We consider the problem of reconstructing the signal and the hidden variables from observations coming from a multi-layer network with rotationally invariant weight matrices. The multi-layer structure models inference from deep generative priors, and the rotational invariance imposed on the weights generalizes the i.i.d.\ Gaussian assumption by allowing for a complex correlation structure, which is typical in applications. In this work, we present a new class of approximate message passing (AMP) algorithms and give a state evolution recursion which precisely characterizes their performance in the large system limit. In contrast with the existing multi-layer VAMP (ML-VAMP) approach, our proposed AMP -- dubbed multi-layer rotationally invariant generalized AMP (ML-RI-GAMP) -- provides a natural generalization beyond Gaussian designs, in the sense that it recovers the existing Gaussian AMP as a special case. Furthermore, ML-RI-GAMP exhibits a significantly lower complexity than ML-VAMP, as the computationally intensive singular value decomposition is replaced by an estimation of the moments of the design matrices. Finally, our numerical results show that this complexity gain comes at little to no cost in the performance of the algorithm.

Deep generative priors are a powerful tool for reconstruction problems with complex data such as images and text. Inverse problems using such models require solving an inference problem of estimating the input and hidden units of the multi-layer network from its output. Maximum a priori (MAP) estimation is a widely-used inference method as it is straightforward to implement, and has been successful in practice. However, rigorous analysis of MAP inference in multi-layer networks is difficult. This work considers a recently-developed method, multi-layer vector approximate message passing (ML-VAMP), to study MAP inference in deep networks. It is shown that the mean squared error of the ML-VAMP estimate can be exactly and rigorously characterized in a certain high-dimensional random limit. The proposed method thus provides a tractable method for MAP inference with exact performance guarantees.