The dynamics of message passing on dense graphs, with applications to compressed sensing

Approximate message passing algorithms proved to be extremely effective in reconstructing sparse signals from a small number of incoherent linear measurements. Extensive numerical experiments further showed that their dynamics is accurately tracked by a simple one-dimensional iteration termed state evolution. In this paper we provide the first rigorous foundation to state evolution. We prove that indeed it holds asymptotically in the large system limit for sensing matrices with independent and identically distributed gaussian entries. While our focus is on message passing algorithms for compressed sensing, the analysis extends beyond this setting, to a general class of algorithms on dense graphs. In this context, state evolution plays the role that density evolution has for sparse graphs. The proof technique is fundamentally different from the standard approach to density evolution, in that it copes with large number of short loops in the underlying factor graph. It relies instead on a conditioning technique recently developed by Erwin Bolthausen in the context of spin glass theory.Comment: 41 page

Optimal Quantization for Compressive Sensing under Message Passing Reconstruction

We consider the optimal quantization of compressive sensing measurements following the work on generalization of relaxed belief propagation (BP) for arbitrary measurement channels. Relaxed BP is an iterative reconstruction scheme inspired by message passing algorithms on bipartite graphs. Its asymptotic error performance can be accurately predicted and tracked through the state evolution formalism. We utilize these results to design mean-square optimal scalar quantizers for relaxed BP signal reconstruction and empirically demonstrate the superior error performance of the resulting quantizers.Comment: 5 pages, 3 figures, submitted to IEEE International Symposium on Information Theory (ISIT) 2011; minor corrections in v

Generalized Approximate Message-Passing Decoder for Universal Sparse Superposition Codes

Sparse superposition (SS) codes were originally proposed as a capacity-achieving communication scheme over the additive white Gaussian noise channel (AWGNC) [1]. Very recently, it was discovered that these codes are universal, in the sense that they achieve capacity over any memoryless channel under generalized approximate message-passing (GAMP) decoding [2], although this decoder has never been stated for SS codes. In this contribution we introduce the GAMP decoder for SS codes, we confirm empirically the universality of this communication scheme through its study on various channels and we provide the main analysis tools: state evolution and potential. We also compare the performance of GAMP with the Bayes-optimal MMSE decoder. We empirically illustrate that despite the presence of a phase transition preventing GAMP to reach the optimal performance, spatial coupling allows to boost the performance that eventually tends to capacity in a proper limit. We also prove that, in contrast with the AWGNC case, SS codes for binary input channels have a vanishing error floor in the limit of large codewords. Moreover, the performance of Hadamard-based encoders is assessed for practical implementations

Sparse Estimation with the Swept Approximated Message-Passing Algorithm

Approximate Message Passing (AMP) has been shown to be a superior method for inference problems, such as the recovery of signals from sets of noisy, lower-dimensionality measurements, both in terms of reconstruction accuracy and in computational efficiency. However, AMP suffers from serious convergence issues in contexts that do not exactly match its assumptions. We propose a new approach to stabilizing AMP in these contexts by applying AMP updates to individual coefficients rather than in parallel. Our results show that this change to the AMP iteration can provide theoretically expected, but hitherto unobtainable, performance for problems on which the standard AMP iteration diverges. Additionally, we find that the computational costs of this swept coefficient update scheme is not unduly burdensome, allowing it to be applied efficiently to signals of large dimensionality.Comment: 11 pages, 3 figures, implementation available at https://github.com/eric-tramel/SwAMP-Dem

Dynamical Functional Theory for Compressed Sensing

We introduce a theoretical approach for designing generalizations of the approximate message passing (AMP) algorithm for compressed sensing which are valid for large observation matrices that are drawn from an invariant random matrix ensemble. By design, the fixed points of the algorithm obey the Thouless-Anderson-Palmer (TAP) equations corresponding to the ensemble. Using a dynamical functional approach we are able to derive an effective stochastic process for the marginal statistics of a single component of the dynamics. This allows us to design memory terms in the algorithm in such a way that the resulting fields become Gaussian random variables allowing for an explicit analysis. The asymptotic statistics of these fields are consistent with the replica ansatz of the compressed sensing problem.Comment: 5 pages, accepted for ISIT 201

On Convergence of Approximate Message Passing

Approximate message passing is an iterative algorithm for compressed sensing and related applications. A solid theory about the performance and convergence of the algorithm exists for measurement matrices having iid entries of zero mean. However, it was observed by several authors that for more general matrices the algorithm often encounters convergence problems. In this paper we identify the reason of the non-convergence for measurement matrices with iid entries and non-zero mean in the context of Bayes optimal inference. Finally we demonstrate numerically that when the iterative update is changed from parallel to sequential the convergence is restored.Comment: 5 pages, 3 figure