Provable Non-convex Phase Retrieval with Outliers: Median TruncatedWirtinger Flow
Proceedings of The 33rd International Conference on Machine Learning, PMLR 48:1022-1031, 2016.
Solving systems of quadratic equations is a central problem in machine learning and signal processing. One important example is phase retrieval, which aims to recover a signal from only magnitudes of its linear measurements. This paper focuses on the situation when the measurements are corrupted by arbitrary outliers, for which the recently developed non-convex gradient descent Wirtinger flow (WF) and truncated Wirtinger flow (TWF) algorithms likely fail. We develop a novel median-TWF algorithm that exploits robustness of sample median to resist arbitrary outliers in the initialization and the gradient update in each iteration. We show that such a non-convex algorithm provably recovers the signal from a near-optimal number of measurements composed of i.i.d. Gaussian entries, up to a logarithmic factor, even when a constant portion of the measurements are corrupted by arbitrary outliers. We further show that median-TWF is also robust when measurements are corrupted by both arbitrary outliers and bounded noise. Our analysis of performance guarantee is accomplished by development of non-trivial concentration measures of median-related quantities, which may be of independent interest. We further provide numerical experiments to demonstrate the effectiveness of the approach.