Role of Bootstrap Averaging in Generalized Approximate Message Passing

02/02/2023
by   Takashi Takahashi, et al.
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Generalized approximate message passing (GAMP) is a computationally efficient algorithm for estimating an unknown signal w_0∈ℝ^N from a random linear measurement y= Xw_0 + ϵ∈ℝ^M, where X∈ℝ^M× N is a known measurement matrix and ϵ is the noise vector. The salient feature of GAMP is that it can provide an unbiased estimator r̂^ G∼𝒩(w_0, ŝ^2I_N), which can be used for various hypothesis-testing methods. In this study, we consider the bootstrap average of an unbiased estimator of GAMP for the elastic net. By numerically analyzing the state evolution of approximate message passing with resampling, which has been proposed for computing bootstrap statistics of the elastic net estimator, we investigate when the bootstrap averaging reduces the variance of the unbiased estimator and the effect of optimizing the size of each bootstrap sample and hyperparameter of the elastic net regularization in the asymptotic setting M, N→∞, M/N→α∈(0,∞). The results indicate that bootstrap averaging effectively reduces the variance of the unbiased estimator when the actual data generation process is inconsistent with the sparsity assumption of the regularization and the sample size is small. Furthermore, we find that when w_0 is less sparse, and the data size is small, the system undergoes a phase transition. The phase transition indicates the existence of the region where the ensemble average of unbiased estimators of GAMP for the elastic net norm minimization problem yields the unbiased estimator with the minimum variance.

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