Expectation Propagation for Approximate Inference: Free Probability Framework

We study asymptotic properties of expectation propagation (EP) -- a method for approximate inference originally developed in the field of machine learning. Applied to generalized linear models, EP iteratively computes a multivariate Gaussian approximation to the exact posterior distribution. The computational complexity of the repeated update of covariance matrices severely limits the application of EP to large problem sizes. In this study, we present a rigorous analysis by means of free probability theory that allows us to overcome this computational bottleneck if specific data matrices in the problem fulfill certain properties of asymptotic freeness. We demonstrate the relevance of our approach on the gene selection problem of a microarray dataset.Comment: Both authors are co-first authors. The main body of this paper is accepted for publication in the proceedings of the 2018 IEEE International Symposium on Information Theory (ISIT

A Theory of Solving TAP Equations for Ising Models with General Invariant Random Matrices

We consider the problem of solving TAP mean field equations by iteration for Ising model with coupling matrices that are drawn at random from general invariant ensembles. We develop an analysis of iterative algorithms using a dynamical functional approach that in the thermodynamic limit yields an effective dynamics of a single variable trajectory. Our main novel contribution is the expression for the implicit memory term of the dynamics for general invariant ensembles. By subtracting these terms, that depend on magnetizations at previous time steps, the implicit memory terms cancel making the iteration dependent on a Gaussian distributed field only. The TAP magnetizations are stable fixed points if an AT stability criterion is fulfilled. We illustrate our method explicitly for coupling matrices drawn from the random orthogonal ensemble.Comment: 27 pages, 6 Figures Published in Journal of Physics A: Mathematical and Theoretical, Volume 49, Number 11, 201

S-AMP: Approximate Message Passing for General Matrix Ensembles

In this work we propose a novel iterative estimation algorithm for linear observation systems called S-AMP whose fixed points are the stationary points of the exact Gibbs free energy under a set of (first- and second-) moment consistency constraints in the large system limit. S-AMP extends the approximate message-passing (AMP) algorithm to general matrix ensembles. The generalization is based on the S-transform (in free probability) of the spectrum of the measurement matrix. Furthermore, we show that the optimality of S-AMP follows directly from its design rather than from solving a separate optimization problem as done for AMP.Comment: 5 pages, 1 figur

S-AMP for Non-linear Observation Models

Recently we extended Approximate message passing (AMP) algorithm to be able to handle general invariant matrix ensembles. In this contribution we extend our S-AMP approach to non-linear observation models. We obtain generalized AMP (GAMP) algorithm as the special case when the measurement matrix has zero-mean iid Gaussian entries. Our derivation is based upon 1) deriving expectation propagation (EP) like algorithms from the stationary-points equations of the Gibbs free energy under first- and second-moment constraints and 2) applying additive free convolution in free probability theory to get low-complexity updates for the second moment quantities.Comment: 6 page

Exact solution to the random sequential dynamics of a message passing algorithm

We analyze the random sequential dynamics of a message passing algorithm for Ising models with random interactions in the large system limit. We derive exact results for the two-time correlation functions and the speed of convergence. The {\em de Almedia-Thouless} stability criterion of the static problem is found to be necessary and sufficient for the global convergence of the random sequential dynamics.Comment: Accepted for publication in Physical Review E Lette

Capacity Scaling in MIMO Systems with General Unitarily Invariant Random Matrices

We investigate the capacity scaling of MIMO systems with the system dimensions. To that end, we quantify how the mutual information varies when the number of antennas (at either the receiver or transmitter side) is altered. For a system comprising $R$ receive and $T$ transmit antennas with $R>T$, we find the following: By removing as many receive antennas as needed to obtain a square system (provided the channel matrices before and after the removal have full rank) the maximum resulting loss of mutual information over all signal-to-noise ratios (SNRs) depends only on $R$, $T$ and the matrix of left-singular vectors of the initial channel matrix, but not on its singular values. In particular, if the latter matrix is Haar distributed the ergodic rate loss is given by $\sum_{t=1}^{T}\sum_{r=T+1}^{R}\frac{1}{r-t}$ nats. Under the same assumption, if $T,R\to \infty$ with the ratio $\phi\triangleq T/R$ fixed, the rate loss normalized by $R$ converges almost surely to $H(\phi)$ bits with $H(\cdot)$ denoting the binary entropy function. We also quantify and study how the mutual information as a function of the system dimensions deviates from the traditionally assumed linear growth in the minimum of the system dimensions at high SNR.Comment: Accepted for publication in the IEEE Transactions on Information Theor

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