Factorizing low-rank matrices has many applications in machine learning and statistics. For probabilistic models in the Bayes optimal setting, a general expression for the mutual information has been proposed using heuristic statistical physics computations, and proven in few specific cases. Here, we show how to rigorously prove the conjectured formula for the symmetric rank-one case. This allows to express the minimal mean-square-error and to characterize the detectability phase transitions in a large set of estimation problems ranging from community detection to sparse PCA. We also show that for a large set of parameters, an iterative algorithm called approximate message-passing is Bayes optimal. There exists, however, a gap between what currently known polynomial algorithms can do and what is expected information theoretically. Additionally, the proof technique has an interest of its own and exploits three essential ingredients: the interpolation method introduced in statistical physics by Guerra, the analysis of the approximate message-passing algorithm and the theory of spatial coupling and threshold saturation in coding. Our approach is generic and applicable to other open problems in statistical estimation where heuristic statistical physics predictions are available.

该论文研究如何采用严谨的方法证明低秩矩阵的对称秩一情况的互信息，进而表达最小均方误差和表征检测相位转变；同时介绍了一种被称为近似消息传递的迭代算法在贝叶斯最优条件下的优越性，并提出了通用的解决其他问题的方法。

对称秩一矩阵估计的互信息: 复制公式的证明