Title :
MMSE of probabilistic low-rank matrix estimation: Universality with respect to the output channel
Author :
Thibault Lesieur;Florent Krzakala;Lenka Zdeborová
Author_Institution :
IPhT, CEA Saclay, and CNRS, 91191 Gif-sur-Yvette, France
Abstract :
This paper considers probabilistic estimation of a low-rank matrix from non-linear element-wise measurements of its elements. We derive the corresponding approximate message passing (AMP) algorithm and its state evolution. Relying on non-rigorous but standard assumptions motivated by statistical physics, we characterize the minimum mean squared error (MMSE) achievable information theoretically and with the AMP algorithm. Unlike in related problems of linear estimation, in the present setting the MMSE depends on the output channel only trough a single parameter - its Fisher information. We illustrate this striking finding by analysis of submatrix localization, and of detection of communities hidden in a dense stochastic block model. For this example we locate the computational and statistical boundaries that are not equal for rank larger than four.
Keywords :
"Estimation","Mathematical model","Biological system modeling","Message passing","Stochastic processes","Computational modeling","Symmetric matrices"
Conference_Titel :
Communication, Control, and Computing (Allerton), 2015 53rd Annual Allerton Conference on
DOI :
10.1109/ALLERTON.2015.7447070