Nonlinear Laplacians: Tunable principal component analysis under directional prior information
Yuxin Ma, Dmitriy Kunisky
We introduce a new family of algorithms for detecting and estimating a rank-one signal from a noisy observation under prior information about that signal's direction, focusing on examples where the signal is known to have entries biased to be positive. Given a matrix observation $\mathbf{Y}$, our algorithms construct a *nonlinear Laplacian*, another matrix of the form $\mathbf{Y} + \mathrm{diag}(\sigma(\mathbf{Y 1})$ for a nonlinear $\sigma: \mathbb{R} \to \mathbb{R}$, and examine the top eigenvalue and eigenvector of this matrix. When $\mathbf{Y}$ is the (suitably normalized) adjacency matrix of a graph, our approach gives a class of algorithms that search for unusually dense subgraphs by computing a spectrum of the graph "deformed" by the degree profile $\mathbf{Y1}$. We study the performance of such algorithms compared to direct spectral algorithms (the case $\sigma = 0$) on models of sparse principal component analysis with biased signals, including the Gaussian planted submatrix problem. For such models, we rigorously characterize the critical threshold strength of rank-one signal, as a function of the nonlinearity $\sigma$, at which an outlier eigenvalue appears in the spectrum of a nonlinear Laplacian matrix. While identifying the $\sigma$ that minimizes this critical signal strength in closed form seems intractable, we explore three approaches to design $\sigma$ numerically: exhaustively searching over simple classes of $\sigma$, learning $\sigma$ from datasets of problem instances, and tuning $\sigma$ using black-box optimization of the critical signal strength. We find both theoretically and empirically that, if $\sigma$ is chosen appropriately, then nonlinear Laplacian spectral algorithms substantially outperform direct spectral algorithms, while avoiding the complexity of broader classes of algorithms like approximate message passing or general first order methods.