# Publications by Year: 2019

2019
W. Luo, W. Alghamdi, and Y. M. Lu, “Optimal Spectral Initialization for Signal Recovery with Applications to Phase Retrieval,” IEEE Transactions on Signal Processing, vol. 67, no. 9, pp. 2347-2356, 2019. arXiv:1811.04420 [cs.IT]Abstract

We present the optimal design of a spectral method widely used to initialize nonconvex optimization algorithms for solving phase retrieval and other signal recovery problems. Our work leverages recent results that provide an exact characterization of the performance of the spectral method in the high-dimensional limit. This characterization allows us to map the task of optimal design to a constrained optimization problem in a weighted $L^2$ function space. The latter has a closed-form solution. Interestingly, under a mild technical condition, our results show that there exists a fixed design that is uniformly optimal over all sampling ratios. Numerical simulations demonstrate the performance improvement brought by the proposed optimal design over existing constructions in the literature. In a recent work, Mondelli and Montanari have shown the existence of a weak reconstruction threshold below which the spectral method cannot provide useful estimates. Our results serve to complement that work by deriving the fundamental limit of the spectral method beyond the aforementioned threshold.

Y. Chi, Y. M. Lu, and Y. Chen, “Nonconvex Optimization Meets Low-Rank Matrix Factorization: An Overview,” IEEE Transactions on Signal Processing, vol. 67, no. 20, pp. 5239-5269, 2019. arXiv:1809.09573 [cs.LG]Abstract

Substantial progress has been made recently on developing provably accurate and efficient algorithms for low-rank matrix factorization via nonconvex optimization. While conventional wisdom often takes a dim view of nonconvex optimization algorithms due to their susceptibility to spurious local minima, simple iterative methods such as gradient descent have been remarkably successful in practice. The theoretical footings, however, had been largely lacking until recently.

In this tutorial-style overview, we highlight the important role of statistical models in enabling efficient nonconvex optimization with performance guarantees. We review two contrasting approaches: (1) two-stage algorithms, which consist of a tailored initialization step followed by successive refinement; and (2) global landscape analysis and initialization-free algorithms. Several canonical matrix factorization problems are discussed, including but not limited to matrix sensing, phase retrieval, matrix completion, blind deconvolution, robust principal component analysis, phase synchronization, and joint alignment. Special care is taken to illustrate the key technical insights underlying their analyses. This article serves as a testament that the integrated thinking of optimization and statistics leads to fruitful research findings.

C. Wang and Y. M. Lu, “The scaling limit of high-dimensional online independent component analysis,” Journal of Statistical Mechanics (Special Issue on Machine Learning), vol. 2019, 2019. Publisher's VersionAbstract
We analyze the dynamics of an online algorithm for independent component analysis in the high-dimensional scaling limit. As the ambient dimension tends to infinity, and with proper time scaling, we show that the time-varying joint empirical measure of the target feature vector and the estimates provided by the algorithm will converge weakly to a deterministic measured-valued process that can be characterized as the unique solution of a nonlinear PDE. Numerical solutions of this PDE, which involves two spatial variables and one time variable, can be efficiently obtained. These solutions provide detailed information about the performance of the ICA algorithm, as many practical performance metrics are functionals of the joint empirical measures. Numerical simulations show that our asymptotic analysis is accurate even for moderate dimensions. In addition to providing a tool for understanding the performance of the algorithm, our PDE analysis also provides useful insight. In particular, in the high-dimensional limit, the original coupled dynamics associated with the algorithm will be asymptotically 'decoupled', with each coordinate independently solving a 1D effective minimization problem via stochastic gradient descent. Exploiting this insight to design new algorithms for achieving optimal trade-offs between computational and statistical efficiency may prove an interesting line of future research.
C. Wang, H. Hu, and Y. M. Lu, “A Solvable High-Dimensional Model of GAN,” in Proc. Thirty-third Conference on Neural Information Processing Systems (NeurIPS), 2019. arXiv:1805.08349 [cs.LG]Abstract
Despite the remarkable successes of generative adversarial networks (GANs) in many applications, theoretical understandings of their performance is still limited. In this paper, we present a simple shallow GAN model fed by high-dimensional input data. The dynamics of the training process of the proposed model can be exactly analyzed in the high-dimensional limit. In particular, by using the tool of scaling limits of stochastic processes, we show that the macroscopic quantities measuring the quality of the training process converge to a deterministic process that is characterized as the unique solution of a finite-dimensional ordinary differential equation (ODE). The proposed model is simple, but its training process already exhibits several different phases that can mimic the behaviors of more realistic GAN models used in practice. Specifically, depending on the choice of the learning rates, the training process can reach either a successful, a failed, or an oscillating phase. By studying the steady-state solutions of the limiting ODEs, we obtain a phase diagram that precisely characterizes the conditions under which each phase takes place. Although this work focuses on a simple GAN model, the analysis methods developed here might prove useful in the theoretical understanding of other variants of GANs with more advanced training algorithms.
L. Saglietti, Y. M. Lu, and C. Lucibello, “Generalized Approximate Survey Propagation for High-Dimensional Estimation,” in Proc. International Conference on Machine Learning (ICML), 2019. arXiv:1905.05313 [cond-mat.dis-nn]Abstract
In Generalized Linear Estimation (GLE) problems, we seek to estimate a signal that is observed through a linear transform followed by a component-wise, possibly nonlinear and noisy, channel. In the Bayesian optimal setting, Generalized Approximate Message Passing (GAMP) is known to achieve optimal performance for GLE. However, its performance can significantly degrade whenever there is a mismatch between the assumed and the true generative model, a situation frequently encountered in practice. In this paper, we propose a new algorithm, named Generalized Approximate Survey Propagation (GASP), for solving GLE in the presence of prior or model mis-specifications. As a prototypical example, we consider the phase retrieval problem, where we show that GASP outperforms the corresponding GAMP, reducing the reconstruction threshold and, for certain choices of its parameters, approaching Bayesian optimal performance. Furthermore, we present a set of State Evolution equations that exactly characterize the dynamics of GASP in the high-dimensional limit.
H. Hong and Y. M. Lu, “Asymptotics and optimal designs of SLOPE for sparse linear regression,” in Prof. International Symposium on Information Theory (ISIT), 2019. Longer version with full technical detailsAbstract

In sparse linear regression, the SLOPE estimator generalizes LASSO by assigning magnitude-dependent regular- izations to different coordinates of the estimate. In this paper, we present an asymptotically exact characterization of the performance of SLOPE in the high-dimensional regime where the number of unknown parameters grows in proportion to the number of observations. Our asymptotic characterization enables us to derive optimal regularization sequences to either minimize the MSE or to maximize the power in variable selection under any given level of Type-I error. In both cases, we show that the optimal design can be recast as certain infinite-dimensional convex optimization problems, which have efficient and accurate finite-dimensional approximations. Numerical simulations verify our asymptotic predictions. They also demonstrate the superi- ority of our optimal design over LASSO and a regularization sequence previously proposed in the literature.

G. Baechler, M. Kreković, J. Ranieri, A. Chebira, Y. M. Lu, and M. Vetterli, “Super resolution phase retrieval for sparse signals,” IEEE Transactions on Signal Processing, vol. 67, no. 18, 2019. arXiv:1808.01961 [cs.IT]Abstract
In a variety of fields, in particular those involving imaging and optics, we often measure signals whose phase is missing or has been irremediably distorted. Phase retrieval attempts to recover the phase information of a signal from the magnitude of its Fourier transform to enable the reconstruction of the original signal. Solving the phase retrieval problem is equivalent to recovering a signal from its auto-correlation function. In this paper, we assume the original signal to be sparse; this is a natural assumption in many applications, such as X-ray crystallography, speckle imaging and blind channel estimation. We propose an algorithm that resolves the phase retrieval problem in three stages: i) we leverage the finite rate of innovation sampling theory to super-resolve the auto-correlation function from a limited number of samples, ii) we design a greedy algorithm that identifies the locations of a sparse solution given the super-resolved auto-correlation function, iii) we recover the amplitudes of the atoms given their locations and the measured auto-correlation function. Unlike traditional approaches that recover a discrete approximation of the underlying signal, our algorithm estimates the signal on a continuous domain, which makes it the first of its kind. Along with the algorithm, we derive its performance bound with a theoretical analysis and propose a set of enhancements to improve its computational complexity and noise resilience. Finally, we demonstrate the benefits of the proposed method via a comparison against Charge Flipping, a notable algorithm in crystallography.
D. Simon, J. Sulam, Y. Romano, Y. M. Lu, and M. Elad, “MMSE Approximation For Sparse Coding Algorithms Using Stochastic Resonance,” IEEE Transactions on Signal Processing, vol. 67, no. 17, 2019. arXiv:1806.10171 [eess.SP]Abstract

Sparse coding refers to the pursuit of the sparsest representation of a signal in a typically overcomplete dictionary. From a Bayesian perspective, sparse coding provides a Maximum a Posteriori (MAP) estimate of the unknown vector under a sparse prior. Various nonlinear algorithms are available to approximate the solution of such problems.

In this work, we suggest enhancing the performance of sparse coding algorithms by a deliberate and controlled contamination of the input with random noise, a phenomenon known as stochastic resonance. This not only allows for increased performance, but also provides a computationally efficient approximation to the Minimum Mean Square Error (MMSE) estimator, which is ordinarily intractable to compute. We demonstrate our findings empirically and provide a theoretical analysis of our method under several different cases.