Fast and Scalable Learning of Sparse Changes in High-Dimensional Gaussian Graphical Model Structure
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Publication:149683
DOI10.48550/ARXIV.1710.11223arXiv1710.11223MaRDI QIDQ149683FDOQ149683
Yanjun Qi, Arshdeep Sekhon, Beilun Wang
Publication date: 30 October 2017
Abstract: We focus on the problem of estimating the change in the dependency structures of two -dimensional Gaussian Graphical models (GGMs). Previous studies for sparse change estimation in GGMs involve expensive and difficult non-smooth optimization. We propose a novel method, DIFFEE for estimating DIFFerential networks via an Elementary Estimator under a high-dimensional situation. DIFFEE is solved through a faster and closed form solution that enables it to work in large-scale settings. We conduct a rigorous statistical analysis showing that surprisingly DIFFEE achieves the same asymptotic convergence rates as the state-of-the-art estimators that are much more difficult to compute. Our experimental results on multiple synthetic datasets and one real-world data about brain connectivity show strong performance improvements over baselines, as well as significant computational benefits.
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