Universal MAP estimator MSE conjecture

Let xRNx\in\mathbb{R}^N be the signal, y=Φx+zy=\Phi x+z the measurement vector, and xMAPUx^U_{MAP} the universal MAP estimator. Assume that ΦRM×N\Phi\in\mathbb{R}^{M\times N} is an i.i.d. Gaussian measurement matrix whose entries have mean zero and variance 1/M1/M, that Condition~ holds, that the aspect ratio R>0R>0 in~, and that zRMz\in\mathbb{R}^M is i.i.d. zero-mean Gaussian noise with finite variance. Universal MAP estimator MSE conjecture. For every ϵ>0\epsilon>0, and for sufficiently large NN,

EX,Z,Φ[xxMAPU2]N<2EX,Z,Φ[xEX[xy,Φ]2]N+ϵ.\frac{E_{X,Z,\Phi}\left[\|x-x^U_{MAP}\|^2\right]}{N}<\frac{2E_{X,Z,\Phi}\left[\|x-E_X[x\mid y,\Phi]\|^2\right]}{N}+\epsilon.

The conjecture says that the universal MAP estimator achieves mean squared error at most twice the MMSE, up to an arbitrarily small additive term, in the large-system limit under the stated measurement and noise assumptions. Its status is not established by the supplied source context.

Sources & referencesView supporting material

Primary source

Junan Zhu, Dror Baron and Marco F. Duarte, “Recovery from Linear Measurements with Complexity-Matching Universal Signal Estimation”, arXiv:1204.2611 (2014).

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