Dimensionality Reduction for Distributed Estimation in the Infinite Dimensional Regime

Distributed estimation of an unknown signal is a common task in sensor networks. The scenario usually envisioned consists of several nodes, each making an observation correlated with the signal of interest. The acquired data is then wirelessly transmitted to a central reconstruction point that aims at estimating the desired signal within a prescribed accuracy. Motivated by the obvious processing limitations inherent to such distributed infrastructures, we seek to find efficient compression schemes that account for limited available power and communication bandwidth. In this paper, we propose a transform-based approach to this problem where each sensor provides the central reconstruction point with a low-dimensional approximation of its local observation by means of a suitable linear transform. Under the mean-squared error criterion, we derive the optimal solution to apply at one sensor assuming all else being fixed. This naturally leads to an iterative algorithm whose optimality properties are exemplified using a simple though illustrative correlation model. The stationarity issue is also investigated. Under restrictive assumptions, we then provide an asymptotic distortion analysis, as the size of the observed vectors becomes large. Our derivation relies on a variation of the Toeplitz distribution theorem which allows to provide a reverse "water-filling" perspective to the problem of optimal dimensionality reduction. We illustrate, with a first-order Gauss-Markov model, how our findings allow to compute analytical closed-form distortion formulas that provide an accurate estimation of the reconstruction error obtained in the finite dimensional regime

Statistical Mechanics of High-Dimensional Inference

To model modern large-scale datasets, we need efficient algorithms to infer a set of $P$ unknown model parameters from $N$ noisy measurements. What are fundamental limits on the accuracy of parameter inference, given finite signal-to-noise ratios, limited measurements, prior information, and computational tractability requirements? How can we combine prior information with measurements to achieve these limits? Classical statistics gives incisive answers to these questions as the measurement density $\alpha = \frac{N}{P}\rightarrow \infty$. However, these classical results are not relevant to modern high-dimensional inference problems, which instead occur at finite $\alpha$. We formulate and analyze high-dimensional inference as a problem in the statistical physics of quenched disorder. Our analysis uncovers fundamental limits on the accuracy of inference in high dimensions, and reveals that widely cherished inference algorithms like maximum likelihood (ML) and maximum-a posteriori (MAP) inference cannot achieve these limits. We further find optimal, computationally tractable algorithms that can achieve these limits. Intriguingly, in high dimensions, these optimal algorithms become computationally simpler than MAP and ML, while still outperforming them. For example, such optimal algorithms can lead to as much as a 20% reduction in the amount of data to achieve the same performance relative to MAP. Moreover, our analysis reveals simple relations between optimal high dimensional inference and low dimensional scalar Bayesian inference, insights into the nature of generalization and predictive power in high dimensions, information theoretic limits on compressed sensing, phase transitions in quadratic inference, and connections to central mathematical objects in convex optimization theory and random matrix theory.Comment: See http://ganguli-gang.stanford.edu/pdf/HighDimInf.Supp.pdf for supplementary materia

Reduced-Dimension Linear Transform Coding of Correlated Signals in Networks

A model, called the linear transform network (LTN), is proposed to analyze the compression and estimation of correlated signals transmitted over directed acyclic graphs (DAGs). An LTN is a DAG network with multiple source and receiver nodes. Source nodes transmit subspace projections of random correlated signals by applying reduced-dimension linear transforms. The subspace projections are linearly processed by multiple relays and routed to intended receivers. Each receiver applies a linear estimator to approximate a subset of the sources with minimum mean squared error (MSE) distortion. The model is extended to include noisy networks with power constraints on transmitters. A key task is to compute all local compression matrices and linear estimators in the network to minimize end-to-end distortion. The non-convex problem is solved iteratively within an optimization framework using constrained quadratic programs (QPs). The proposed algorithm recovers as special cases the regular and distributed Karhunen-Loeve transforms (KLTs). Cut-set lower bounds on the distortion region of multi-source, multi-receiver networks are given for linear coding based on convex relaxations. Cut-set lower bounds are also given for any coding strategy based on information theory. The distortion region and compression-estimation tradeoffs are illustrated for different communication demands (e.g. multiple unicast), and graph structures.Comment: 33 pages, 7 figures, To appear in IEEE Transactions on Signal Processin

Decomposable Principal Component Analysis

We consider principal component analysis (PCA) in decomposable Gaussian graphical models. We exploit the prior information in these models in order to distribute its computation. For this purpose, we reformulate the problem in the sparse inverse covariance (concentration) domain and solve the global eigenvalue problem using a sequence of local eigenvalue problems in each of the cliques of the decomposable graph. We demonstrate the application of our methodology in the context of decentralized anomaly detection in the Abilene backbone network. Based on the topology of the network, we propose an approximate statistical graphical model and distribute the computation of PCA