Long random matrices and tensor unfolding

DOI10.1214/23-AAP1958arXiv2110.10210OpenAlexW4389674407MaRDI QIDQ6180391FDOQ6180391

Authors: Gerard Ben Arous, Daniel Z. Huang, Jiaoyang Huang 

Publication date: 19 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this paper, we consider the singular values and singular vectors of low rank perturbations of large rectangular random matrices, in the regime the matrix is "long": we allow the number of rows (columns) to grow polynomially in the number of columns (rows). We prove there exists a critical signal-to-noise ratio (depending on the dimensions of the matrix), and the extreme singular values and singular vectors exhibit a BBP type phase transition. As a main application, we investigate the tensor unfolding algorithm for the asymmetric rank-one spiked tensor model, and obtain an exact threshold, which is independent of the procedure of tensor unfolding. If the signal-to-noise ratio is above the threshold, tensor unfolding detects the signals; otherwise, it fails to capture the signals.

Full work available at URL: https://arxiv.org/abs/2110.10210

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zbMATH Keywords

random matricestensor PCA

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Hermitian, skew-Hermitian, and related matrices (15B57) Random matrices (probabilistic aspects) (60B20)

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Cited In (1)

• When random tensors meet random matrices

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