Precise Asymptotics for Spectral Methods in Mixed Generalized Linear Models

TL;DR

This paper derives precise asymptotic formulas for spectral methods in mixed generalized linear models, enabling optimized estimator design and improved signal recovery in high-dimensional settings.

Contribution

It provides exact asymptotics for spectral estimators in large-scale mixed generalized linear models, guiding their optimal design and combination with linear estimators.

Findings

Optimized spectral method design reduces estimation error.

Asymptotic analysis applies to high-dimensional regimes with fixed ratios.

Numerical results show improved performance over existing spectral methods.

Abstract

In a mixed generalized linear model, the goal is to learn multiple signals from unlabeled observations: each sample comes from exactly one signal, but it is not known which one. We consider the prototypical problem of estimating two statistically independent signals in a mixed generalized linear model with Gaussian covariates. Spectral methods are a popular class of estimators which output the top two eigenvectors of a suitable data-dependent matrix. However, despite the wide applicability, their design is still obtained via heuristic considerations, and the number of samples $n$ needed to guarantee recovery is super-linear in the signal dimension $d$. In this paper, we develop exact asymptotics on spectral methods in the challenging proportional regime in which $n, d$ grow large and their ratio converges to a finite constant. This allows us optimize the design of the spectral method, and combine it with a simple linear estimator, to minimize the estimation error. Our characterization exploits a mix of tools from random matrices, free probability and the theory of approximate message passing algorithms. Numerical simulations for mixed linear regression and phase retrieval demonstrate the advantage enabled by our analysis over existing designs of spectral methods.