Statistical limits of dictionary learning: random matrix theory and the spectral replica method
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We consider increasingly complex models of matrix denoising and dictionary learning in the Bayes-optimal setting, in the challenging regime where the matrices to infer have a rank growing linearly with the system size. This is in contrast with most existing literature concerned with the low-rank (i.e., constant-rank) regime. We first consider a class of rotationally invariant matrix denoising problems whose mutual information and minimum mean-square error are computable using standard techniques from random matrix theory. Next, we analyze the more challenging models of dictionary learning. To do so we introduce a novel combination of the replica method from statistical mechanics together with random matrix theory, coined spectral replica method. It allows us to conjecture variational formulas for the mutual information between hidden representations and the noisy data as well as for the overlaps quantifying the optimal reconstruction error. The proposed methods reduce the number of degrees of freedom from Θ(N^2) (matrix entries) to Θ(N) (eigenvalues or singular values), and yield Coulomb gas representations of the mutual information which are reminiscent of matrix models in physics. The main ingredients are the use of HarishChandra-Itzykson-Zuber spherical integrals combined with a new replica symmetric decoupling ansatz at the level of the probability distributions of eigenvalues (or singular values) of certain overlap matrices.
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