Consider an Erd "os-Renyi random graph in which each edge is present independently with probability 1 2, except for a subset @math of the vertices that form a clique (a completely connected subgraph). We consider the problem of identifying the clique, given a realization of such a random graph. The best known algorithm provably finds the clique in linear time with high probability, provided @math dekel2011finding . Spectral methods can be shown to fail on cliques smaller than @math . In this paper we describe a nearly linear time algorithm that succeeds with high probability for @math for any @math . This is the first algorithm that provably improves over spectral methods. We further generalize the hidden clique problem to other background graphs (the standard case corresponding to the complete graph on @math vertices). For large girth regular graphs of degree @math we prove that local' algorithms succeed if @math and fail if @math .
The algorithm we introduce for the case @math is analogous to the linearized BP' algorithm of @cite_24 @cite_9 , and to the approximate message passing (AMP) algorithm of @cite_13 @cite_36 @cite_15 . These ideas have been applied to low-rank approximation in @cite_7 . The present setting poses however several technical challenges with respect to earlier work in this area: @math The entries of the data matrix are not i.i.d.; @math They are non-Gaussian with --in general-- non-zero mean; @math We seek exact recovery instead of estimation; @math The sparsity set @math to be reconstructed scales sublinearly with @math .
@cite_7 @cite_36 @cite_9 @cite_24 @cite_15 @cite_13
2166670884 2089135543 2747181576 2949962875 2003895866 2103972604
We consider the estimation of a random vector observed through a linear transform followed by a componentwise probabilistic measurement channel. Although such linear mixing estimation problems are generally highly non-convex, Gaussian approximations of belief propagation (BP) have proven to be computationally attractive and highly effective in a range of applications. Recently, Bayati and Montanari have provided a rigorous and extremely general analysis of a large class of approximate message passing (AMP) algorithms that includes many Gaussian approximate BP methods. This paper extends their analysis to a larger class of algorithms to include what we call generalized AMP (G-AMP). G-AMP incorporates general (possibly non-AWGN) measurement channels. Similar to the AWGN output channel case, we show that the asymptotic behavior of the G-AMP algorithm under large i.i.d. Gaussian transform matrices is described by a simple set of state evolution (SE) equations. The general SE equations recover and extend several earlier results, including SE equations for approximate BP on general output channels by Guo and Wang. We give efficient algorithms for volume sampling, i.e., for picking @math -subsets of the rows of any given matrix with probabilities proportional to the squared volumes of the simplices defined by them and the origin (or the squared volumes of the parallelepipeds defined by these subsets of rows). In other words, we can efficiently sample @math -subsets of @math with probabilities proportional to the corresponding @math by @math principal minors of any given @math by @math positive semi definite matrix. This solves an open problem from the monograph on spectral algorithms by Kannan and Vempala (see Section @math of KV , also implicit in BDM, DRVW ). Our first algorithm for volume sampling @math -subsets of rows from an @math -by- @math matrix runs in @math arithmetic operations (where @math is the exponent of matrix multiplication) and a second variant of it for @math -approximate volume sampling runs in @math arithmetic operations, which is almost linear in the size of the input (i.e., the number of entries) for small @math . Our efficient volume sampling algorithms imply the following results for low-rank matrix approximation: (1) Given @math , in @math arithmetic operations we can find @math of its rows such that projecting onto their span gives a @math -approximation to the matrix of rank @math closest to @math under the Frobenius norm. This improves the @math -approximation of Boutsidis, Drineas and Mahoney BDM and matches the lower bound shown in DRVW . The method of conditional expectations gives a algorithm with the same complexity. The running time can be improved to @math at the cost of losing an extra @math in the approximation factor. (2) The same rows and projection as in the previous point give a @math -approximation to the matrix of rank @math closest to @math under the spectral norm. In this paper, we show an almost matching lower bound of @math , even for @math . Given a high-dimensional data matrix @math , Approximate Message Passing (AMP) algorithms construct sequences of vectors @math , @math , indexed by @math by iteratively applying @math or @math , and suitable non-linear functions, which depend on the specific application. Special instances of this approach have been developed --among other applications-- for compressed sensing reconstruction, robust regression, Bayesian estimation, low-rank matrix recovery, phase retrieval, and community detection in graphs. For certain classes of random matrices @math , AMP admits an asymptotically exact description in the high-dimensional limit @math , which goes under the name of state evolution.' Earlier work established state evolution for separable non-linearities (under certain regularity conditions). Nevertheless, empirical work demonstrated several important applications that require non-separable functions. In this paper we generalize state evolution to Lipschitz continuous non-separable nonlinearities, for Gaussian matrices @math . Our proof makes use of Bolthausen's conditioning technique along with several approximation arguments. In particular, we introduce a modified algorithm (called LAMP for Long AMP) which is of independent interest. In sparse principal component analysis we are given noisy observations of a low-rank matrix of dimension @math and seek to reconstruct it under additional sparsity assumptions. In particular, we assume here each of the principal components @math has at most @math non-zero entries. We are particularly interested in the high dimensional regime wherein @math is comparable to, or even much larger than @math . In an influential paper, johnstone2004sparse introduced a simple algorithm that estimates the support of the principal vectors @math by the largest entries in the diagonal of the empirical covariance. This method can be shown to identify the correct support with high probability if @math , and to fail with high probability if @math for two constants @math . Despite a considerable amount of work over the last ten years, no practical algorithm exists with provably better support recovery guarantees. Here we analyze a covariance thresholding algorithm that was recently proposed by KrauthgamerSPCA . On the basis of numerical simulations (for the rank-one case), these authors conjectured that covariance thresholding correctly recover the support with high probability for @math (assuming @math of the same order as @math ). We prove this conjecture, and in fact establish a more general guarantee including higher-rank as well as @math much smaller than @math . Recent lower bounds berthet2013computational, ma2015sum suggest that no polynomial time algorithm can do significantly better. The key technical component of our analysis develops new bounds on the norm of kernel random matrices, in regimes that were not considered before. We suggest a generic data reduction technique with provable guarantees for computing the low rank approximation of a matrix under some $ellz error, and constrained factorizations, such as the Non-negative Matrix Factorization (NMF). Our main algorithm reduces a given n x d matrix into a small, e-dependent, weighted subset C of its rows (known as a coreset), whose size is independent of both n and d. We then prove that applying existing algorithms on the resulting coreset can be turned into (1+e)-approximations for the original (large) input matrix. In particular, we provide the first linear time approximation scheme (LTAS) for the rank-one NMF. The coreset C can be computed in parallel and using only one pass over a possibly unbounded stream of row vectors. In this sense we improve the result in [4] (Best paper of STOC 2013). Moreover, since C is a subset of these rows, its construction time, as well as its sparsity (number of non-zeroes entries) and the sparsity of the resulting low rank approximation depend on the maximum sparsity of an input row, and not on the actual dimension d. In this sense, we improve the result of Libery [21](Best paper of KDD 2013) and answer affirmably, and in a more general setting, his open question of computing such a coreset. Source code is provided for reproducing the experiments and integration with existing and future algorithms. This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem and arises in many important applications as in the task of recovering a large matrix from a small subset of its entries (the famous Netflix problem). Off-the-shelf algorithms such as interior point methods are not directly amenable to large problems of this kind with over a million unknown entries. This paper develops a simple first-order and easy-to-implement algorithm that is extremely efficient at addressing problems in which the optimal solution has low rank. The algorithm is iterative, produces a sequence of matrices @math , and at each step mainly performs a soft-thresholding operation on the singular values of the matrix @math . There are two remarkable features making this attractive for low-rank matrix completion problems. The first is that the soft-thresholding operation is applied to a sparse matrix; the second is that the rank of the iterates @math is empirically nondecreasing. Both these facts allow the algorithm to make use of very minimal storage space and keep the computational cost of each iteration low. On the theoretical side, we provide a convergence analysis showing that the sequence of iterates converges. On the practical side, we provide numerical examples in which @math matrices are recovered in less than a minute on a modest desktop computer. We also demonstrate that our approach is amenable to very large scale problems by recovering matrices of rank about 10 with nearly a billion unknowns from just about 0.4 of their sampled entries. Our methods are connected with the recent literature on linearized Bregman iterations for @math minimization, and we develop a framework in which one can understand these algorithms in terms of well-known Lagrange multiplier algorithms.