Estimation of Graphical Models through Structured Norm Minimization
Abstract
Estimation of Markov Random Field and covariance models from high-dimensional data represents a canonical problem that has received a lot of attention in the literature. A key assumption, widely employed, is that of {\em sparsity} of the underlying model. In this paper, we study the problem of estimating such models exhibiting a more intricate structure comprising simultaneously of {\em sparse, structured sparse} and {\em dense} components. Such structures naturally arise in several scientific fields, including molecular biology, finance, and political science. We introduce a general framework based on a novel structured norm that enables us to estimate such complex structures from high-dimensional data. The resulting optimization problem is convex and we introduce a linearized multi-block alternating direction method of multipliers (ADMM) algorithm to solve it efficiently. We illustrate the superior performance of the proposed framework on a number of synthetic data sets generated from both random and structured networks. Further, we apply the method to a number of real data sets and discuss the results.
Cite
@article{arxiv.1609.09010,
title = {Estimation of Graphical Models through Structured Norm Minimization},
author = {Davoud Ataee Tarzanagh and George Michailidis},
journal= {arXiv preprint arXiv:1609.09010},
year = {2018}
}
Comments
arXiv admin note: text overlap with arXiv:1402.7349 by other authors