STATISTICAL AND COMPUTATIONAL LIMITS FOR SPARSE MATRIX DETECTION

Tommaso Cai

doi:10.1214/19-AOS1860

2020-06-01

Tommaso Cai *

Yihong Wu

DOI：10.1214/19-AOS1860

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摘要

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This paper investigates the fundamental limits for detecting a high-dimensional sparse matrix contaminated by white Gaussian noise from both the statistical and computational perspectives. We consider p x p matrices whose rows and columns are individually k-sparse. We provide a tight characterization of the statistical and computational limits for sparse matrix detection, which precisely describe when achieving optimal detection is easy, hard or impossible, respectively. Although the sparse matrices considered in this paper have no apparent submatrix structure and the corresponding estimation problem has no computational issue at all, the detection problem has a surprising computational barrier when the sparsity level k exceeds the cubic root of the matrix size p: attaining the optimal detection boundary is computationally at least as hard as solving the planted clique problem. The same statistical and computational limits also hold in the sparse covariance matrix model, where each variable is correlated with at most k others. A key step in the construction of the statistically optimal test is a structural property of sparse matrices, which can be of independent interest.

Keyword:

Minimax rates

computational limits

sparse covariance matrix

sparse detection