Noisy estimation of simultaneously structured models: Limitations of convex relaxation

Models or signals exhibiting low dimensional behavior (e.g., sparse signals, low rank matrices) play an important role in signal processing and system identification. In this paper, we focus on models that have multiple structures simultaneously; e.g., matrices that are both low rank and sparse, arising in phase retrieval, quadratic compressed sensing, and cluster detection in social networks. We consider the estimation of such models from observations corrupted by additive Gaussian noise. We provide tight upper and lower bounds on the mean squared error (MSE) of a convex denoising program that uses a combination of regularizers to induce multiple structures. In the case of low rank and sparse matrices, we quantify the gap between the MSE of the convex program and the best achievable error, and we present a simple (nonconvex) thresholding algorithm that outperforms its convex counterpart and achieves almost optimal MSE. This paper extends prior work on a different but related problem: recovering simultaneously structured models from noiseless compressed measurements, where bounds on the number of required measurements were given. The present work shows a similar fundamental limitation exists in a statistical denoising setting