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research article

Matrix Inference in Growing Rank Regimes

Pourkamali, Farzad  
•
Barbier, Jean
•
Macris, Nicolas  
2024
IEEE Transactions on Information Theory

The inference of a large symmetric signal-matrix S ϵ RN × N corrupted by additive Gaussian noise, is considered for two regimes of growth of the rank M as a function of N. For sub-linear ranks M=Θ (Nα) with α in (0,1) the mutual information and minimum mean-square error (MMSE) are derived for two classes of signal-matrices: (a) S =X XT with entries of X RN×M independent identically distributed; (b) S sampled from a rotationally invariant distribution. Surprisingly, the formulas match the rank-one case. Two efficient algorithms are explored and conjectured to saturate the MMSE when no statistical-to-computational gap is present: (1) Decimation Approximate Message Passing; (2) a spectral algorithm based on a Rotation Invariant Estimator. For linear ranks M=Θ (N)the mutual information is rigorously derived for signal-matrices from a rotationally invariant distribution. Close connections with scalar inference in free probability are uncovered, which allow to deduce a simple formula for the MMSE as an integral involving the limiting spectral measure of the data matrix only. An interesting issue is whether the known information theoretic phase transitions for rank-one, and hence also sub-linear-rank, still persist in linear-rank. Our analysis suggests that only a smoothed-out trace of the transitions persists. Furthermore, the change of behavior between low and truly high-rank regimes only happens at the linear scale α = 1.

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Type
research article
DOI
10.1109/TIT.2024.3422263
Scopus ID

2-s2.0-85198284546

Author(s)
Pourkamali, Farzad  

École Polytechnique Fédérale de Lausanne

Barbier, Jean

Abdus Salam International Centre for Theoretical Physics

Macris, Nicolas  

École Polytechnique Fédérale de Lausanne

Date Issued

2024

Published in
IEEE Transactions on Information Theory
Volume

70

Issue

11

Start page

8133

End page

8163

Subjects

Approximate Message Passing

•

Bayesian matrix inference

•

information-theoretic limits

•

large-rank

•

replica method

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
BAN  
SMILS  
FunderFunding(s)Grant NumberGrant URL

European Union European Research Council

European Union

Swiss National Science Foundation

200021-204119

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Available on Infoscience
January 24, 2025
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/243420
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