Wednesday, April 19, 2017

Phase Transitions of Spectral Initialization for High-Dimensional Nonconvex Estimation

  [Personal message: I will at ICLR next week, let's grab some coffee if you are there]
Yue just sent me the following:
Dear Igor,

I hope all is well.

We recently posted a paper on arXiv on analyzing the exact asymptotic performance of a popular spectral initialization method for various nonconvex signal estimation problems (such as phase retrieval). We think you and readers of your blog might be interested in this research.

The paper can be found here:

Best regards,
Thanks Yue, two phase transitions ! I like it: Phase Transitions of Spectral Initialization for High-Dimensional Nonconvex Estimation by Yue M. Lu, Gen Li
We study a spectral initialization method that serves a key role in recent work on estimating signals in nonconvex settings. Previous analysis of this method focuses on the phase retrieval problem and provides only performance bounds. In this paper, we consider arbitrary generalized linear sensing models and present a precise asymptotic characterization of the performance of the method in the high-dimensional limit. Our analysis also reveals a phase transition phenomenon that depends on the ratio between the number of samples and the signal dimension. When the ratio is below a minimum threshold, the estimates given by the spectral method are no better than random guesses drawn from a uniform distribution on the hypersphere, thus carrying no information; above a maximum threshold, the estimates become increasingly aligned with the target signal. The computational complexity of the method, as measured by the spectral gap, is also markedly different in the two phases. Worked examples and numerical results are provided to illustrate and verify the analytical predictions. In particular, simulations show that our asymptotic formulas provide accurate predictions for the actual performance of the spectral method even at moderate signal dimensions.

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