  In this paper, the problem of developing universal algorithms for compressed
sensing of stochastic processes is studied. First, R\'enyi's notion of
information dimension (ID) is generalized to analog stationary processes. This
provides a measure of complexity for such processes and is connected to the
number of measurements required for their accurate recovery. Then a minimum
entropy pursuit (MEP) optimization approach is proposed, and it is proven that
it can reliably recover any stationary process satisfying some mixing
constraints from sufficient number of randomized linear measurements, without
having any prior information about the distribution of the process. It is
proved that a Lagrangian-type approximation of the MEP optimization problem,
referred to as Lagrangian-MEP problem, is identical to a heuristic
implementable algorithm proposed by Baron et al. It is shown that for the right
choice of parameters the Lagrangian-MEP algorithm, in addition to having the
same asymptotic performance as MEP optimization, is also robust to the
measurement noise. For memoryless sources with a discrete-continuous mixture
distribution, the fundamental limits of the minimum number of required
measurements by a non-universal compressed sensing decoder is characterized by
Wu et al. For such sources, it is proved that there is no loss in universal
coding, and both the MEP and the Lagrangian-MEP asymptotically achieve the
optimal performance.
