Related papers: Graphical Nonconvex Optimization for Optimal Estim…
We consider the problem of learning a sparse graph under the Laplacian constrained Gaussian graphical models. This problem can be formulated as a penalized maximum likelihood estimation of the Laplacian constrained precision matrix. Like in…
We propose a stochastic variance reduced optimization algorithm for solving sparse learning problems with cardinality constraints. Sufficient conditions are provided, under which the proposed algorithm enjoys strong linear convergence…
In high dimensions we propose and analyze an aggregation estimator of the precision matrix for Gaussian graphical models. This estimator, called graphical Exponential Screening (gES), linearly combines a suitable set of individual…
We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…
Gaussian graphical regressions have emerged as a powerful approach for regressing the precision matrix of a Gaussian graphical model on covariates, which, unlike traditional Gaussian graphical models, can help determine how graphs are…
The graphical lasso (glasso) is a widely-used fast algorithm for estimating sparse inverse covariance matrices. The glasso solves an L1 penalized maximum likelihood problem and is available as an R library on CRAN. The output from the…
In this article, we discuss the composite likelihood estimation of sparse Gaussian graphical models. When there are symmetry constraints on the concentration matrix or partial correlation matrix, the likelihood estimation can be…
Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…
In this paper we analyze several inexact fast augmented Lagrangian methods for solving linearly constrained convex optimization problems. Mainly, our methods rely on the combination of excessive-gap-like smoothing technique developed in…
Many Machine Learning algorithms are formulated as regularized optimization problems, but their performance hinges on a regularization parameter that needs to be calibrated to each application at hand. In this paper, we propose a general…
We study the problem of estimating from data, a sparse approximation to the inverse covariance matrix. Estimating a sparsity constrained inverse covariance matrix is a key component in Gaussian graphical model learning, but one that is…
We study the problem of learning latent variables in Gaussian graphical models. Existing methods for this problem assume that the precision matrix of the observed variables is the superposition of a sparse and a low-rank component. In this…
We tackle the network topology inference problem by utilizing Laplacian constrained Gaussian graphical models, which recast the task as estimating a precision matrix in the form of a graph Laplacian. Recent research \cite{ying2020nonconvex}…
In a task where many similar inverse problems must be solved, evaluating costly simulations is impractical. Therefore, replacing the model $y$ with a surrogate model $y_s$ that can be evaluated quickly leads to a significant speedup. The…
In this paper, we consider the Graphical Lasso (GL), a popular optimization problem for learning the sparse representations of high-dimensional datasets, which is well-known to be computationally expensive for large-scale problems.…
In this manuscript a unified framework for conducting inference on complex aggregated data in high dimensional settings is proposed. The data are assumed to be a collection of multiple non-Gaussian realizations with underlying undirected…
In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations in each equation (T). It is well known in the literature…
We study computational and statistical consequences of problem geometry in stochastic and online optimization. By focusing on constraint set and gradient geometry, we characterize the problem families for which stochastic- and…
We consider robust covariance estimation with group symmetry constraints. Non-Gaussian covariance estimation, e.g., Tyler scatter estimator and Multivariate Generalized Gaussian distribution methods, usually involve non-convex minimization…
In this paper, we propose a new way to obtain optimal convergence rates for smooth stochastic (strong) convex optimization tasks. Our approach is based on results for optimization tasks where gradients have nonrandom noise. In contrast to…