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Pré-Publication, Document De Travail Année : 2022

Low-rank Matrix Estimation with Inhomogeneous Noise

Justin Ko
  • Fonction : Auteur
Florent Krzakala
Lenka Zdeborová

Résumé

We study low-rank matrix estimation for a generic inhomogeneous output channel through which the matrix is observed. This generalizes the commonly considered spiked matrix model with homogeneous noise to include for instance the dense degree-corrected stochastic block model. We adapt techniques used to study multispecies spin glasses to derive and rigorously prove an expression for the free energy of the problem in the large size limit, providing a framework to study the signal detection thresholds. We discuss an application of this framework to the degree corrected stochastic block models.
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Dates et versions

hal-03865174 , version 1 (22-11-2022)

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Alice Guionnet, Justin Ko, Florent Krzakala, Lenka Zdeborová. Low-rank Matrix Estimation with Inhomogeneous Noise. 2022. ⟨hal-03865174⟩
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