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arXiv 1609.09010math.OC
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基于结构范数最小化的图模型估计

Estimation of Graphical Models through Structured Norm Minimization

Davoud Ataee Tarzanagh, George Michailidis

摘要:

从高维数据中估计马尔可夫随机场和协方差模型是一个典型的问题,在文献中得到了很多关注。广泛采用的一个关键假设是基础模型的{ \em稀疏性}。在本文中,我们研究的问题,估计这样的模型表现出更复杂的结构,同时包括{ \em稀疏,结构稀疏}和{ \em密集}组件。这样的结构自然出现在几个科学领域,包括分子生物学、金融学和政治学。我们引入了一个新的结构化规范,使我们能够估计这样的复结构从高维数据的基础上的一般框架。由此产生的最优化问题是凸的,我们引入了线性化的多块交替方向法的乘法器(ADMM)算法来有效地解决它。我们说明了所提出的框架上的一些随机和结构化网络生成的合成数据集的优越性能。此外,我们将该方法应用到一些真实的数据集,并讨论了结果。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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