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Abstract We analyze the dynamics of a random sequential message passing algorithm for approximate inference with large Gaussian latent variable models in a student–teacher scenario. To model nontrivial dependencies between the latent variables, we assume random covariance matrices drawn from rotation invariant ensembles. Moreover, we consider a model mismatching setting, where the teacher model and the one used by the student may be different. By means of dynamical functional approach, we obtain exact dynamical mean-field equations characterizing the dynamics of the inference algorithm. We also derive a range of model parameters for which the sequential algorithm does not converge. The boundary of this parameter range coincides with the de Almeida Thouless (AT) stability condition of the replica-symmetric ansatz for the static probabilistic model. 

Transfer learning seeks to improve the generalization performance of a target task by exploiting the knowledge learned from a related source task. Central questions include deciding what information one should transfer and when transfer can be beneficial. The latter question is related to the so-called negative transfer phenomenon, where the transferred source information actually reduces the generalization performance of the target task. This happens when the two tasks are sufficiently dissimilar. In this paper, we present a theoretical analysis of transfer learning by studying a pair of related perceptron learning tasks. Despite the simplicity of our model, it reproduces several key phenomena observed in practice. Specifically, our asymptotic analysis reveals a phase transition from negative transfer to positive transfer as the similarity of the two tasks moves past a well-defined threshold. 

In sparse linear regression, the SLOPE estimator generalizes LASSO by assigning magnitude-dependent regular- izations to different coordinates of the estimate. In this paper, we present an asymptotically exact characterization of the performance of SLOPE in the high-dimensional regime where the number of unknown parameters grows in proportion to the number of observations. Our asymptotic characterization enables us to derive optimal regularization sequences to either minimize the MSE or to maximize the power in variable selection under any given level of Type-I error. In both cases, we show that the optimal design can be recast as certain infinite-dimensional convex optimization problems, which have efficient and accurate finite-dimensional approximations. Numerical simulations verify our asymptotic predictions. They also demonstrate the superi- ority of our optimal design over LASSO and a regularization sequence previously proposed in the literature.