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Main -> Users' Guide and Examples -> Sparse Vector Estimation.

## Program Edit

The code for the example is in examples/sparseEstim/sparseAWGN.m in the directory gampmatlab/trunk/code.

To run the code, simply cd to that directory and run sparseAWGN at the MATLAB prompty. You will see a plot of a sparse vector and its estimate.

## Problem Description Edit

The previous Gaussian example illustrated the basic syntax of the gampEst function for the standard problem of estimating a Gaussian random vector. In this example, we consider a more interesting problem and show how to use the code for a simple problem in compressed sensing. Compressed sensing concerns the estimation of sparse vectors from large random linear measurements. A vector $\mathbf{x} \in R^n$ is sparse, if only a small fraction of its components are non-zero. We consider the problem of estimating a random sparse vector $\mathbf{x}$ through random linear measurements of the form

$\quad \mathbf{y}=\mathbf{z} + \mathbf{w}, \quad \mathbf{z}= \mathbf{A}\mathbf{x}, \quad (1)$

where $\mathbf{A}$ is a Gaussian random matrix and $\mathbf{w}$ is Gaussian noise. The AWGN observation model (1) is identical to the Gaussian example. The difference in this example is the distribution on the components of the unknown vector $\mathbf{x}$. The gampmatlab package can incorporate many distributions for sparse random vectors. For illustration, we consider a simple model for the vector $\mathbf{x}$ where the components are i.i.d and follow a Gaussian-Bernoulli distribution

$x_j \sim \left\{ \begin{array}{ll} 0 & \mbox{with probability } 1-\rho \\ {\mathcal N}(0,1) & \mbox{with probability } \rho \end{array} \right.$

where $\rho$ represents the average fraction of non-zero components. The problem is to estimate the vector $\mathbf{x}$ from the measurement vector $\mathbf{y}$.

## MATLAB Program Description Edit

### Generation of the Data Edit

The beginning of the code is similar to the Gaussian example and adds the MATLAB path and sets the problem dimensions:

% Set path to the main directory
addpath('../../main/');

% Parameters
nx = 200;         % Number of input components (dimension of x)
nz = 100;         % Number of output components (dimension of y)
sparseRat = 0.1;    % fraction of components of x that are non-zero
snr = 20;           % SNR in dB.

We see one additional parameter sparseRat which represents the sparsity ratio $\rho$. Note that the number of measurements, nz is less than the signal dimension nx. That is, the vector is under-determined. A property of sparse estimation, is that, due to the sparsity constraint, we will still be able to estimate $\mathbf{x}$ well. Again, feel free to try out different values.

Most of the rest of the initial part of the code is identical to the Gaussian example. The one change is to generate a random Gauss-Bernoulli random vector $\mathbf{x}$. The vector is generated by the code

xmean0 = 0;
xvar0 = 1;
x0 = normrnd(xmean0, sqrt(xvar0),nx,1); % a dense Gaussian vector
x = x0.*(rand(nx,1) < sparseRat);       % insert zeros

where the final lines zero out the a random subset of the components making it sparse. As in the Gaussian example, the matrix $\mathbf{A}$ and the noise vector $\mathbf{w}$ are generated with Gaussian i.i.d. components, with the noise scaled according to the parameter snr:

% Create a random measurement matrix
A = (1/sqrt(nx))*randn(nz,nx);

% Compute the noise level based on the specified SNR. Since the components
% of A have power 1/nx, the E|y(i)|^2 = E|x(j)|^2 = sparseRat.
wvar = 10^(-0.1*snr)*xvar0*sparseRat;
w = normrnd(0, sqrt(wvar), nz, 1);
y = A*x + w;

### Solution via GAMP Edit

The command to estimate the $\mathbf{x}$ from the measurement vector $\mathbf{y}$ is identical to the Gaussian example and uses the gampEst function that appears near the bottom of the file:

[xhat, xvar] = gampEst(inputEst, outputEst, A, opt);

The only argument that needs to be changed from the Gaussian example is the the EstimIn class inputEst to specify the Gauss-Bernoulli distribution.

An EstimIn estimator class for a sparse distributions that arises from a mixtures of a point mass at zero and some other distribution can be created via the SparseScaEstim class. The estimator class is created in two steps. First, we create an input estimator corresponding to the distribution of the non-zero components. Since, in this example, the non-zero components are Gaussian, we use the pre-built AwgnEstimIn class with the line:

inputEst0 = AwgnEstimIn(xmean0, xvar0);

This step is identical to the Gaussian example. Then, we build the inputEst class from inputEst0 through the function

inputEst = SparseScaEstim( inputEst0, sparseRat );

which creates a new estimator class corresponding to a random vector with components that are zero with probability 1-sparseRat and distribution inputEst0 with probability sparseRat.

The function SparseScaEstim can be used to "sparsify" any distribution. That is, suppose you start with an input estimator class inputEst0 corresponding to some distribution $P_0(x)$ on the components of the vector $\mathbf{x}$. Then, the function inputEst = SparseScaEstim( inputEst0, sparseRat ) creates a new input estimation class corresponding to the distribution of components that are zero with probability 1-sparseRat and follow $P_0(x)$ with probability sparseRat. Such methods to rapidly create new and complex distributions is one of the benefits of the object-oriented approach.

The output estimator class outputEst is created identically to the Gaussian example using the pre-built AwgnEstimOut class.

With the estimator classes defined, the program then calls gampEst which returns an estimate vector xhat. The program concludes by plotting x and xhat. You should see that GAMP is successful.