Theoretical and Experimental Analysis of a Randomized Algorithm for Sparse Fourier Transfor.pdfVIP
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Theoretical and Experimental Analysis of a Randomized Algorithm for Sparse Fourier Transfor
THEORETICAL AND EXPERIMENTAL ANALYSIS OF A RANDOMIZED
ALGORITHM FOR SPARSE FOURIER TRANSFORM ANALYSIS ∗
JING ZOU† , ANNA GILBERT ‡ , MARTIN STRAUSS § , AND INGRID DAUBECHIES ¶
Abstract. We analyze a sublinear RAℓSFA (Randomized Algorithm for Sparse Fourier Analysis) that finds
a near-optimal B-term Sparse Representation R for a given discrete signal S of length N , in time and space
poly (B, log(N )), following the approach given in [3]. Its time cost poly (log(N )) should be compared with the
superlinear Ω(N log N ) time requirement of the Fast Fourier Transform (FFT). A straightforward implementation
of the RAℓSFA, as presented in the theoretical paper [3], turns out to be very slow in practice. Our main result
5 is a greatly improved and practical RAℓSFA. We introduce several new ideas and techniques that speed up the
0 algorithm. Both rigorous and heuristic arguments for parameter choices are presented. Our RAℓSFA constructs,
0 with probability at least 1 − δ, a near-optimal B-term representation R in time poly (B) log(N ) log(1/δ)/ǫ2 log(M )
2 2
2 such that S − R ≤ (1 + ǫ)S − Ropt . Furthermore, this RAℓSFA implementation already beats the FFTW for
2 2
n not unreasonably large N . We extend the algorithm to higher dimensional cases both theoretically and numerically.
u The crossover point lies at N ≃ 70000 in one dimension, and at N ≃ 900 for data on a N ×N grid in two dimensions
J for small B signals where there is n
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