This paper concerns the performance of the LASSO (also knows as basis pursuit denoising) for recovering sparse signals from undersampled, randomized, noisy measurements. We consider the recovery of the signal from random and noisy linear observations , where is the measurement matrix and is the noise. The LASSO estimate is given by the solution to the optimization problem with . Despite major progress in the theoretical analysis of the LASSO solution, little is known about its behavior as a function of the regularization parameter . In this paper we study two questions in the asymptotic setting (i.e., where , while the ratio converges to a fixed number in ): (i) How does the size of the active set behave as a function of , and (ii) How does the mean square error behave as a function of ? We then employ these results in a new, reliable algorithm for solving LASSO based on approximate message passing (AMP).
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