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Approximate-message passing (AMP) algorithms have become an important element of high-dimensional statistical inference, mostly due to their adaptability and concentration properties, the state evolution (SE) equations. This is demonstrated…
We study high-dimensional convex empirical risk minimization (ERM) under general non-Gaussian data designs. By heuristically extending the Convex Gaussian Min-Max Theorem (CGMT) to non-Gaussian settings, we derive an asymptotic min-max…
A celebrated result by Gordon allows one to compare the min-max behavior of two Gaussian processes if certain inequality conditions are met. The consequences of this result include the Gaussian min-max (GMT) and convex Gaussian min-max…
Despite their elegance and widespread use, the current Geometric Measures (GMs) of entanglement exhibit a significant limitation: they fail to effectively distinguish Local Unitary (LU) inequivalent states due to the inherent nature of…
Gaussian and quadratic approximations of message passing algorithms on graphs have attracted considerable recent attention due to their computational simplicity, analytic tractability, and wide applicability in optimization and statistical…
We consider the estimation of an i.i.d. (possibly non-Gaussian) vector $\xbf \in \R^n$ from measurements $\ybf \in \R^m$ obtained by a general cascade model consisting of a known linear transform followed by a probabilistic componentwise…
Approximate message passing (AMP) type algorithms have been widely used in the signal reconstruction of certain large random linear systems. A key feature of the AMP-type algorithms is that their dynamics can be correctly described by state…
We study the excess mean square error (EMSE) above the minimum mean square error (MMSE) in large linear systems where the posterior mean estimator (PME) is evaluated with a postulated prior that differs from the true prior of the input…
We study the problem of regression in a generalized linear model (GLM) with multiple signals and latent variables. This model, which we call a matrix GLM, covers many widely studied problems in statistical learning, including mixed linear…
The minimum probability of error (MPE) measurement discriminates between a set of candidate quantum states with the minimum average error probability allowed by quantum mechanics. Conditions for a measurement to be MPE were derived by Yuen,…
In a recent article (Proc. Natl. Acad. Sci., 110(36), 14557-14562), El Karoui et al. study the distribution of robust regression estimators in the regime in which the number of parameters p is of the same order as the number of samples n.…
State-space models are ubiquitous in the statistical literature since they provide a flexible and interpretable framework for analyzing many time series. In most practical applications, the state-space model is specified through a…
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…
In cosparse analysis compressive sensing (CS), one seeks to estimate a non-sparse signal vector from noisy sub-Nyquist linear measurements by exploiting the knowledge that a given linear transform of the signal is cosparse, i.e., has…
The analytic characterization of the high-dimensional behavior of optimization for Generalized Linear Models (GLMs) with Gaussian data has been a central focus in statistics and probability in recent years. While convex cases, such as the…
Computational measures of semantic similarity between geographic terms provide valuable support across geographic information retrieval, data mining, and information integration. To date, a wide variety of approaches to geo-semantic…
The generalized approximate message passing (GAMP) algorithm is an efficient method of MAP or approximate-MMSE estimation of $x$ observed from a noisy version of the transform coefficients $z = Ax$. In fact, for large zero-mean i.i.d…
We consider the problem of reconstructing a signal from multi-layered (possibly) non-linear measurements. Using non-rigorous but standard methods from statistical physics we present the Multi-Layer Approximate Message Passing (ML-AMP)…
This paper presents a unified framework to understand the dynamics of message-passing algorithms in compressed sensing. State evolution is rigorously analyzed for a general error model that contains the error model of approximate…
Approximate Message Passing (AMP), originally designed to solve high-dimensional linear inverse problems, has found broad applications in signal processing and statistical inference. Among its key variants, Vector Approximate Message…