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Generalized Approximate Message Passing for Estimation with Random Linear Mixing

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 passing (GAMP), is presented that provides computationally efficient approximate implementations of max-sum and sum-problem loopy belief propagation for such problems. The algorithm extends earlier approximate message passing methods to incorporate arbitrary distributions on both the input and output of the transform and can be applied to a wide range of problems in nonlinear compressed sensing and learning. Extending an analysis by Bayati and Montanari, we argue that the asymptotic componentwise behavior of the GAMP method under large, i.i.d. Gaussian transforms is described by a simple set of state evolution (SE) equations. From the SE equations, one can \emph{exactly} predict the asymptotic value of virtually any componentwise performance metric including mean-squared error or detection accuracy. Moreover, the analysis is valid for arbitrary input and output distributions, even when the corresponding optimization problems are non-convex. The results match predictions by Guo and Wang for relaxed belief propagation on large sparse matrices and, in certain instances, also agree with the optimal performance predicted by the replica method. The GAMP methodology thus provides a computationally efficient methodology, applicable to a large class of non-Gaussian estimation problems with precise asymptotic performance guarantees.