Statistical Mechanics of Optimal Convex Inference in High Dimensions

Madhu Advani, Surya Ganguli
2016 Physical Review X  
To model modern large-scale datasets, we need efficient algorithms to infer a set of P unknown model parameters from N noisy measurements. What are fundamental limits on the accuracy of parameter inference, given finite signal-to-noise ratios, limited measurements, prior information, and computational tractability requirements? How can we combine prior information with measurements to achieve these limits? Classical statistics gives incisive answers to these questions as the measurement density
more » ... α = N/P→∞. However, these classical results are not relevant to modern high-dimensional inference problems, which instead occur at finite α. We formulate and analyze high-dimensional inference as a problem in the statistical physics of quenched disorder. Our analysis uncovers fundamental limits on the accuracy of inference in high dimensions, and reveals that widely cherished inference algorithms like maximum likelihood (ML) and maximum-a posteriori (MAP) inference cannot achieve these limits. We further find optimal, computationally tractable algorithms that can achieve these limits. Intriguingly, in high dimensions, these optimal algorithms become computationally simpler than MAP and ML, while still outperforming them. For example, such optimal algorithms can lead to as much as a 20 amount of data to achieve the same performance relative to MAP. Moreover, our analysis reveals simple relations between optimal high dimensional inference and low dimensional scalar Bayesian inference, insights into the nature of generalization and predictive power in high dimensions, information theoretic limits on compressed sensing, phase transitions in quadratic inference, and connections to central mathematical objects in convex optimization theory and random matrix theory.
doi:10.1103/physrevx.6.031034 fatcat:yt6aw3ilrncezbqpo5vw3karfm