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Message Passing Algorithms for Compressed Sensing
Compressed sensing aims to undersample certain high-dimensional signals, yet
accurately reconstruct them by exploiting signal characteristics. Accurate
reconstruction is possible when the object to be recovered is sufficiently
sparse in a known basis. Currently, the best known sparsity-undersampling
tradeoff is achieved when reconstructing by convex optimization -- which is
expensive in important large-scale applications. Fast iterative thresholding
algorithms have been intensively studied as alternatives to convex optimization
for large-scale problems. Unfortunately known fast algorithms offer
substantially worse sparsity-undersampling tradeoffs than convex optimization.
We introduce a simple costless modification to iterative thresholding making
the sparsity-undersampling tradeoff of the new algorithms equivalent to that of
the corresponding convex optimization procedures. The new
iterative-thresholding algorithms are inspired by belief propagation in
graphical models. Our empirical measurements of the sparsity-undersampling
tradeoff for the new algorithms agree with theoretical calculations. We show
that a state evolution formalism correctly derives the true
sparsity-undersampling tradeoff. There is a surprising agreement between
earlier calculations based on random convex polytopes and this new, apparently
very different theoretical formalism.Comment: 6 pages paper + 9 pages supplementary information, 13 eps figure.
Submitted to Proc. Natl. Acad. Sci. US
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