Accurate Prediction of Phase Transitions in Compressed Sensing via a Connection to Minimax Denoising

Compressed sensing posits that, within limits, one can undersample a sparse signal and yet reconstruct it accurately. Knowing the precise limits to such undersampling is important both for theory and practice. We present a formula that characterizes the allowed undersampling of generalized sparse objects. The formula applies to approximate message passing (AMP) algorithms for compressed sensing, which are here generalized to employ denoising operators besides the traditional scalar soft thresholding denoiser. This paper gives several examples including scalar denoisers not derived from convex penalization-the firm shrinkage nonlinearity and the minimax nonlinearity-and also nonscalar denoisers-block thresholding, monotone regression, and total variation minimization. Let the variables epsilon = k/N and delta = n/N denote the generalized sparsity and undersampling fractions for sampling the k-generalized-sparse N-vector x(0) according to y = Ax(0). Here, A is an n x N measurement matrix whose entries are iid standard Gaussian. The formula states that the phase transition curve delta = delta(epsilon) separating successful from unsuccessful reconstruction of x(0) by AMP is given by delta = M(epsilon vertical bar Denoiser) where M(epsilon vertical bar Denoiser) denotes the per-coordinate minimax mean squared error (MSE) of the specified, optimally tuned denoiser in the directly observed problem y = x + z. In short, the phase transition of a noiseless undersampling problem is identical to the minimax MSE in a denoising problem. We prove that this formula follows from state evolution and present numerical results validating it in a wide range of settings. The above formula generates numerous new insights, both in the scalar and in the nonscalar cases.