New Perspectives on High Dimensional Inference

Speaker: Madhu Advani, Stanford University

When: March 14, 2016 (Mon), 02:00PM to 03:00PM (add to my calendar)
Location: SCI 328

This event is part of the Biophysics/Condensed Matter Seminar Series.

To model modern large-scale datasets, we need efficient algorithms to infer a set of P unknown model parameters from N noisy measurements. What are fundamental limits on the accuracy of parameter inference, given limited measurements, signal-to-noise ratios, prior information, and computational tractability requirements? How can we combine prior information with measurements to achieve these limits? Classical statistics gives incisive answers to these questions as the measurement density approaches infinity. However, modern 'big data' problems are often high-dimensional: have finite measurement density (N/P). This regime is important for a variety of fields and to study it we formulate and analyze high-dimensional inference as a problem in the statistical physics of quenched disorder. This analysis reveals that widely cherished Bayesian inference algorithms are suboptimal, and yields tractable, optimal algorithms to replace them.