Fitting Laplacian Regularized Stratified Gaussian Models

DOI10.1007/S11081-021-09611-5MaRDI QIDQ6340006arXivFDO

Authors Jonathan E. Tuck, Stephen Boyd

Publication date 4 May 2020

Published in arXiv

Full work available at URL https://doi.org/10.1007/S11081-021-09611-5

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Artificial intelligence (68Txx) Mathematical programming (90Cxx)

arXiv classification

cs.LGeess.SPmath.OCstat.ML

Abstract: We consider the problem of jointly estimating multiple related zero-mean Gaussian distributions from data. We propose to jointly estimate these covariance matrices using Laplacian regularized stratified model fitting, which includes loss and regularization terms for each covariance matrix, and also a term that encourages the different covariances matrices to be close. This method `borrows strength' from the neighboring covariances, to improve its estimate. With well chosen hyper-parameters, such models can perform very well, especially in the low data regime. We propose a distributed method that scales to large problems, and illustrate the efficacy of the method with examples in finance, radar signal processing, and weather forecasting.

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