A Non-Asymptotic Analysis of Generalized Vector Approximate Message Passing Algorithms With Rotationally Invariant Designs

Approximate Message Passing (AMP) algorithms are a class of iterative procedures for computationally-efficient estimation in high-dimensional inference and estimation tasks. Due to the presence of an ‘Onsager’ correction term in its iterates, for
$N \times M$
design matrices A with i.i.d. Gaussian entries, the asymptotic distribution of the estimate at any iteration of the algorithm can be exactly characterized in the large system limit as
$M/N\to \delta \in (0,\infty)$
via a scalar recursion referred to as state evolution. In this paper, we show that appropriate functionals of the iterates, in fact, concentrate around their limiting values predicted by these asymptotic distributions with rates exponentially fast in N for a large class of AMP-style algorithms, including those that are used when high-dimensional generalized linear regression models are assumed to be the data-generating process, like the generalized AMP algorithm, or those that are used when the measurement matrix is assumed to be rotationally invariant instead of i.i.d. Gaussian, like vector AMP and generalized vector AMP. In practice, these more general AMP algorithms have many applications, for example in communications or imaging, and this work provides the first study of finite sample behavior of such algorithms.