On the State Evolution of Approximate Message Passing with Discontinuous Denoisers

Abstract: We consider approximate message passing (AMP) with discontinuous denoisers, such as hard slicers, quantizers and hard thresholding, for which the classical state evolution (SE) analysis does not apply. It is first shown that the standard Onsager coefficient; i.e., the average pointwise derivative of the denoiser, misses a boundary term, namely, the sum over the jumps of the jump size times the density of the denoiser input at the jump. Then, for real independent and identically distributed (i.i.d.) Gaussian matrices, a positive noise variance, a fixed number of iterations and a prior with finite second moment, we transfer the Lipschitz SE theorem directly to denoisers, fixed in advance, that are continuously differentiable with bounded derivative except at finitely many jumps, by bounding the distance between the iterates of AMP and of AMP on Lipschitz ramps of the denoisers through the fraction of inputs that cross a jump. It is thereby proven that AMP follows SE, also for test functions such as symbol errors, if its Onsager coefficient contains the boundary term, evaluated either along SE or, as we propose, at the noise level estimated from the residual, with the density computed from the known prior. Simulation results with 4- and 8-level pulse amplitude modulation (PAM) demonstrate that AMP with a hard slicer, whose standard coefficient is identically zero, fails with this coefficient, while with the proposed one, it follows SE and comes close to Bayes-optimal AMP.