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Generalized approximate message passing (GAMP) and generalized vector AMP (GVAMP) are Bayes-optimal algorithms widely used for unknown signal reconstruction of generalized linear models (GLM). However, they both have their own limitations, i.e., either requirements for independent and identically distributed (IID) transformation matrices or high…
All MATLAB Code and examples related to a Semi-Parametric Vector Generalized Linear Model Solver. The univariate case of this method was first proposed by Huang (2014) in Joint Estimation of the Mean and Error Distribution in Generalized Linear Models https://doi.org/10.1080/01621459.2013.824892