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

Unitary Approximate Message Passing for Sparse Bayesian Learning and Bilinear Recovery

Over the past several years, the approximate message passing (AMP) algorithm has been applied to a broad range of problems, including compressed sensing (CS), robust regression, Bayesian estimation, etc. AMP was originally developed for compressed sensing based on the loopy belief propagation (BP). Compared to convex optimization based algorithms, AMP has low complexity and its performance can be rigorously characterized by a scalar state evolution (SE) in the case of a large independent and identically distributed (i.i.d.) (sub-) Gaussian matrix. AMP was then extended to solve general estimation problems with a generalized linear observation model. However, AMP performs poorly on a generic matrix such as non-zero mean, rank-deficient, correlated, or ill-conditioned matrix, resulting in divergence and degraded performance. It was discovered later that applying AMP to a unitary transform of the original model can remarkably enhance the robustness to difficult matrices. This variant is named unitary AMP (UAMP), or formally called UTAMP. In this thesis, leveraging UAMP, we propose UAMP-SBL for sparse signal recovery and Bi-UAMP for bilinear recovery, both of which inherit the low complexity and robustness of UAMP. Sparse Bayesian learning (SBL) is a powerful tool for recovering a sparse signal from noisy measurements, which finds numerous applications in various areas. As a traditional implementation of SBL, e.g., Tipping’s method, involves matrix inversion in each iteration, the computational complexity can be prohibitive for large scale problems. To circumvent this, AMP and its variants have been used as low-complexity solutions. Unfortunately, they will diverge for ‘difficult’ measurement matrices as previously mentioned. In this thesis, leveraging UAMP, a novel SBL algorithm called UAMP-SBL is proposed where UAMP is incorporated into the structured variational message passing (SVMP) to handle the most computationally intensive part of message computations. It is shown that, compared to state-of-the-art AMP based SBL algorithms, the proposed UAMP-SBL is more robust and efficient, leading to remarkably better performance. The bilinear recovery problem has many applications such as dictionary learning, selfcalibration, compressed sensing with matrix uncertainty, etc. Compared to existing nonmessage passing alternates, several AMP based algorithms have been developed to solve bilinear problems. By using UAMP, a more robust and faster approximate inference algorithm for bilinear recovery is proposed in this thesis, which is called Bi-UAMP. With the lifting approach, the original bilinear problem is reformulated as a linear one. Then, variational inference (VI), expectation propagation (EP) and BP are combined with UAMP to implement the approximate inference algorithm Bi-UAMP, where UAMP is adopted for the most computationally intensive part. It is shown that, compared to state-of-the-art bilinear recovery algorithms, the proposed Bi-UAMP is much more robust and faster, and delivers significantly better performance. Recently, UAMP has also been employed for many other applications such as inverse synthetic aperture radar (ISAR) imaging, low-complexity direction of arrival (DOA) estimation, iterative detection for orthogonal time frequency space modulation (OTFS), channel estimation for RIS-Aided MIMO communications, etc. Promising performance was achieved in all of the applications, and more applications of UAMP are expected in the future