Plug-in Estimation in High-Dimensional Linear Inverse Problems: A Rigorous Analysis

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

Authors

Alyson K. Fletcher, Parthe Pandit, Sundeep Rangan, Subrata Sarkar, Philip Schniter

Abstract

Estimating a vector $\mathbf{x}$ from noisy linear measurements $\mathbf{Ax+w}$ often requires use of prior knowledge or structural constraints on $\mathbf{x}$ for accurate reconstruction. Several recent works have considered combining linear least-squares estimation with a generic or plug-in denoiser" function that can be designed in a modular manner based on the prior knowledge about $\mathbf{x}$. While these methods have shown excellent performance, it has been difficult to obtain rigorous performance guarantees. This work considers plug-in denoising combined with the recently-developed Vector Approximate Message Passing (VAMP) algorithm, which is itself derived via Expectation Propagation techniques. It shown that the mean squared error of this plug-in" VAMP can be exactly predicted for a large class of high-dimensional random $\Abf$ and denoisers. The method is illustrated in image reconstruction and parametric bilinear estimation.