Corpus ID: 344476

An equivalence between high dimensional Bayes optimal inference and M-estimation

@inproceedings{Advani2016AnEB,
  title={An equivalence between high dimensional Bayes optimal inference and M-estimation},
  author={Madhu S. Advani and S. Ganguli},
  booktitle={NIPS},
  year={2016}
}
When recovering an unknown signal from noisy measurements, the computational difficulty of performing optimal Bayesian MMSE (minimum mean squared error) inference often necessitates the use of maximum a posteriori (MAP) inference, a special case of regularized M-estimation, as a surrogate. However, MAP is suboptimal in high dimensions, when the number of unknown signal components is similar to the number of measurements. In this work we demonstrate, when the signal distribution and the… Expand
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