EE Systems Seminar
High-Dimensional Analysis of Stochastic Optimization Algorithms: Limiting Dynamics and Phase Transitions
In this talk, we will present a framework for analyzing, in the high-dimensional limit, the exact dynamics of several stochastic optimization algorithms that arise in signal and information processing. For concreteness, we consider two prototypical problems: sparse principal component analysis and regularized linear regression (e.g. LASSO). For each case, we show that the time-varying estimates given by the algorithms will converge weakly to a deterministic "limiting process" in the high-dimensional (scaling and mean-field) limit. Moreover, this limiting process can be characterized as the unique solution of a nonlinear PDE, and it provides exact information regarding the asymptotic performance of the algorithms. For example, performance metrics such as the MSE, the cosine similarity and the misclassification rate in sparse support recovery can all be obtained by examining the deterministic limiting process. A steady-state analysis of the nonlinear PDE also reveals interesting phase transition phenomena related to the performance of the algorithms. Although our analysis is asymptotic in nature, numerical simulations show that the theoretical predictions are accurate for moderate signal dimensions.
Yue M. Lu was born in Shanghai. After finishing undergraduate studies at Shanghai Jiao Tong University, he attended the University of Illinois at Urbana-Champaign, where he received the M.Sc. degree in mathematics and the Ph.D. degree in electrical engineering, both in 2007. Following his work as a postdoctoral researcher at the Audiovisual Communications Laboratory at Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland, he joined Harvard University in 2010, where he is currently an Associate Professor of Electrical Engineering at the John A. Paulson School of Engineering and Applied Sciences.
He received the Most Innovative Paper Award of IEEE International Conference on Image Processing (ICIP) in 2006, and the Best Student Paper Award of IEEE ICIP in 2007. Student papers supervised and coauthored by him won the Best Student Paper Award (with Ivan Dokmanic and Martin Vetterli) of IEEE International Conference on Acoustics, Speech and Signal Processing in 2011 and the Best Student Paper Award (with Ameya Agaskar and Chuang Wang) of IEEE Global Conference on Signal and Information Processing (GlobalSIP) in 2014. He received the ECE Illinois Young Alumni Achievement Award in 2015.
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