Vector Approximate Message Passing (VAMP)

Iterative algorithm for solving linear inverse problems based on proximal operations

https://arxiv.org/abs/1610.03082 (Rangan, Schniter, Fletcher)

Currently supports solving linear inverse problems of the form

$$\underset{x}{\rm minimize} \tfrac12 ||y-Ax||^2 + \lambda * R(x)$$

For the following functions R(x)

1. LASSO: ||x||_1
2. Ridge regression: 0.5 * ||x||^2
3. Lp regression: ||x||_p^p / p for p > 1
4. Elastic Net: l1_ratio * ||x||_1 + (1 - l1_ratio) * 0.5 * ||x||^2