Phase Transitions in Sparse PCA

We study optimal estimation for sparse principal component analysis when the number of non-zero elements is small but on the same order as the dimension of the data. We employ approximate message passing (AMP) algorithm and its state evolution to analyze what is the information theoretically minimal mean-squared error and the one achieved by AMP in the limit of large sizes. For a special case of rank one and large enough density of non-zeros Deshpande and Montanari [1] proved that AMP is asymptotically optimal. We show that both for low density and for large rank the problem undergoes a series of phase transitions suggesting existence of a region of parameters where estimation is information theoretically possible, but AMP (and presumably every other polynomial algorithm) fails. The analysis of the large rank limit is particularly instructive.Comment: 6 pages, 3 figure

MMSE of probabilistic low-rank matrix estimation: Universality with respect to the output channel

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.Comment: 10 pages, Allerton Conference on Communication, Control, and Computing 201

High-Dimensional Inference on Dense Graphs with Applications to Coding Theory and Machine Learning

We are living in the era of "Big Data", an era characterized by a voluminous amount of available data. Such amount is mainly due to the continuing advances in the computational capabilities for capturing, storing, transmitting and processing data. However, it is not always the volume of data that matters, but rather the "relevant" information that resides in it. Exactly 70 years ago, Claude Shannon, the father of information theory, was able to quantify the amount of information in a communication scenario based on a probabilistic model of the data. It turns out that Shannon's theory can be adapted to various probability-based information processing fields, ranging from coding theory to machine learning. The computation of some information theoretic quantities, such as the mutual information, can help in setting fundamental limits and devising more efficient algorithms for many inference problems. This thesis deals with two different, yet intimately related, inference problems in the fields of coding theory and machine learning. We use Bayesian probabilistic formulations for both problems, and we analyse them in the asymptotic high-dimensional regime. The goal of our analysis is to assess the algorithmic performance on the first hand and to predict the Bayes-optimal performance on the second hand, using an information theoretic approach. To this end, we employ powerful analytical tools from statistical physics. The first problem is a recent forward-error-correction code called sparse superposition code. We consider the extension of such code to a large class of noisy channels by exploiting the similarity with the compressed sensing paradigm. Moreover, we show the amenability of sparse superposition codes to perform joint distribution matching and channel coding. In the second problem, we study symmetric rank-one matrix factorization, a prominent model in machine learning and statistics with many applications ranging from community detection to sparse principal component analysis. We provide an explicit expression for the normalized mutual information and the minimum mean-square error of this model in the asymptotic limit. This allows us to prove the optimality of a certain iterative algorithm on a large set of parameters. A common feature of the two problems stems from the fact that both of them are represented on dense graphical models. Hence, similar message-passing algorithms and analysis tools can be adopted. Furthermore, spatial coupling, a new technique introduced in the context of low-density parity-check (LDPC) codes, can be applied to both problems. Spatial coupling is used in this thesis as a "construction technique" to boost the algorithmic performance and as a "proof technique" to compute some information theoretic quantities. Moreover, both of our problems retain close connections with spin glass models studied in statistical mechanics of disordered systems. This allows us to use sophisticated techniques developed in statistical physics. In this thesis, we use the potential function predicted by the replica method in order to prove the threshold saturation phenomenon associated with spatially coupled models. Moreover, one of the main contributions of this thesis is proving that the predictions given by the "heuristic" replica method are exact. Hence, our results could be of great interest for the statistical physics community as well, as they help to set a rigorous mathematical foundation of the replica predictions

Learning by Fusing Heterogeneous Data

It has become increasingly common in science and technology to gather data about systems at different levels of granularity or from different perspectives. This often gives rise to data that are represented in totally different input spaces. A basic premise behind the study of learning from heterogeneous data is that in many such cases, there exists some correspondence among certain input dimensions of different input spaces. In our work we found that a key bottleneck that prevents us from better understanding and truly fusing heterogeneous data at large scales is identifying the kind of knowledge that can be transferred between related data views, entities and tasks. We develop interesting and accurate data fusion methods for predictive modeling, which reduce or entirely eliminate some of the basic feature engineering steps that were needed in the past when inferring prediction models from disparate data. In addition, our work has a wide range of applications of which we focus on those from molecular and systems biology: it can help us predict gene functions, forecast pharmacological actions of small chemicals, prioritize genes for further studies, mine disease associations, detect drug toxicity and regress cancer patient survival data. Another important aspect of our research is the study of latent factor models. We aim to design latent models with factorized parameters that simultaneously tackle multiple types of data heterogeneity, where data diversity spans across heterogeneous input spaces, multiple types of features, and a variety of related prediction tasks. Our algorithms are capable of retaining the relational structure of a data system during model inference, which turns out to be vital for good performance of data fusion in certain applications. Our recent work included the study of network inference from many potentially nonidentical data distributions and its application to cancer genomic data. We also model the epistasis, an important concept from genetics, and propose algorithms to efficiently find the ordering of genes in cellular pathways. A central topic of our Thesis is also the analysis of large data compendia as predictions about certain phenomena, such as associations between diseases and involvement of genes in a certain phenotype, are only possible when dealing with lots of data. Among others, we analyze 30 heterogeneous data sets to assess drug toxicity and over 40 human gene association data collections, the largest number of data sets considered by a collective latent factor model up to date. We also make interesting observations about deciding which data should be considered for fusion and develop a generic approach that can estimate the sensitivities between different data sets