Plug in estimation in high dimensional linear inverse problems a rigorous analysis

Estimating a vector from noisy linear measurements often requires use of prior knowledge or structural constraints on for accurate reconstruction. Several recent works have considered combining linear least-squares estimation with a generic or 'plug-in' denoiser function that can be designed in a modular manner based on the prior knowledge about . While these methods have shown excellent performance, it has been difficult to obtain rigorous performance guarantees. This work considers plug-in denoising combined with the recently-developed vector approximate message passing (VAMP) algorithm, which is itself derived via expectation propagation techniques. It shown that the mean squared error of this 'plug-and-play' VAMP can be exactly predicted for high-dimensional right-rotationally invariant random and Lipschitz denoisers. The method is demonstrated on applications in image recovery and parametric bilinear estimation. (ml 2019)