A fast iterative algorithm for high-dimensional differential network

DOI10.1007/S00180-019-00915-WzbMATH Open1505.62398arXiv1901.07150OpenAlexW2968096253WikidataQ127371705 ScholiaQ127371705MaRDI QIDQ2184396FDOQ2184396

Authors: Zhou Tang, Zhangsheng Yu, Cheng Wang 

Publication date: 28 May 2020

Published in: Computational Statistics (Search for Journal in Brave)

Abstract: Differential network is an important tool to capture the changes of conditional correlations under two sample cases. In this paper, we introduce a fast iterative algorithm to recover the differential network for high-dimensional data. The computation complexity of our algorithm is linear in the sample size and the number of parameters, which is optimal in the sense that it is of the same order as computing two sample covariance matrices. The proposed method is appealing for high-dimensional data with a small sample size. The experiments on simulated and real data sets show that the proposed algorithm outperforms other existing methods.

Full work available at URL: https://arxiv.org/abs/1901.07150

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zbMATH Keywords

Gaussian graphical modelhigh-dimensional dataADMMprecision matrixdifferential network

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22)

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Cited In (3)

• High-dimensional approximate r-nets
• Efficient computation for differential network analysis with applications to quadratic discriminant analysis
• Differential network inference via the fused D-trace loss with cross variables

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