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Provable ICA with Unknown Gaussian Noise, with Implications for Gaussian Mixtures and Autoencoders
Sanjeev Arora · Rong Ge · Ankur Moitra · Sushant Sachdeva

Tue Dec 04 07:00 PM -- 12:00 AM (PST) @ Harrah’s Special Events Center 2nd Floor
We present a new algorithm for Independent Component Analysis (ICA) which has provable performance guarantees. In particular, suppose we are given samples of the form $y = Ax + \eta$ where $A$ is an unknown $n \times n$ matrix and $x$ is chosen uniformly at random from $\{+1, -1\}^n$, $\eta$ is an $n$-dimensional Gaussian random variable with unknown covariance $\Sigma$: We give an algorithm that provable recovers $A$ and $\Sigma$ up to an additive $\epsilon$ whose running time and sample complexity are polynomial in $n$ and $1 / \epsilon$. To accomplish this, we introduce a novel ``quasi-whitening'' step that may be useful in other contexts in which the covariance of Gaussian noise is not known in advance. We also give a general framework for finding all local optima of a function (given an oracle for approximately finding just one) and this is a crucial step in our algorithm, one that has been overlooked in previous attempts, and allows us to control the accumulation of error when we find the columns of $A$ one by one via local search.

Author Information

Sanjeev Arora (Princeton University)
Rong Ge (Princeton University)
Ankur Moitra (IAS)
Sushant Sachdeva

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