Analysis of regularized LS reconstruction and random matrix ensembles in compressed sensing

Performance of regularized least-squares estimation in noisy compressed sensing is studied in the limit when the problem dimensions grow large. The sensing matrix is sampled from the rotationally invariant ensemble that encloses as special cases the standard IID and row-orthogonal constructions. The analysis is carried out using the replica method in conjunction with some novel matrix integration results. The numerical experiments show that for noisy compressed sensing, the standard IID ensemble is a suboptimal choice for the measurement matrix. Orthogonal constructions provide a superior performance in all considered scenarios and are easier to implement in practice.