Cosme Louart

Chiheb Yaakoubi, Cosme Louart, Malik Tiomoko et al.

We study high-dimensional convex empirical risk minimization (ERM) under general non-Gaussian data designs. By heuristically extending the Convex Gaussian Min-Max Theorem (CGMT) to non-Gaussian settings, we derive an asymptotic min-max characterization of key statistics, enabling approximation of the mean $μ_{\hatθ}$ and covariance $C_{\hatθ}$ of the ERM estimator $\hatθ$. Specifically, under a concentration assumption on the data matrix and standard regularity conditions on the loss and regularizer, we show that for a test covariate $x$ independent of the training data, the projection $\hatθ^\top x$ approximately follows the convolution of the (generally non-Gaussian) distribution of $μ_{\hatθ}^\top x$ with an independent centered Gaussian variable of variance $\text{Tr}(C_{\hatθ}\mathbb{E}[xx^\top])$. This result clarifies the scope and limits of Gaussian universality for ERMs. Additionally, we prove that any $\mathcal{C}^2$ regularizer is asymptotically equivalent to a quadratic form determined solely by its Hessian at zero and gradient at $μ_{\hatθ}$. Numerical simulations across diverse losses and models are provided to validate our theoretical predictions and qualitative insights.

Hamza Cherkaoui, Malik Tiomoko, Mohamed El Amine Seddik et al.

Bootstrap methods have long been a cornerstone of ensemble learning in machine learning. This paper presents a theoretical analysis of bootstrap techniques applied to the Least Square Support Vector Machine (LSSVM) ensemble in the context of large and growing sample sizes and feature dimensionalities. Leveraging tools from Random Matrix Theory, we investigate the performance of this classifier that aggregates decision functions from multiple weak classifiers, each trained on different subsets of the data. We provide insights into the use of bootstrap methods in high-dimensional settings, enhancing our understanding of their impact. Based on these findings, we propose strategies to select the number of subsets and the regularization parameter that maximize the performance of the LSSVM. Empirical experiments on synthetic and real-world datasets validate our theoretical results.

Romain Ilbert, Malik Tiomoko, Cosme Louart et al.

In this paper, we introduce a novel theoretical framework for multi-task regression, applying random matrix theory to provide precise performance estimations, under high-dimensional, non-Gaussian data distributions. We formulate a multi-task optimization problem as a regularization technique to enable single-task models to leverage multi-task learning information. We derive a closed-form solution for multi-task optimization in the context of linear models. Our analysis provides valuable insights by linking the multi-task learning performance to various model statistics such as raw data covariances, signal-generating hyperplanes, noise levels, as well as the size and number of datasets. We finally propose a consistent estimation of training and testing errors, thereby offering a robust foundation for hyperparameter optimization in multi-task regression scenarios. Experimental validations on both synthetic and real-world datasets in regression and multivariate time series forecasting demonstrate improvements on univariate models, incorporating our method into the training loss and thus leveraging multivariate information.

Cosme Louart, Romain Couillet

Given a random matrix $X= (x_1,\ldots, x_n)\in \mathcal M_{p,n}$ with independent columns and satisfying concentration of measure hypotheses and a parameter $z$ whose distance to the spectrum of $\frac{1}{n} XX^T$ should not depend on $p,n$, it was previously shown that the functionals $\text{tr}(AR(z))$, for $R(z) = (\frac{1}{n}XX^T- zI_p)^{-1}$ and $A\in \mathcal M_{p}$ deterministic, have a standard deviation of order $O(\|A\|_* / \sqrt n)$. Here, we show that $\|\mathbb E[R(z)] - \tilde R(z)\|_F \leq O(1/\sqrt n)$, where $\tilde R(z)$ is a deterministic matrix depending only on $z$ and on the means and covariances of the column vectors $x_1,\ldots, x_n$ (that do not have to be identically distributed). This estimation is key to providing accurate fluctuation rates of functionals of $X$ of interest (mostly related to its spectral properties) and is proved thanks to the introduction of a semi-metric $d_s$ defined on the set $\mathcal D_n(\mathbb H)$ of diagonal matrices with complex entries and positive imaginary part and satisfying, for all $D,D' \in \mathcal D_n(\mathbb H)$: $d_s(D,D') = \max_{i\in[n]} |D_i - D_i'|/ (\Im(D_i) \Im(D_i'))^{1/2}$. Possibly most importantly, the underlying concentration of measure assumption on the columns of $X$ finds an extremely natural ground for application in modern statistical machine learning algorithms where non-linear Lipschitz mappings and high number of classes form the base ingredients.

Cosme Louart, Romain Couillet

Starting from concentration of measure hypotheses on $m$ random vectors $Z_1,\ldots, Z_m$, this article provides an expression of the concentration of functionals $φ(Z_1,\ldots, Z_m)$ where the variations of $φ$ on each variable depend on the product of the norms (or semi-norms) of the other variables (as if $φ$ were a product). We illustrate the importance of this result through various generalizations of the Hanson-Wright concentration inequality as well as through a study of the random matrix $XDX^T$ and its resolvent $Q = (I_p - \frac{1}{n}XDX^T)^{-1}$, where $X$ and $D$ are random, which have fundamental interest in statistical machine learning applications.

Cosme Louart

This paper provides a framework to show the concentration of solutions $Y^*$ to convex minimizing problem where the objective function $φ(X)(Y)$ depends on some random vector $X$ satisfying concentration of measure hypotheses. More precisely, the convex problem translates into a contractive fixed point equation that ensure the transmission of the concentration from $X$ to $Y^*$. This result is of central interest to characterize many machine learning algorithms which are defined through implicit equations (e.g., logistic regression, lasso, boosting, etc.). Based on our framework, we provide precise estimations for the first moments of the solution $Y^*$, when $X= (x_1,\ldots, x_n)$ is a data matrix of independent columns and $φ(X)(y)$ writes as a sum $\frac{1}{n}\sum_{i=1}^n h_i(x_i^TY)$. That allows to describe the behavior and performance (e.g., generalization error) of a wide variety of machine learning classifiers.

Cosme Louart, Romain Couillet

This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt τ_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random vector), $m\in \mathbb R^p$ a deterministic signal and $τ_i\in \mathbb R$ a scalar perturbation of possibly large amplitude, under the assumption where both $n$ and $p$ are large. This estimator is defined as the fixed point of a function which we show is contracting for a so-called \textit{stable semi-metric}. We exploit this semi-metric along with concentration of measure arguments to prove the existence and uniqueness of the robust estimator as well as evaluate its limiting spectral distribution.

Mohamed El Amine Seddik, Cosme Louart, Mohamed Tamaazousti et al.

This paper shows that deep learning (DL) representations of data produced by generative adversarial nets (GANs) are random vectors which fall within the class of so-called \textit{concentrated} random vectors. Further exploiting the fact that Gram matrices, of the type $G = X^T X$ with $X=[x_1,\ldots,x_n]\in \mathbb{R}^{p\times n}$ and $x_i$ independent concentrated random vectors from a mixture model, behave asymptotically (as $n,p\to \infty$) as if the $x_i$ were drawn from a Gaussian mixture, suggests that DL representations of GAN-data can be fully described by their first two statistical moments for a wide range of standard classifiers. Our theoretical findings are validated by generating images with the BigGAN model and across different popular deep representation networks.

Cosme Louart, Zhenyu Liao, Romain Couillet

This article studies the Gram random matrix model $G=\frac1TΣ^{\rm T}Σ$, $Σ=σ(WX)$, classically found in the analysis of random feature maps and random neural networks, where $X=[x_1,\ldots,x_T]\in{\mathbb R}^{p\times T}$ is a (data) matrix of bounded norm, $W\in{\mathbb R}^{n\times p}$ is a matrix of independent zero-mean unit variance entries, and $σ:{\mathbb R}\to{\mathbb R}$ is a Lipschitz continuous (activation) function --- $σ(WX)$ being understood entry-wise. By means of a key concentration of measure lemma arising from non-asymptotic random matrix arguments, we prove that, as $n,p,T$ grow large at the same rate, the resolvent $Q=(G+γI_T)^{-1}$, for $γ>0$, has a similar behavior as that met in sample covariance matrix models, involving notably the moment $Φ=\frac{T}n{\mathbb E}[G]$, which provides in passing a deterministic equivalent for the empirical spectral measure of $G$. Application-wise, this result enables the estimation of the asymptotic performance of single-layer random neural networks. This in turn provides practical insights into the underlying mechanisms into play in random neural networks, entailing several unexpected consequences, as well as a fast practical means to tune the network hyperparameters.