We study the problem of estimating a rank-1 signal in the presence of rotationally invariant noise--a class of perturbations more general than Gaussian noise. Principal Component Analysis (PCA) provides a natural estimator, and sharp results on its performance have been obtained in the high-dimensional regime. Recently, an Approximate Message Passing (AMP) algorithm has been proposed as an alternative estimator with the potential to improve the accuracy of PCA. However, the existing analysis of AMP requires an initialization that is both correlated with the signal and independent of the noise, which is often unrealistic in practice. In this work, we combine the two methods, and propose to initialize AMP with PCA. Our main result is a rigorous asymptotic characterization of the performance of this estimator. Both the AMP algorithm and its analysis differ from those previously derived in the Gaussian setting: at every iteration, our AMP algorithm requires a specific term to account for PCA initialization, while in the Gaussian case, PCA initialization affects only the first iteration of AMP. The proof is based on a two-phase artificial AMP that first approximates the PCA estimator and then mimics the true AMP. Our numerical simulations show an excellent agreement between AMP results and theoretical predictions, and suggest an interesting open direction on achieving Bayes-optimal performance.

The proof is based on a two-phase artificial AMP that first approximates the PCA estimator and then mimics the true AMP .

We study the problem of estimating a rank-1 signal in the presence of rotationally invariant noise--a class of perturbations more general than Gaussian noise. Principal Component Analysis (PCA) provides a natural estimator, and sharp results on its performance have been obtained in the high-dimensional regime. Recently, an Approximate Message Passing (AMP) algorithm has been proposed as an alternative estimator with the potential to improve the accuracy of PCA. However, the existing analysis of AMP requires an initialization that is both correlated with the signal and independent of the noise, which is often unrealistic in practice. In this work, we combine the two methods, and propose to initialize AMP with PCA.

A data-driven approach based on unsupervised machine learning is proposed to infer the intrinsic dimensions $m^{\ast}$ of the high-dimensional trajectories of the Fermi-Pasta-Ulam-Tsingou (FPUT) model. Principal component analysis (PCA) is applied to trajectory data consisting of $n_s = 4,000,000$ datapoints, of the FPUT $\beta$ model with $N = 32$ coupled oscillators, revealing a critical relationship between $m^{\ast}$ and the model's nonlinear strength. For weak nonlinearities, $m^{\ast} \ll n$, where $n = 2N$. In contrast, for strong nonlinearities, $m^{\ast} \rightarrow n - 1$, consistently with the ergodic hypothesis. Furthermore, one of the potential limitations of PCA is addressed through an analysis with t-distributed stochastic neighbor embedding ($t$-SNE). Accordingly, we found strong evidence suggesting that the datapoints lie near or on a curved low-dimensional manifold for weak nonlinearities.

We study the problem of estimating a rank-$1$ signal in the presence of rotationally invariant noise-a class of perturbations more general than Gaussian noise. Principal Component Analysis (PCA) provides a natural estimator, and sharp results on its performance have been obtained in the high-dimensional regime. Recently, an Approximate Message Passing (AMP) algorithm has been proposed as an alternative estimator with the potential to improve the accuracy of PCA. However, the existing analysis of AMP requires an initialization that is both correlated with the signal and independent of the noise, which is often unrealistic in practice. In this work, we combine the two methods, and propose to initialize AMP with PCA. Our main result is a rigorous asymptotic characterization of the performance of this estimator. Both the AMP algorithm and its analysis differ from those previously derived in the Gaussian setting: at every iteration, our AMP algorithm requires a specific term to account for PCA initialization, while in the Gaussian case, PCA initialization affects only the first iteration of AMP. The proof is based on a two-phase artificial AMP that first approximates the PCA estimator and then mimics the true AMP. Our numerical simulations show an excellent agreement between AMP results and theoretical predictions, and suggest an interesting open direction on achieving Bayes-optimal performance.