- Keywords: Generalized Linear Model, Hessian, Spectral Analysis, Random Matrix Theory.
- TL;DR: Precise asymptotic characterization of a family of (convex and non-convex) generalized GLMs, including the (limiting) eigenvalue distribution, the behavior of isolated eigenvalues and eigenvectors.
- Abstract: Given an optimization problem, the Hessian matrix and its eigenspectrum can be used in many ways, ranging from designing more efficient second-order algorithms to performing model analysis and regression diagnostics. When nonlinear models and non-convex problems are considered, strong simplifying assumptions are often made to make Hessian spectral analysis more tractable. This leads to the question of how relevant the conclusions of such analyses are for realistic nonlinear models. In this paper, we exploit tools from random matrix theory to make a *precise* characterization of the Hessian eigenspectra for a broad family of nonlinear models that extends the classical generalized linear models, without relying on strong simplifying assumptions used previously. We show that, depending on the data properties, the nonlinear response model, and the loss function, the Hessian can have *qualitatively* different spectral behaviors: of bounded or unbounded support, with single- or multi-bulk, and with isolated eigenvalues on the left- or right-hand side of the main eigenvalue bulk. By focusing on such a simple but nontrivial model, our analysis takes a step forward to unveil the theoretical origin of many visually striking features observed in more realistic machine learning models.
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