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
Hlavní autoři: Rangan, Sundeep, Schniter, Philip, Fletcher, Alyson K.
Médium: Journal Article
Jazyk:angličtina
Vydáno: 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
URI https://ieeexplore.ieee.org/document/8713501
https://www.proquest.com/docview/2292979079
Volume 65
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