This article is an extended version of previous work of the authors [40, 41] on low-rank matrix estimation in the presence of constraints on the factors into which the matrix is factorized. Low-rank matrix factorization is one of the basic methods used in data analysis for unsupervised learning of relevant features and other types of dimensionality reduction. We present a framework to study the constrained low-rank matrix estimation for a general prior on the factors, and a general output channel through which the matrix is observed. We draw a paralel with the study of vector-spin glass models - presenting a unifying way to study a number of problems considered previously in separate statistical physics works. We present a number of applications for the problem in data analysis. We derive in detail a general form of the low-rank approximate message passing (Low- RAMP) algorithm, that is known in statistical physics as the TAP equations. We thus unify the derivation of the TAP equations for models as different as the Sherrington-Kirkpatrick model, the restricted Boltzmann machine, the Hopfield model or vector (xy, Heisenberg and other) spin glasses. The state evolution of the Low-RAMP algorithm is also derived, and is equivalent to the replica symmetric solution for the large class of vector-spin glass models. In the section devoted to result we study in detail phase diagrams and phase transitions for the Bayes-optimal inference in low-rank matrix estimation. We present a typology of phase transitions and their relation to performance of algorithms such as the Low-RAMP or commonly used spectral methods.
The present paper is built upon two previous shorter papers by the same authors @cite_33 @cite_54 . it focuses on the study of the general type of models described by probability measures ) and ). On the one hand, these represent Boltzmann measures of vectorial-spin systems on fully connected symmetric or bipartite graphs. Examples of previously studied physical models that are special cases of the setting considered here would be the Sherrington-Kirkpatrick model @cite_22 , the Hopfield model @cite_40 @cite_8 , the inference (not learning) in the restricted Boltzmann machine @cite_29 @cite_8 @cite_6 . Our work hence provides a unified replica symmetric solution and TAP equations for generic class of prior distributions and Hamiltonians.
@cite_33 @cite_22 @cite_8 @cite_54 @cite_29 @cite_6 @cite_40
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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. We consider an Ising model in which the spins are coupled by infinite-ranged random interactions independently distributed with a Gaussian probability density. Both "spinglass" and ferromagnetic phases occur. The competition between the phases and the type of order present in each are studied. Motivated by recent progress in using restricted Boltzmann machines as preprocess-ing algorithms for deep neural network, we revisit the mean-field equations (belief-propagation and TAP equations) in the best understood such machine, namely the Hopfield model of neural networks, and we explicit how they can be used as iterative message-passing algorithms, providing a fast method to compute the local polariza-tions of neurons. In the "retrieval phase" where neurons polarize in the direction of one memorized pattern, we point out a major difference between the belief propagation and TAP equations : the set of belief propagation equations depends on the pattern which is retrieved, while one can use a unique set of TAP equations. This makes the latter method much better suited for applications in the learning process of restricted Boltzmann machines. In the case where the patterns memorized in the Hopfield model are not independent, but are correlated through a combinatorial structure, we show that the TAP equations have to be modified. This modification can be seen either as an alteration of the reaction term in TAP equations, or, more interestingly, as the consequence of message passing on a graphical model with several hidden layers, where the number of hidden layers depends on the depth of the correlations in the memorized patterns. This layered structure is actually necessary when one deals with more general restricted Boltzmann machines. Extracting automatically the complex set of features composing real high-dimensional data is crucial for achieving high performance in machine--learning tasks. Restricted Boltzmann Machines (RBM) are empirically known to be efficient for this purpose, and to be able to generate distributed and graded representations of the data. We characterize the structural conditions (sparsity of the weights, low effective temperature, nonlinearities in the activation functions of hidden units, and adaptation of fields maintaining the activity in the visible layer) allowing RBM to operate in such a compositional phase. Evidence is provided by the replica analysis of an adequate statistical ensemble of random RBMs and by RBM trained on the handwritten digits dataset MNIST. Abstract Computational properties of use of biological organisms or to the construction of computers can emerge as collective properties of systems having a large number of simple equivalent components (or neurons). The physical meaning of content-addressable memory is described by an appropriate phase space flow of the state of a system. A model of such a system is given, based on aspects of neurobiology but readily adapted to integrated circuits. The collective properties of this model produce a content-addressable memory which correctly yields an entire memory from any subpart of sufficient size. The algorithm for the time evolution of the state of the system is based on asynchronous parallel processing. Additional emergent collective properties include some capacity for generalization, familiarity recognition, categorization, error correction, and time sequence retention. The collective properties are only weakly sensitive to details of the modeling or the failure of individual devices.