Sparse recovery in convex hulls via entropy penalization
Sparse recovery in convex hulls via entropy penalization
Let (X, Y) be a random couple in S×T with unknown distribution P and (X1, Y1), …, (Xn, Yn) be i.i.d. copies of (X, Y). Denote Pn the empirical distribution of (X1, Y1), …, (Xn, Yn). Let h1, …, hN: S↦[−1, 1] be a dictionary that consists of N functions. …