212 research outputs found

    Universality in polytope phase transitions and message passing algorithms

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    We consider a class of nonlinear mappings FA,N\mathsf{F}_{A,N} in RN\mathbb{R}^N indexed by symmetric random matrices ARN×NA\in\mathbb{R}^{N\times N} with independent entries. Within spin glass theory, special cases of these mappings correspond to iterating the TAP equations and were studied by Bolthausen [Comm. Math. Phys. 325 (2014) 333-366]. Within information theory, they are known as "approximate message passing" algorithms. We study the high-dimensional (large NN) behavior of the iterates of F\mathsf{F} for polynomial functions F\mathsf{F}, and prove that it is universal; that is, it depends only on the first two moments of the entries of AA, under a sub-Gaussian tail condition. As an application, we prove the universality of a certain phase transition arising in polytope geometry and compressed sensing. This solves, for a broad class of random projections, a conjecture by David Donoho and Jared Tanner.Comment: Published in at http://dx.doi.org/10.1214/14-AAP1010 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

    Compressed Sensing Using Binary Matrices of Nearly Optimal Dimensions

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    In this paper, we study the problem of compressed sensing using binary measurement matrices and 1\ell_1-norm minimization (basis pursuit) as the recovery algorithm. We derive new upper and lower bounds on the number of measurements to achieve robust sparse recovery with binary matrices. We establish sufficient conditions for a column-regular binary matrix to satisfy the robust null space property (RNSP) and show that the associated sufficient conditions % sparsity bounds for robust sparse recovery obtained using the RNSP are better by a factor of (33)/22.6(3 \sqrt{3})/2 \approx 2.6 compared to the sufficient conditions obtained using the restricted isometry property (RIP). Next we derive universal \textit{lower} bounds on the number of measurements that any binary matrix needs to have in order to satisfy the weaker sufficient condition based on the RNSP and show that bipartite graphs of girth six are optimal. Then we display two classes of binary matrices, namely parity check matrices of array codes and Euler squares, which have girth six and are nearly optimal in the sense of almost satisfying the lower bound. In principle, randomly generated Gaussian measurement matrices are "order-optimal". So we compare the phase transition behavior of the basis pursuit formulation using binary array codes and Gaussian matrices and show that (i) there is essentially no difference between the phase transition boundaries in the two cases and (ii) the CPU time of basis pursuit with binary matrices is hundreds of times faster than with Gaussian matrices and the storage requirements are less. Therefore it is suggested that binary matrices are a viable alternative to Gaussian matrices for compressed sensing using basis pursuit. \end{abstract}Comment: 28 pages, 3 figures, 5 table

    Topics in random graphs, combinatorial optimization, and statistical inference

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    The manuscript is made of three chapters presenting three differenttopics on which I worked with Ph.D. students. Each chapter can be read independently of the others andshould be relatively self-contained. Chapter 1 is a gentle introduction to the theory of random graphswith an emphasis on contagions on such networks. In Chapter 2, I explain the main ideas of the objectivemethod developed by Aldous and Steele applied to the spectral measure of random graphs and themonomer-dimer problem. This topic is dear to me and I hope that this chapter will convince the readerthat it is an exciting field of research. Chapter 3 deals with problems in high-dimensional statistics whichnow occupy a large proportion of my time. Unlike Chapters 1 and 2 which could be easily extended inlecture notes, I felt that the material in Chapter 3 was not ready for such a treatment. This field ofresearch is currently very active and I decided to present two of my recent contributions

    On Convergence of Approximate Message Passing

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    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

    Approximate Message Passing for Underdetermined Audio Source Separation

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    Approximate message passing (AMP) algorithms have shown great promise in sparse signal reconstruction due to their low computational requirements and fast convergence to an exact solution. Moreover, they provide a probabilistic framework that is often more intuitive than alternatives such as convex optimisation. In this paper, AMP is used for audio source separation from underdetermined instantaneous mixtures. In the time-frequency domain, it is typical to assume a priori that the sources are sparse, so we solve the corresponding sparse linear inverse problem using AMP. We present a block-based approach that uses AMP to process multiple time-frequency points simultaneously. Two algorithms known as AMP and vector AMP (VAMP) are evaluated in particular. Results show that they are promising in terms of artefact suppression.Comment: Paper accepted for 3rd International Conference on Intelligent Signal Processing (ISP 2017

    Limits on Sparse Data Acquisition: RIC Analysis of Finite Gaussian Matrices

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    One of the key issues in the acquisition of sparse data by means of compressed sensing (CS) is the design of the measurement matrix. Gaussian matrices have been proven to be information-theoretically optimal in terms of minimizing the required number of measurements for sparse recovery. In this paper we provide a new approach for the analysis of the restricted isometry constant (RIC) of finite dimensional Gaussian measurement matrices. The proposed method relies on the exact distributions of the extreme eigenvalues for Wishart matrices. First, we derive the probability that the restricted isometry property is satisfied for a given sufficient recovery condition on the RIC, and propose a probabilistic framework to study both the symmetric and asymmetric RICs. Then, we analyze the recovery of compressible signals in noise through the statistical characterization of stability and robustness. The presented framework determines limits on various sparse recovery algorithms for finite size problems. In particular, it provides a tight lower bound on the maximum sparsity order of the acquired data allowing signal recovery with a given target probability. Also, we derive simple approximations for the RICs based on the Tracy-Widom distribution.Comment: 11 pages, 6 figures, accepted for publication in IEEE transactions on information theor

    Dynamical Functional Theory for Compressed Sensing

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    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
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