## UBC Probability Seminar: Jean-Christoph Mourrat (Online)

• Date: 05/21/2020
• Time: 09:00
Lecturer(s):
Jean-Christoph Mourrat, NYU
Location:

Online

Topic:

Rank-one matrix estimation and Hamilton-Jacobi equations III

Description:

We consider the problem of estimating large rank-one matrix, given noisy observations. This inference problem is known to have a phase transition, in the sense that partial recovery of the original matrix is only possible if the signal-to-noise ratio exceeds a (non-zero) value. We will present a new proof of this fact based on the study of a Hamilton-Jacobi equation. This alternative argument allows one to obtain better rates of convergence, and also seems more amenable to extensions to other models such as spin glasses.

Other Information: