Time-Data Tradeoffs by Aggressive Smoothing

John J. Bruer, Joel A. Tropp, Volkan Cevher, Stephen Becker

Abstract: This paper proposes a tradeoff between sample complexity and computation time that applies to statistical estimators based on convex optimization. As the amount of data increases, we can smooth optimization problems more and more aggressively to achieve accurate estimates more quickly. This work provides theoretical and experimental evidence of this tradeoff for a class of regularized linear inverse problems.