Fast Phase Retrieval from Local Correlation Measurements

Abstract: We develop a fast phase retrieval method which can utilize a large class of local phaseless correlation-based measurements in order to recover a given signal ${\bf x} \in \mathbb{C}<sup>d$ (up to an unknown global phase) in near-linear $\mathcal{O} \left( d \log⁴ d \right)$-time. Accompanying theoretical analysis proves that the proposed algorithm is guaranteed to deterministically recover all signals ${\bf x}$ satisfying a natural flatness (i.e., non-sparsity) condition for a particular choice of deterministic correlation-based measurements. A randomized version of these same measurements is then shown to provide nonuniform probabilistic recovery guarantees for arbitrary signals ${\bf x} \in \mathbb{C}<sup>d$. Numerical experiments demonstrate the method's speed, accuracy, and robustness in practice -- all code is made publicly available. Finally, we conclude by developing an extension of the proposed method to the sparse phase retrieval problem; specifically, we demonstrate a sublinear-time compressive phase retrieval algorithm which is guaranteed to recover a given $s$-sparse vector ${\bf x} \in \mathbb{C}<sup>d$ with high probability in just $\mathcal{O}(s \log⁵ s \cdot \log d)$-time using only $\mathcal{O}(s \log⁴ s \cdot \log d)$ magnitude measurements. In doing so we demonstrate the existence of compressive phase retrieval algorithms with near-optimal linear-in-sparsity runtime complexities.