Finite Sample Analysis of Approximate Message Passing Algorithms

Approximate message passing (AMP) refers to a class of efficient algorithms for statistical estimation in highdimensional problems such as compressed sensing and lowrank matrix estimation. This paper analyzes the performance of AMP in the regime where the problem dimension is large but finite. For concreteness, we consider the setting of highdimensional regression, where the goal is to estimate a highdimensional vector β0 from a noisy measurement y = Aβ₀ + ω. AMP is a low-complexity, scalable algorithm for this problem. Under suitable assumptions on the measurement matrix A, AMP has the attractive feature that its performance can be accurately characterized in the large system limit by a simple scalar iteration called state evolution. Previous proofs of the validity of state evolution have all been asymptotic convergence results. In this paper, we derive a concentration inequality for AMP with Gaussian matrices with independent and identically distributed (i.i.d.) entries and finite dimension n × N. The result shows that the probability of deviation from the state evolution prediction falls exponentially in n. This provides theoretical support for empirical findings that have demonstrated excellent agreement of AMP performance with state evolution predictions for moderately large dimensions. The concentration inequality also indicates that the number of AMP iterations t can grow no faster than order (log n/log log n) for the performance to be close to the state evolution predictions with high probability. The analysis can be extended to obtain similar non-asymptotic results for AMP in other settings such as low-rank matrix estimation.