A New Sparse and Robust Adaptive Lasso Estimator for the Independent Contamination Model

Abstract: Many problems in signal processing require finding sparse solutions to under-determined, or ill-conditioned, linear systems of equations. When dealing with real-world data, the presence of outliers and impulsive noise must also be accounted for. In past decades, the vast majority of robust linear regression estimators has focused on robustness against rowwise contamination. Even so called `high breakdown' estimators rely on the assumption that a majority of rows of the regression matrix is not affected by outliers. Only very recently, the first cellwise robust regression estimation methods have been developed. In this paper, we define robust oracle properties, which an estimator must have in order to perform robust model selection for under-determined, or ill-conditioned linear regression models that are contaminated by cellwise outliers in the regression matrix. We propose and analyze a robustly weighted and adaptive Lasso type regularization term which takes into account cellwise outliers for model selection. The proposed regularization term is integrated into the objective function of the MM-estimator, which yields the proposed MM-Robust Weighted Adaptive Lasso (MM-RWAL), for which we prove that at least the weak robust oracle properties hold. A performance comparison to existing robust Lasso estimators is provided using Monte Carlo experiments. Further, the MM-RWAL is applied to determine the temporal releases of the European Tracer Experiment (ETEX) at the source location. This ill-conditioned linear inverse problem contains cellwise and rowwise outliers and is sparse both in the regression matrix and the parameter vector. The proposed RWAL penalty is not limited to the MM-estimator but can easily be integrated into the objective function of other robust estimators.