We study compressed sensing (CS) signal reconstruction problems where an input signal is measured via matrix multiplication under additive white Gaussian noise. Our signals are assumed to be stationary and ergodic, but the input statistics are unknown; the goal is to provide reconstruction algorithms that are universal to the input statistics. We present a novel algorithm that combines: (i) the approximate message passing (AMP) CS reconstruction framework, which converts the matrix channel recovery problem into scalar channel denoising; (ii) a universal denoising scheme based on context quantization, which partitions the stationary ergodic signal denoising into independent and identically distributed (i.i.d.) subsequence denoising; and (iii) a density estimation approach that approximates the probability distribution of an i.i.d. sequence by fitting a Gaussian mixture (GM) model. In addition to the algorithmic framework, we provide three contributions: (i) numerical results showing that state evolution holds for non-separable Bayesian sliding-window denoisers; (ii) a universal denoiser that does not require the input signal to be bounded; and (iii) we modify the GM learning algorithm, and extend it to an i.i.d. denoiser. Our universal CS recovery algorithm compares favorably with existing reconstruction algorithms in terms of both reconstruction quality and runtime, despite not knowing the input statistics of the stationary ergodic signal.
@cite_4: We consider compressive imaging problems, where images are reconstructed from a reduced number of linear measurements. Our objective is to improve over existing compressive imaging algorithms in terms of both reconstruction error and runtime. To pursue our objective, we propose compressive imaging algorithms that employ the approximate message passing (AMP) framework. AMP is an iterative signal reconstruction algorithm that performs scalar denoising at each iteration; in order for AMP to reconstruct the original input signal well, a good denoiser must be used. We apply two wavelet-based image denoisers within AMP. The first denoiser is the “amplitude-scale-invariant Bayes estimator” (ABE), and the second is an adaptive Wiener filter; we call our AMP-based algorithms for compressive imaging AMP-ABE and AMP-Wiener. Numerical results show that both AMP-ABE and AMP-Wiener significantly improve over the state of the art in terms of runtime. In terms of reconstruction quality, AMP-Wiener offers lower mean-square error (MSE) than existing compressive imaging algorithms. In contrast, AMP-ABE has higher MSE, because ABE does not denoise as well as the adaptive Wiener filter.
@cite_33: A denoising algorithm seeks to remove noise, errors, or perturbations from a signal. Extensive research has been devoted to this arena over the last several decades, and as a result, todays denoisers can effectively remove large amounts of additive white Gaussian noise. A compressed sensing (CS) reconstruction algorithm seeks to recover a structured signal acquired using a small number of randomized measurements. Typical CS reconstruction algorithms can be cast as iteratively estimating a signal from a perturbed observation. This paper answers a natural question: How can one effectively employ a generic denoiser in a CS reconstruction algorithm? In response, we develop an extension of the approximate message passing (AMP) framework, called Denoising-based AMP (D-AMP), that can integrate a wide class of denoisers within its iterations. We demonstrate that, when used with a high performance denoiser for natural images, D-AMP offers state-of-the-art CS recovery performance while operating tens of times faster than competing methods. We explain the exceptional performance of D-AMP by analyzing some of its theoretical features. A key element in DAMP is the use of an appropriate Onsager correction term in its iterations, which coerces the signal perturbation at each iteration to be very close to the white Gaussian noise that denoisers are typically designed to remove.
@cite_28: “Approximate message passing” (AMP) algorithms have proved to be effective in reconstructing sparse signals from a small number of incoherent linear measurements. Extensive numerical experiments further showed that their dynamics is accurately tracked by a simple one-dimensional iteration termed state evolution. In this paper, we provide rigorous foundation to state evolution. We prove that indeed it holds asymptotically in the large system limit for sensing matrices with independent and identically distributed Gaussian entries. While our focus is on message passing algorithms for compressed sensing, the analysis extends beyond this setting, to a general class of algorithms on dense graphs. In this context, state evolution plays the role that density evolution has for sparse graphs. The proof technique is fundamentally different from the standard approach to density evolution, in that it copes with a large number of short cycles in the underlying factor graph. It relies instead on a conditioning technique recently developed by Erwin Bolthausen in the context of spin glass theory.
@cite_24: Compressed sensing posits that, within limits, one can undersample a sparse signal and yet reconstruct it accurately. Knowing the precise limits to such undersampling is important both for theory and practice. We present a formula that characterizes the allowed undersampling of generalized sparse objects. The formula applies to approximate message passing (AMP) algorithms for compressed sensing, which are here generalized to employ denoising operators besides the traditional scalar soft thresholding denoiser. This paper gives several examples including scalar denoisers not derived from convex penalization-the firm shrinkage nonlinearity and the minimax nonlinearity-and also nonscalar denoisers-block thresholding, monotone regression, and total variation minimization. Let the variables e = k N and δ = n N denote the generalized sparsity and undersampling fractions for sampling the k-generalized-sparse N-vector x0 according to y=Ax0. Here, A is an n×N measurement matrix whose entries are iid standard Gaussian. The formula states that the phase transition curve δ = δ(e) separating successful from unsuccessful reconstruction of x0 by AMP is given by δ = M(e|Denoiser) where M(e|Denoiser) denotes the per-coordinate minimax mean squared error (MSE) of the specified, optimally tuned denoiser in the directly observed problem y = x + z. In short, the phase transition of a noiseless undersampling problem is identical to the minimax MSE in a denoising problem. We prove that this formula follows from state evolution and present numerical results validating it in a wide range of settings. The above formula generates numerous new insights, both in the scalar and in the nonscalar cases.
@cite_17: Compressed sensing aims to undersample certain high-dimensional signals yet accurately reconstruct them by exploiting signal characteristics. Accurate reconstruction is possible when the object to be recovered is sufficiently sparse in a known basis. Currently, the best known sparsity–undersampling tradeoff is achieved when reconstructing by convex optimization, which is expensive in important large-scale applications. Fast iterative thresholding algorithms have been intensively studied as alternatives to convex optimization for large-scale problems. Unfortunately known fast algorithms offer substantially worse sparsity–undersampling tradeoffs than convex optimization. We introduce a simple costless modification to iterative thresholding making the sparsity–undersampling tradeoff of the new algorithms equivalent to that of the corresponding convex optimization procedures. The new iterative-thresholding algorithms are inspired by belief propagation in graphical models. Our empirical measurements of the sparsity–undersampling tradeoff for the new algorithms agree with theoretical calculations. We show that a state evolution formalism correctly derives the true sparsity–undersampling tradeoff. There is a surprising agreement between earlier calculations based on random convex polytopes and this apparently very different theoretical formalism.
Approximate message passing: AMP is an iterative algorithm that solves a linear inverse problem by successively converting the matrix channel problem into scalar channel denoising problems with additive white Gaussian noise (AWGN). AMP has received considerable attention because of its fast convergence and the state evolution (SE) formalism @cite_17 @cite_28 , which offers a precise characterization of the AWGN denoising problem in each iteration. AMP with separable denoisers has been rigorously proved to obey SE @cite_28 . However, for non-i.i.d. signals we may want to explore non-separable denoisers. @cite_24 provide numerical results demonstrating that SE accurately predicts the phase transition of AMP when some well-behaved non-separable minimax denoisers are applied, and conjecture that SE holds for AMP with a broader class of denoisers. A compressive imaging algorithm that applies non-separable image denoisers within AMP appears in @cite_4 . A potential challenge of implementing AMP is to obtain the Onsager correction term @cite_17 , which involves the calculation of the derivative of a denoiser. @cite_33 leverage a Monte Carlo technique to approximate the derivative of a denoiser when an explicit input-output relation of the denoiser is not available, and provide numerical results showing that SE holds for AMP with their approximation.