Subexponential-Time Algorithms for Sparse PCA
This addresses a computational bottleneck in high-dimensional statistics for researchers and practitioners dealing with sparse PCA, providing incremental algorithmic improvements in the hard regime.
The paper tackles the problem of recovering a sparse principal component in random matrix models when sparsity is between polynomial-time and exponential-time regimes, showing that subexponential-time algorithms with runtime roughly exp(ρ²n) achieve a smooth tradeoff between sparsity and runtime, with evidence suggesting this tradeoff is optimal.
We study the computational cost of recovering a unit-norm sparse principal component $x \in \mathbb{R}^n$ planted in a random matrix, in either the Wigner or Wishart spiked model (observing either $W + λxx^\top$ with $W$ drawn from the Gaussian orthogonal ensemble, or $N$ independent samples from $\mathcal{N}(0, I_n + βxx^\top)$, respectively). Prior work has shown that when the signal-to-noise ratio ($λ$ or $β\sqrt{N/n}$, respectively) is a small constant and the fraction of nonzero entries in the planted vector is $\|x\|_0 / n = ρ$, it is possible to recover $x$ in polynomial time if $ρ\lesssim 1/\sqrt{n}$. While it is possible to recover $x$ in exponential time under the weaker condition $ρ\ll 1$, it is believed that polynomial-time recovery is impossible unless $ρ\lesssim 1/\sqrt{n}$. We investigate the precise amount of time required for recovery in the "possible but hard" regime $1/\sqrt{n} \ll ρ\ll 1$ by exploring the power of subexponential-time algorithms, i.e., algorithms running in time $\exp(n^δ)$ for some constant $δ\in (0,1)$. For any $1/\sqrt{n} \ll ρ\ll 1$, we give a recovery algorithm with runtime roughly $\exp(ρ^2 n)$, demonstrating a smooth tradeoff between sparsity and runtime. Our family of algorithms interpolates smoothly between two existing algorithms: the polynomial-time diagonal thresholding algorithm and the $\exp(ρn)$-time exhaustive search algorithm. Furthermore, by analyzing the low-degree likelihood ratio, we give rigorous evidence suggesting that the tradeoff achieved by our algorithms is optimal.