Approximate Message Passing Algorithms

Explore the fundamentals of Approximate Message Passing (AMP) algorithms in this comprehensive lecture by Cynthia Rush from Columbia University. Delve into the computational complexity of statistical inference, understanding the motivation behind AMP and its applications. Learn about the asymptotic regime, abstract approach, and key concepts such as state evolution and pseudolipschitz functions. Examine the theoretical aspects, including convergence properties and joint distribution analysis. Conclude with an in-depth look at rank 1 matrix estimation, gaining valuable insights into this powerful statistical inference technique.