Department of Mathematics and Statistics

Department of Mathematics and Statistics
Department of Mathematics and Statistics

Department Colloquium


Mihai Nica, University of Toronto

Friday, March 23rd, 2018

Time: 2:30 p.m.  Place: Jeffery Hall 234

Speaker: Mihai Nica (University of Toronto)

Title: Phase transitions in random matrices and the spiked tensor model

Abstract: Given a matrix of noisy data, principal component analysis (PCA) can be viewed as "de-noising" technique that recovers the closest rank-one approximation. In certain matrix models, it is known that this procedure exhibits a phase transition: if the signal-to-noise ratio is below a critical value then PCA returns uninformative information. In this talk, we also consider a generalization of this problem to k-tensors (the matrix case corresponds to k=2). By studying the energy landscape of this model, we also find phase transitions akin to the matrix case. The proof of the results uses the Kac-Rice formula for the expected number of critical points of a random function and results about spiked random matrices. Based on joint work with Gerard Ben Arous, Song Mei and Andrea Montanari.