Sparse Normal Means Estimation with Sublinear Communication

We consider the problem of sparse normal means estimation in a distributed setting with communication constraints. We assume there are $M$ machines, each holding a $d$-dimensional observation of a $K$-sparse vector $\mu$ corrupted by additive Gaussian noise. A central fusion machine is connected to the $M$ machines in a star topology, and its goal is to estimate the vector $\mu$ with a low communication budget. Previous works have shown that to achieve the centralized minimax rate for the $\ell_2$ risk, the total communication must be high - at least linear in the dimension $d$. This phenomenon occurs, however, at very weak signals. We show that once the signal-to-noise ratio (SNR) is slightly higher, the support of $\mu$ can be correctly recovered with much less communication. Specifically, we present two algorithms for the distributed sparse normal means problem, and prove that above a certain SNR threshold, with high probability, they recover the correct support with total communication that is sublinear in the dimension $d$. Furthermore, the communication decreases exponentially as a function of signal strength. If in addition $KM\ll d$, then with an additional round of sublinear communication, our algorithms achieve the centralized rate for the $\ell_2$ risk. Finally, we present simulations that illustrate the performance of our algorithms in different parameter regimes.