Announcements

(08/15/17) Fundamental Limits of PhaseMax for Phase Retrieval: A Replica Analysis

August 16, 2017
In our recent paper, we establish the exact asymptotic performance and phase transition of an efficient convex relaxation algorithm, named PhaseMax, for solving the phase retrieval problem. Our analysis uses the replica method from statistical mechanics. (I have known about the replica method for a long while, and have even taught about this method in my classes. It's nice to finally apply it in our research.) Read more about (08/15/17) Fundamental Limits of PhaseMax for Phase Retrieval: A Replica Analysis

(02/21/17) Phase transitions of spectral initialization for nonconvex estimation

February 21, 2017

We study in our recent paper a widely used spectral method that serves as a key ingredient in a growing line of work using efficient iterative algorithms for estimating signals in nonconvex settings. Unlike previous work, which focuses on the phase retrieval setting and provides only bounds on the performance, we...

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(11/24/16) Average-Case Performance Analysis of ProSparse and Phase Transitions

November 24, 2016

Finding the sparse representation of a signal in an overcomplete dictionary has attracted a lot of attention over the past years. In our paper, we analyze the probabilistic average-case performance of ProSparse, a new polynomial complexity algorithm that solves the sparse representation problem when the underlying dictionary is the union of a Vandermonde matrix and a banded matrix. Closed-form expressions for the exact success probabilities of ProSparse are given. We also analyze the success probabilities in the high-...

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(09/09/16) Dynamics and phase transitions of online sparse PCA in high dimensions

September 9, 2016

In a recent paper (arXiv:1609.02191), we study the dynamics of an online algorithm for learning a sparse leading eigenvector from samples generated from a spiked covariance model. This algorithm combines the classical Oja's method for online PCA with an element-wise nonlinearity at each iteration to promote sparsity. In the high-dimensional limit, the joint empirical measure of the underlying sparse eigenvector and its estimate provided by the algorithm is shown to converge weakly to a deterministic...

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(07/10/16) Kaczmarz method for solving quadratic equations

July 10, 2016

Estimating low-rank positive-semidefinite (PSD) matrices from symmetric rank-one measurements is of great importance in many applications, such as high-dimensional data processing, quantum state tomography, and phase retrieval. When the rank is known a priori, this problem can be regarded as solving a system of quadratic equations of a low-dimensional subspace. In a recent paper, we develop a...

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(06/30/16) Research Leave at Duke University

June 30, 2016

I just spent a semester on research leave at the Information Initiative at Duke (iiD). I had a wonderful time there, and thank the great colleagues in this interdisciplinary program for warm hospitality and collaborations.