Inverse Covariance Estimation for High-Dimensional Data in Linear Time and Space: Spectral Methods for Riccati and Sparse Models
Name
Jaakkola_Inverse covariance.pdf
Size
456.7 KB
Format
Adobe PDF
Checksum (MD5)
03049eaac360ac0c6d103b10bf825645
Author(s)
Honorio, Jean
Jaakkola, Tommi S.
Date Issued
July 2013
Journal
Proceedings of the 2013 Conference on Uncertainty in Artifical Intelligence
Publisher
Association for Uncertainty in Artificial Intelligence (AUAI)
Citation
Honorio, Jean and Tommi Jaakkola. "Inverse Covariance Estimation for High-Dimensional Data in Linear Time and Space: Spectral Methods for Riccati and Sparse Models." Proceedings of the 2013 Conference on Uncertainty in Artifical Intelligence, July 11-15, 2013, Bellevue, Washington.
Version
Author's final manuscript
Abstract
We propose maximum likelihood estimation for learning Gaussian graphical models with a Gaussian (ℓ[2 over 2]) prior on the parameters. This is in contrast to the commonly used Laplace (ℓ[subscript 1) prior for encouraging sparseness. We show that our optimization problem leads to a Riccati matrix equation, which has a closed form solution. We propose an efficient algorithm that performs a singular value decomposition of the training data. Our algorithm is O(NT[superscript 2])-time and O(NT)-space for N variables and T samples. Our method is tailored to high-dimensional problems (N >> T), in which sparseness promoting methods become intractable. Furthermore, instead of obtaining a single solution for a specific regularization parameter, our algorithm finds the whole solution path. We show that the method has logarithmic sample complexity under the spiked covariance model. We also propose sparsification of the dense solution with provable performance guarantees. We provide techniques for using our learnt models, such as removing unimportant variables, computing likelihoods and conditional distributions. Finally, we show promising results in several gene expressions datasets.
MIT Department
Massachusetts Institute of Technology. Computer Science and Artificial Intelligence Laboratory
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
http://www.auai.org/uai2013/acceptedPapers.shtml
