Max-Linear Regression by Scalable and Guaranteed Convex Programming

Seonho Kim, Sohail Bahmani, Kiryung Lee

We consider the multivariate max-linear regression problem where the model parameters $\boldsymbol{\beta}_{1},\dotsc,\boldsymbol{\beta}_{k}\in\mathbb{R}^{p}$ need to be estimated from $n$ independent samples of the (noisy) observations $y = \max_{1\leq j \leq k} \boldsymbol{\beta}_{j}^{\mathsf{T}} \boldsymbol{x} + \mathrm{noise}$. The max-linear model vastly generalizes the conventional linear model, and it can approximate any convex function to an arbitrary accuracy when the number of linear models $k$ is large enough. However, the inherent nonlinearity of the max-linear model renders the estimation of the regression parameters computationally challenging. Particularly, no estimator based on convex programming is known in the literature. We formulate and analyze a scalable convex program as the estimator for the max-linear regression problem. Under the standard Gaussian observation setting, we present a non-asymptotic performance guarantee showing that the convex program recovers the parameters with high probability. When the $k$ linear components are equally likely to achieve the maximum, our result shows that a sufficient number of observations scales as $k^{2}p$ up to a logarithmic factor. This significantly improves on the analogous prior result based on alternating minimization (Ghosh et al., 2019). Finally, through a set of Monte Carlo simulations, we illustrate that our theoretical result is consistent with empirical behavior, and the convex estimator for max-linear regression is as competitive as the alternating minimization algorithm in practice.

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