Fundamental limits in structured principal component analysis and how to reach them.

How do statistical dependencies in measurement noise influence high-dimensional inference? To answer this, we study the paradigmatic spiked matrix model of principal components analysis (PCA), where a rank-one matrix is corrupted by additive noise. We go beyond the usual independence assumption on the noise entries, by drawing the noise from a low-order polynomial orthogonal matrix ensemble. The resulting noise correlations make the setting relevant for applications but analytically challenging. We provide characterization of the Bayes optimal limits of inference in this model. If the spike is rotation invariant, we show that standard spectral PCA is optimal. However, for more general priors, both PCA and the existing approximate message-passing algorithm (AMP) fall short of achieving the information-theoretic limits, which we compute using the replica method from statistical physics. We thus propose an AMP, inspired by the theory of adaptive Thouless-Anderson-Palmer equations, which is empirically observed to saturate the conjectured theoretical limit. This AMP comes with a rigorous state evolution analysis tracking its performance. Although we focus on specific noise distributions, our methodology can be generalized to a wide class of trace matrix ensembles at the cost of more involved expressions. Finally, despite the seemingly strong assumption of rotation-invariant noise, our theory empirically predicts algorithmic performance on real data, pointing at strong universality properties.

Matrix factorization with neural networks.

Matrix factorization is an important mathematical problem encountered in the context of dictionary learning, recommendation systems, and machine learning. We introduce a decimation scheme that maps it to neural network models of associative memory and provide a detailed theoretical analysis of its performance, showing that decimation is able to factorize extensive-rank matrices and to denoise them efficiently. In the case of binary prior on the signal components, we introduce a decimation algorithm based on a ground-state search of the neural network, which shows performances that match the theoretical prediction.

The Onset of Parisi's Complexity in a Mismatched Inference Problem.

We show that a statistical mechanics model where both the Sherringhton-Kirkpatrick and Hopfield Hamiltonians appear, which is equivalent to a high-dimensional mismatched inference problem, is described by a replica symmetry-breaking Parisi solution.