A Unifying Tutorial on Approximate Message Passing

DOI10.1561/2200000092MaRDI QIDQ5863992zbMATH OpenOpenAlexFDO

Authors Oliver Y. Feng, Ramji Venkataramanan, Cynthia Rush, Richard Samworth

Publication date 3 June 2022

Published in Foundations and Trends® in Machine Learning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.02180

zbMATH Keywords

regressionrandomized algorithmsinformation theorydesign and analysis of algorithmsstatistical machine learningstatistical signal processing: estimation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Learning and adaptive systems in artificial intelligence (68T05) Research exposition (monographs, survey articles) pertaining to computer science (68-02) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Abstract: Over the last decade or so, Approximate Message Passing (AMP) algorithms have become extremely popular in various structured high-dimensional statistical problems. The fact that the origins of these techniques can be traced back to notions of belief propagation in the statistical physics literature lends a certain mystique to the area for many statisticians. Our goal in this work is to present the main ideas of AMP from a statistical perspective, to illustrate the power and flexibility of the AMP framework. Along the way, we strengthen and unify many of the results in the existing literature.

Recommendations

• Approximate Message Passing With Consistent Parameter Estimation and Applications to Sparse Learning
• On the Convergence of Approximate Message Passing With Arbitrary Matrices
• Approximate Message Passing Algorithm With Universal Denoising and Gaussian Mixture Learning
• Universality of approximate message passing algorithms
• Vector Approximate Message Passing
• Approximate message passing with spectral initialization for generalized linear models*
• Hybrid Approximate Message Passing
• Expectation-Maximization Gaussian-Mixture Approximate Message Passing
• Bilinear Generalized Approximate Message Passing—Part I: Derivation

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Cited in

(22)

• Approximate Message Passing With Consistent Parameter Estimation and Applications to Sparse Learning
• Universality of approximate message passing algorithms
• Equilibria of large random Lotka-Volterra systems with vanishing species: a mathematical approach
• Universality of approximate message passing with semirandom matrices
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• State evolution for general approximate message passing algorithms, with applications to spatial coupling
• A tradeoff between false discovery and true positive proportions for sparse high-dimensional logistic regression
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• A precise high-dimensional asymptotic theory for boosting and minimum-\(\ell_1\)-norm interpolated classifiers
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• High-temperature expansions and message passing algorithms
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• A Friendly Tutorial on Mean-Field Spin Glass Techniques for Non-Physicists
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• Hybrid Approximate Message Passing
• Approximate message passing with rigorous guarantees for pooled data and quantitative group testing
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• Optimization algorithms for multi-species spherical spin glasses

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