(05/01/19) ICML paper: Approximate survey propagation for high-dimensional estimation

May 1, 2019
In Generalized Linear Estimation (GLE) problems, one seeks 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 Approximate Message Passing (GAMP) is known to achieve optimal performance for GLE. However, its performance can significantly degrade whenever there is a mismatch between the assumed and the true generative model, a situation frequently encountered in practice. In our new paper, we propose a new algorithm, named Generalized Approximate Survey Propagation (GASP), for solving GLE in the presence of prior or model mis-specifications.