A data-dependent weighted LASSO under Poisson noise.

Summary Sparse linear inverse problems appear in a variety of settings, but often the noise contaminating observations cannot accurately be described as bounded by or arising from a Gaussian distribution. Poisson observations in particular are a characteristic feature of several real-world applications. Previous work on sparse Poisson inverse problems encountered several limiting technical hurdles. This paper describes a novel alternative analysis approach for sparse Poisson inverse problems that (a) sidesteps the technical challenges present in previous work, (b) admits estimators that can readily be computed using off-the-shelf LASSO algorithms, and (c) hints at a general weighted LASSO framework for broad classes of problems. At the heart of this new approach lies a weighted LASSO estimator for which data-dependent weights are based on Pois-son concentration inequalities. Unlike previous analyses of the weighted LASSO, the proposed analysis depends on conditions which can be checked or shown to hold in general settings with high probability.