Determining the convergence of variance in Gaussian belief propagation via semi-definite programming

In order to compute the marginal distribution from a high dimensional distribution with loopy Gaussian belief propagation (BP), it is important to determine whether Gaussian BP would converge. In general, the convergence condition for Gaussian BP variance and mean are not necessarily the same, and this paper focuses on the convergence condition of Gaussian BP variance. In particular, by describing the message-passing process of Gaussian BP as a set of updating functions, the necessary and sufficient convergence condition of Gaussian BP variance is derived, with the converged variance proved to be independent of the initialization as long as it is greater or equal to zero. It is further proved that the convergence condition can be verified efficiently by solving a semi-definite programming (SDP) optimization problem. Numerical examples are presented to corroborate the established theories.