Observed universality of phase transitions in high-dimensional geometry, with implications for modern data analysis...

We review connections between phase transitions in high-dimensional combinatorial geometry and phase transitions occurring in modern high-dimensional data analysis and signal processing. In data analysis, such transitions arise as abrupt breakdown of linear model selection, robust data fitting or compressed sensing reconstructions, when the complexity of the model or the number of outliers increases beyond a threshold. In combinatorial geometry, these transitions appear as abrupt changes in the properties of face counts of convex polytopes when the dimensions are varied. The thresholds in these very different problems appear in the same critical locations after appropriate calibration of variables. These thresholds are important in each subject area: for linear modelling, they place hard limits on the degree to which the now ubiquitous high-throughput data analysis can be successful; for robustness, they place hard limits on the degree to which standard robust fitting methods can tolerate outliers before breaking down; for compressed sensing, they define the sharp boundary of the undersampling/sparsity trade-off curve in undersampling theorems. Existing derivations of phase transitions in combinatorial geometry assume that the underlying matrices have independent and identically distributed Gaussian elements. In applications, however, it often seems that Gaussianity is not required. We conducted an extensive computational experiment and formal inferential analysis to test the hypothesis that these phase transitions are universal across a range of underlying matrix ensembles. We ran millions of linear programs using random matrices spanning several matrix ensembles and problem sizes; visually, the empirical phase transitions do not depend on the ensemble, and they agree extremely well with the asymptotic theory assuming Gaussianity. Careful statistical analysis reveals discrepancies that can be explained as transient terms, decaying with problem size. The experimental results are thus consistent with an asymptotic large-n universality across matrix ensembles; finite-sample universality can be rejected.