Vector Approximate Message Passing
The standard linear regression (SLR) problem is to recover a vector <inline-formula> <tex-math notation="LaTeX">\mathrm {x}^{0} </tex-math></inline-formula> from noisy linear observations <inline-formula> <tex-math notation="LaTeX">\mathrm {y}=...
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| Vydáno v: | IEEE transactions on information theory Ročník 65; číslo 10; s. 6664 - 6684 |
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| Hlavní autoři: | , , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
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New York
IEEE
01.10.2019
The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
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| ISSN: | 0018-9448, 1557-9654 |
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| Abstract | The standard linear regression (SLR) problem is to recover a vector <inline-formula> <tex-math notation="LaTeX">\mathrm {x}^{0} </tex-math></inline-formula> from noisy linear observations <inline-formula> <tex-math notation="LaTeX">\mathrm {y}=\mathrm {Ax}^{0}+\mathrm {w} </tex-math></inline-formula>. The approximate message passing (AMP) algorithm proposed by Donoho, Maleki, and Montanari is a computationally efficient iterative approach to SLR that has a remarkable property: for large i.i.d. sub-Gaussian matrices A, its per-iteration behavior is rigorously characterized by a scalar state-evolution whose fixed points, when unique, are Bayes optimal. The AMP algorithm, however, is fragile in that even small deviations from the i.i.d. sub-Gaussian model can cause the algorithm to diverge. This paper considers a "vector AMP" (VAMP) algorithm and shows that VAMP has a rigorous scalar state-evolution that holds under a much broader class of large random matrices A: those that are right-orthogonally invariant. After performing an initial singular value decomposition (SVD) of A, the per-iteration complexity of VAMP is similar to that of AMP. In addition, the fixed points of VAMP's state evolution are consistent with the replica prediction of the minimum mean-squared error derived by Tulino, Caire, Verdú, and Shamai. Numerical experiments are used to confirm the effectiveness of VAMP and its consistency with state-evolution predictions. |
|---|---|
| AbstractList | The standard linear regression (SLR) problem is to recover a vector [Formula Omitted] from noisy linear observations [Formula Omitted]. The approximate message passing (AMP) algorithm proposed by Donoho, Maleki, and Montanari is a computationally efficient iterative approach to SLR that has a remarkable property: for large i.i.d. sub-Gaussian matrices A, its per-iteration behavior is rigorously characterized by a scalar state-evolution whose fixed points, when unique, are Bayes optimal. The AMP algorithm, however, is fragile in that even small deviations from the i.i.d. sub-Gaussian model can cause the algorithm to diverge. This paper considers a “vector AMP” (VAMP) algorithm and shows that VAMP has a rigorous scalar state-evolution that holds under a much broader class of large random matrices A: those that are right-orthogonally invariant. After performing an initial singular value decomposition (SVD) of A, the per-iteration complexity of VAMP is similar to that of AMP. In addition, the fixed points of VAMP’s state evolution are consistent with the replica prediction of the minimum mean-squared error derived by Tulino, Caire, Verdú, and Shamai. Numerical experiments are used to confirm the effectiveness of VAMP and its consistency with state-evolution predictions. The standard linear regression (SLR) problem is to recover a vector <inline-formula> <tex-math notation="LaTeX">\mathrm {x}^{0} </tex-math></inline-formula> from noisy linear observations <inline-formula> <tex-math notation="LaTeX">\mathrm {y}=\mathrm {Ax}^{0}+\mathrm {w} </tex-math></inline-formula>. The approximate message passing (AMP) algorithm proposed by Donoho, Maleki, and Montanari is a computationally efficient iterative approach to SLR that has a remarkable property: for large i.i.d. sub-Gaussian matrices A, its per-iteration behavior is rigorously characterized by a scalar state-evolution whose fixed points, when unique, are Bayes optimal. The AMP algorithm, however, is fragile in that even small deviations from the i.i.d. sub-Gaussian model can cause the algorithm to diverge. This paper considers a "vector AMP" (VAMP) algorithm and shows that VAMP has a rigorous scalar state-evolution that holds under a much broader class of large random matrices A: those that are right-orthogonally invariant. After performing an initial singular value decomposition (SVD) of A, the per-iteration complexity of VAMP is similar to that of AMP. In addition, the fixed points of VAMP's state evolution are consistent with the replica prediction of the minimum mean-squared error derived by Tulino, Caire, Verdú, and Shamai. Numerical experiments are used to confirm the effectiveness of VAMP and its consistency with state-evolution predictions. |
| Author | Schniter, Philip Fletcher, Alyson K. Rangan, Sundeep |
| Author_xml | – sequence: 1 givenname: Sundeep orcidid: 0000-0002-0925-8169 surname: Rangan fullname: Rangan, Sundeep email: srangan@nyu.edu organization: Department of Electrical and Computer Engineering, New York University, Brooklyn, NY, USA – sequence: 2 givenname: Philip orcidid: 0000-0003-0939-7545 surname: Schniter fullname: Schniter, Philip email: schniter.1@osu.edu organization: Department of Electrical and Computer Engineering, The Ohio State University, Columbus, OH, USA – sequence: 3 givenname: Alyson K. surname: Fletcher fullname: Fletcher, Alyson K. email: akfletcher@ucla.edu organization: Department of Statistics, Mathematics, and Electrical Engineering, University of California at Los Angeles, Los Angeles, CA, USA |
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| Snippet | The standard linear regression (SLR) problem is to recover a vector <inline-formula> <tex-math notation="LaTeX">\mathrm {x}^{0} </tex-math></inline-formula>... The standard linear regression (SLR) problem is to recover a vector [Formula Omitted] from noisy linear observations [Formula Omitted]. The approximate message... |
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| SubjectTerms | Algorithms Approximation algorithms Belief propagation compressive sensing Covariance matrices Evolution inference algorithms Iterative methods Linear regression Matrices (mathematics) Message passing Minimization random matrices Signal processing algorithms Singular value decomposition |
| Title | Vector Approximate Message Passing |
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