An Empirical-Bayes Approach to Recovering Linearly Constrained Non-Negative Sparse Signals

DOI10.1109/TSP.2014.2337841zbMATH Open1394.94617arXiv1310.2806OpenAlexW2894923989MaRDI QIDQ4579435FDOQ4579435

Authors: Jeremy P. Vila, Philip Schniter 

Publication date: 22 August 2018

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

Abstract: We propose two novel approaches to the recovery of an (approximately) sparse signal from noisy linear measurements in the case that the signal is a priori known to be non-negative and obey given linear equality constraints, such as simplex signals. This problem arises in, e.g., hyperspectral imaging, portfolio optimization, density estimation, and certain cases of compressive imaging. Our first approach solves a linearly constrained non-negative version of LASSO using the max-sum version of the generalized approximate message passing (GAMP) algorithm, where we consider both quadratic and absolute loss, and where we propose a novel approach to tuning the LASSO regularization parameter via the expectation maximization (EM) algorithm. Our second approach is based on the sum-product version of the GAMP algorithm, where we propose the use of a Bernoulli non-negative Gaussian-mixture signal prior and a Laplacian likelihood, and propose an EM-based approach to learning the underlying statistical parameters. In both approaches, the linear equality constraints are enforced by augmenting GAMP's generalized-linear observation model with noiseless pseudo-measurements. Extensive numerical experiments demonstrate the state-of-the-art performance of our proposed approaches.

Full work available at URL: https://arxiv.org/abs/1310.2806

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Mathematics Subject Classification ID

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

Cited In (4)

• One-sided empirical Bayes test for location parameter in Gamma distribution
• A message-passing approach to phase retrieval of sparse signals
• Two-sided empirical Bayes test for location parameter in the gamma distribution
• Compressive Computed Tomography Reconstruction through Denoising Approximate Message Passing

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