An Overview of Multi-Processor Approximate Message Passing

Approximate message passing (AMP) is an algorithmic framework for solving linear inverse problems from noisy measurements, with exciting applications such as reconstructing images, audio, hyper spectral images, and various other signals, including those acquired in compressive signal acquisiton systems. The growing prevalence of big data systems has increased interest in large-scale problems, which may involve huge measurement matrices that are unsuitable for conventional computing systems. To address the challenge of large-scale processing, multiprocessor (MP) versions of AMP have been developed. We provide an overview of two such MP-AMP variants. In row-MP-AMP, each computing node stores a subset of the rows of the matrix and processes corresponding measurements. In column- MP-AMP, each node stores a subset of columns, and is solely responsible for reconstructing a portion of the signal. We will discuss pros and cons of both approaches, summarize recent research results for each, and explain when each one may be a viable approach. Aspects that are highlighted include some recent results on state evolution for both MP-AMP algorithms, and the use of data compression to reduce communication in the MP network

Hybrid approximate message passing

Gaussian and quadratic approximations of message passing algorithms on graphs have attracted considerable recent attention due to their computational simplicity, analytic tractability, and wide applicability in optimization and statistical inference problems. This paper presents a systematic framework for incorporating such approximate message passing (AMP) methods in general graphical models. The key concept is a partition of dependencies of a general graphical model into strong and weak edges, with the weak edges representing interactions through aggregates of small, linearizable couplings of variables. AMP approximations based on the Central Limit Theorem can be readily applied to aggregates of many weak edges and integrated with standard message passing updates on the strong edges. The resulting algorithm, which we call hybrid generalized approximate message passing (HyGAMP), can yield significantly simpler implementations of sum-product and max-sum loopy belief propagation. By varying the partition of strong and weak edges, a performance--complexity trade-off can be achieved. Group sparsity and multinomial logistic regression problems are studied as examples of the proposed methodology.The work of S. Rangan was supported in part by the National Science Foundation under Grants 1116589, 1302336, and 1547332, and in part by the industrial affiliates of NYU WIRELESS. The work of A. K. Fletcher was supported in part by the National Science Foundation under Grants 1254204 and 1738286 and in part by the Office of Naval Research under Grant N00014-15-1-2677. The work of V. K. Goyal was supported in part by the National Science Foundation under Grant 1422034. The work of E. Byrne and P. Schniter was supported in part by the National Science Foundation under Grant CCF-1527162. (1116589 - National Science Foundation; 1302336 - National Science Foundation; 1547332 - National Science Foundation; 1254204 - National Science Foundation; 1738286 - National Science Foundation; 1422034 - National Science Foundation; CCF-1527162 - National Science Foundation; NYU WIRELESS; N00014-15-1-2677 - Office of Naval Research

Bilinear Generalized Approximate Message Passing—Part II: Applications

In this paper, we extend the generalized approximate message passing (G-AMP) approach, originally proposed for high-dimensional generalized-linear regression in the context of compressive sensing, to the generalized-bilinear case. In Part I of this two-part paper, we derived our Bilinear G-AMP (BiG-AMP) algorithm as an approximation of the sum-product belief propagation algorithm in the high-dimensional limit, and proposed an adaptive damping mechanism that aids convergence under finite problem sizes, an expectation-maximization (EM)-based method to automatically tune the parameters of the assumed priors, and two rank-selection strategies. Here, in Part II, we discuss the specializations of BiG-AMP to the problems of matrix completion, robust PCA, and dictionary learning, and present the results of an extensive empirical study comparing BiG-AMP to state-of-the-art algorithms on each problem. Our numerical results, using both synthetic and real-world datasets, demonstrate that EM-BiG-AMP yields excellent reconstruction accuracy (often best in class) while maintaining competitive runtimes