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We discuss the prediction accuracy of assumed statistical models in terms of prediction errors for the generalized linear model and penalized maximum likelihood methods. We derive the forms of estimators for the prediction errors, such as…
Generalised approximate message passing (GAMP) is an approximate Bayesian estimation algorithm for signals observed through a linear transform with a possibly non-linear subsequent measurement model. By leveraging prior information about…
We consider the estimation of an i.i.d.\ random vector observed through a linear transform followed by a componentwise, probabilistic (possibly nonlinear) measurement channel. A novel algorithm, called generalized approximate message…
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…
For the problem of binary linear classification and feature selection, we propose algorithmic approaches to classifier design based on the generalized approximate message passing (GAMP) algorithm, recently proposed in the context of…
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…
Estimation of a vector from quantized linear measurements is a common problem for which simple linear techniques are suboptimal -- sometimes greatly so. This paper develops generalized approximate message passing (GAMP) algorithms for…
The estimation of a random vector with independent components passed through a linear transform followed by a componentwise (possibly nonlinear) output map arises in a range of applications. Approximate message passing (AMP) methods, based…
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…
Generalized approximate message passing (GAMP) is a promising technique for unknown signal reconstruction of generalized linear models (GLM). However, it requires that the transformation matrix has independent and identically distributed…
The generalized approximate message passing (GAMP) algorithm under the Bayesian setting shows advantage in recovering under-sampled sparse signals from corrupted observations. Compared to conventional convex optimization methods, it has a…
We consider the problem of localizing change points in a generalized linear model (GLM), a model that covers many widely studied problems in statistical learning including linear, logistic, and rectified linear regression. We propose a…
We consider the problem of signal estimation in generalized linear models defined via rotationally invariant design matrices. Since these matrices can have an arbitrary spectral distribution, this model is well suited for capturing complex…
Approximate message passing (AMP) is a low-cost iterative parameter-estimation technique for certain high-dimensional linear systems with non-Gaussian distributions. However, AMP only applies to independent identically distributed (IID)…
We consider the problem of recovering an unknown signal ${\mathbf x}\in {\mathbb R}^n$ from general nonlinear measurements obtained through a generalized linear model (GLM), i.e., ${\mathbf y}= f\left({\mathbf A}{\mathbf x}+{\mathbf…
The generalized linear model (GLM), where a random vector $\boldsymbol{x}$ is observed through a noisy, possibly nonlinear, function of a linear transform output $\boldsymbol{z}=\boldsymbol{Ax}$, arises in a range of applications such as…
We consider the problem of estimating a signal from measurements obtained via a generalized linear model. We focus on estimators based on approximate message passing (AMP), a family of iterative algorithms with many appealing features: the…
Applications such as traffic engineering and network provisioning can greatly benefit from knowing, in real time, what is the largest input rate at which it is possible to transmit on a given path without causing congestion. We consider a…
Recently we extended Approximate message passing (AMP) algorithm to be able to handle general invariant matrix ensembles. In this contribution we extend our S-AMP approach to non-linear observation models. We obtain generalized AMP (GAMP)…
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…