved uniform recovery guarantees under piecewise Lipschitz link functions with well-separated jump discontinuities. We analyze a projected gradient descent (PGD) algorithm whose projection can be onto a convex set or a cone, and our results for the PGD with a convex set are also valid for the generalized Lasso. In sparse recovery, the improved uniform error rates match the nonuniform rate $O(\sqrt{k\log(en/k)/m})$ up to logarithmic factors. Under the sign link function, we further show that iterative hard thresholding (a specific instance of the PGD) achieves uniform recovery error rate $O(\sqrt{k\log(en/k)/m})$, matching the nonuniform rate up to a universal constant. Technically, the uniform guarantees for the PGD are obtained by showing that the gradient maps satisfy the restricted approximate invertibility condition uniformly over all signals. We demonstrate that this is a general approach to uniform recovery under nonlinear observations.