Expectation-Maximization Gaussian-Mixture Approximate Message Passing

DOI10.1109/TSP.2013.2272287MaRDI QIDQ4578742zbMATH OpenFDO

Authors Jeremy P. Vila, Philip Schniter

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.3107

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: When recovering a sparse signal from noisy compressive linear measurements, the distribution of the signal's non-zero coefficients can have a profound effect on recovery mean-squared error (MSE). If this distribution was apriori known, then one could use computationally efficient approximate message passing (AMP) techniques for nearly minimum MSE (MMSE) recovery. In practice, though, the distribution is unknown, motivating the use of robust algorithms like LASSO---which is nearly minimax optimal---at the cost of significantly larger MSE for non-least-favorable distributions. As an alternative, we propose an empirical-Bayesian technique that simultaneously learns the signal distribution while MMSE-recovering the signal---according to the learned distribution---using AMP. In particular, we model the non-zero distribution as a Gaussian mixture, and learn its parameters through expectation maximization, using AMP to implement the expectation step. Numerical experiments on a wide range of signal classes confirm the state-of-the-art performance of our approach, in both reconstruction error and runtime, in the high-dimensional regime, for most (but not all) sensing operators.

Cited in

(15)

• Content-aware compressive sensing recovery using Laplacian scale mixture priors and side information
• Learning along a channel: the expectation part of expectation-maximisation
• Sparsity constrained estimation in image processing and computer vision
• Hybrid Approximate Message Passing
• Bayesian inference for spatio-temporal spike-and-slab priors
• Compressive Computed Tomography Reconstruction through Denoising Approximate Message Passing
• Analysis of Approximate Message Passing With Non-Separable Denoisers and Markov Random Field Priors
• A message-passing approach to phase retrieval of sparse signals
• A Unifying Tutorial on Approximate Message Passing
• Replica analysis of overfitting in generalized linear regression models
• Framework for segmented threshold \(\ell_0\) gradient approximation based network for sparse signal recovery
• Scalable spatio‐temporal Bayesian analysis of high‐dimensional electroencephalography data
• Sparse Bayesian learning approach for discrete signal reconstruction
• Expectation maximization algorithm for GPS positioning in multipath environments based on Volterra series
• Distributed learning and optimization of a multi-agent macroscopic probabilistic model

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