Universal MAP estimator MSE conjecture

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Let x∈RNx\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 Φ∈RM×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 z∈RMz\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[∥x−xMAPU∥2]N<2EX,Z,Φ[∥x−EX[x∣y,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.

References

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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