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Mismatched Estimation in Large Linear Systems
"... Abstract—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 signal. We focus on large linear systems where the meas ..."
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Abstract—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 signal. We focus on large linear systems where the measurements are acquired via an independent and identically distributed random matrix, and are corrupted by additive white Gaussian noise (AWGN). The relationship between the EMSE in large linear systems and EMSE in scalar channels is derived, and closed form approximations are provided. Our analysis is based on the decoupling principle, which links scalar channels to large linear system analyses. Numerical examples demonstrate that our closed form approximations are accurate. Index Terms—decoupling, large linear systems, mismatched estimation. I.
Empirical Bayes and full Bayes for signal estimation
 in Inf. Theory Appl. Workshop
, 2014
"... Abstract—We consider signals that follow a parametric distribution where the parameter values are unknown. To estimate such signals from noisy measurements in scalar channels, we study the empirical performance of an empirical Bayes (EB) approach and a full Bayes (FB) approach. We then apply EB and ..."
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Abstract—We consider signals that follow a parametric distribution where the parameter values are unknown. To estimate such signals from noisy measurements in scalar channels, we study the empirical performance of an empirical Bayes (EB) approach and a full Bayes (FB) approach. We then apply EB and FB to solve compressed sensing (CS) signal estimation problems by successively denoising a scalar Gaussian channel within an approximate message passing (AMP) framework. Our numerical results show that FB achieves better performance than EB in scalar channel denoising problems when the signal dimension is small. In the CS setting, the signal dimension must be large enough for AMP to work well; for large signal dimensions, AMP has similar performance with FB and EB.
Recovery from Linear Measurements with ComplexityMatching Universal Signal Estimation
"... We study the compressed sensing (CS) signal estimation problem where an input signal is measured via a linear matrix multiplication under additive noise. While this setup usually assumes sparsity or compressibility in the input signal during recovery, the signal structure that can be leveraged is of ..."
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We study the compressed sensing (CS) signal estimation problem where an input signal is measured via a linear matrix multiplication under additive noise. While this setup usually assumes sparsity or compressibility in the input signal during recovery, the signal structure that can be leveraged is often not known a priori. In this paper, we consider universal CS recovery, where the statistics of a stationary ergodic signal source are estimated simultaneously with the signal itself. Inspired by Kolmogorov complexity and minimum description length, we focus on a maximum a posteriori (MAP) estimation framework that leverages universal priors to match the complexity of the source. Our framework can also be applied to general linear inverse problems where more measurements than in CS might be needed. We provide theoretical results that support the algorithmic feasibility of universal MAP estimation using a Markov chain Monte Carlo implementation, which is computationally challenging. We incorporate some techniques to accelerate the algorithm while providing comparable and in many cases better reconstruction quality than existing algorithms. Experimental results show the promise of universality in CS, particularly for lowcomplexity sources that
1TwoPart Reconstruction with NoisySudocodes
"... Abstract—We develop a twopart reconstruction framework for signal recovery in compressed sensing (CS), where a fast algorithm is applied to provide partial recovery in Part 1, and a CS algorithm is applied to complete the residual problem in Part 2. Partitioning the reconstruction process into two ..."
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Abstract—We develop a twopart reconstruction framework for signal recovery in compressed sensing (CS), where a fast algorithm is applied to provide partial recovery in Part 1, and a CS algorithm is applied to complete the residual problem in Part 2. Partitioning the reconstruction process into two complementary parts provides a natural tradeoff between runtime and reconstruction quality. To exploit the advantages of the twopart framework, we propose a NoisySudocodes algorithm that performs twopart reconstruction of sparse signals in the presence of measurement noise. Specifically, we design a fast algorithm for Part 1 of NoisySudocodes that identifies the zero coefficients of the input signal from its noisy measurements. Many existing CS algorithms could be applied to Part 2, and we investigate approximate message passing (AMP) and binary iterative hard thresholding (BIHT). For NoisySudocodes with AMP in Part 2, we provide a theoretical analysis that characterizes the tradeoff between runtime and reconstruction quality. In a 1bit CS setting where a new 1bit quantizer is constructed for Part 1 and BIHT is applied to Part 2, numerical results show that the NoisySudocodes algorithm improves over BIHT in both runtime and reconstruction quality. Index Terms—compressed sensing, twopart reconstruction, 1bit CS. I.
ComplexityMatching Universal Signal Estimation in Compressed Sensing
"... We study the compressed sensing (CS) signal estimation problem where an input signal is measured via a linear matrix multiplication under additive noise. While this setup usually assumes sparsity or compressibility in the input signal during recovery, the signal structure that can be leveraged is of ..."
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We study the compressed sensing (CS) signal estimation problem where an input signal is measured via a linear matrix multiplication under additive noise. While this setup usually assumes sparsity or compressibility in the input signal during recovery, the signal structure that can be leveraged is often not known a priori. In this paper, we consider universal CS recovery, where the statistics of a stationary ergodic signal source are estimated simultaneously with the signal itself. Inspired by Kolmogorov complexity and minimum description length, we focus on a maximum a posteriori (MAP) estimation framework that leverages universal priors to match the complexity of the source. Our framework can also be applied to general linear inverse problems where more measurements than in CS might be needed. We provide theoretical results that support the algorithmic feasibility of universal MAP estimation using a Markov chain Monte Carlo implementation, which is computationally challenging. We incorporate some techniques to accelerate the algorithm while providing comparable and in many cases better reconstruction quality than existing algorithms. Experimental results show the promise of universality in CS, particularly for lowcomplexity sources that