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research article

Generalized approximate survey propagation for high-dimensional estimation

Saglietti, Luca  
•
Lu, Yue M.
•
Lucibello, Carlo
December 1, 2020
Journal Of Statistical Mechanics-Theory And Experiment

In generalized linear estimation (GLE) problems, we seek to estimate a signal that is observed through a linear transform followed by a component-wise, possibly nonlinear and noisy, channel. In the Bayesian optimal setting, generalized approximate message passing (GAMP) is known to achieve optimal performance for GLE. However, its performance can significantly degrade whenever there is a mismatch between the assumed and the true generative model, a situation frequently encountered in practice. In this paper, we propose a new algorithm, named generalized approximate survey propagation (GASP), for solving GLE in the presence of prior or model mis-specifications. As a prototypical example, we consider the phase retrieval problem, where we show that GASP outperforms the corresponding GAMP, reducing the reconstruction threshold and, for certain choices of its parameters, approaching Bayesian optimal performance. Furthermore, we present a set of state evolution equations that exactly characterize the dynamics of GASP in the high-dimensional limit.

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Type
research article
DOI
10.1088/1742-5468/abc62c
Web of Science ID

WOS:000600814700001

Author(s)
Saglietti, Luca  
Lu, Yue M.
Lucibello, Carlo
Date Issued

2020-12-01

Publisher

IOP PUBLISHING LTD

Published in
Journal Of Statistical Mechanics-Theory And Experiment
Volume

2020

Issue

12

Article Number

124003

Subjects

Mechanics

•

Physics, Mathematical

•

Physics

•

machine learning

•

message-passing algorithms

•

phase retrieval

•

recovery

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SPOC1  
Available on Infoscience
January 12, 2021
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/174614
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