High precision variational Bayesian inference of sparse linear networks

DOI10.1016/J.AUTOMATICA.2020.109017zbMATH Open1447.93061arXiv1901.00673OpenAlexW3024607720MaRDI QIDQ2188259FDOQ2188259

Ye Yuan, Junyang Jin, Jorge Goncalves

Publication date: 10 June 2020

Published in: Automatica (Search for Journal in Brave)

Abstract: Sparse networks can be found in a wide range of applications, such as biological and communication networks. Inference of such networks from data has been receiving considerable attention lately, mainly driven by the need to understand and control internal working mechanisms. However, while most available methods have been successful at predicting many correct links, they also tend to infer many incorrect links. Precision is the ratio between the number of correctly inferred links and all inferred links, and should ideally be close to 100%. For example, 50% precision means that half of inferred links are incorrect, and there is only a 50% chance of picking a correct one. In contrast, this paper develops a method, based on variational Bayesian inference and Gaussian processes, that focuses on inferring links with very high precision. In addition, our method does not require full-state measurements and effectively promotes both system stability and network sparsity. Monte Carlo simulations illustrate that our method has 100% or nearly 100% precision, even in the presence of noise. The method should be applicable to a wide range of network inference contexts, including biological networks and power systems.

Full work available at URL: https://arxiv.org/abs/1901.00673

zbMATH Keywords

variational inferencesystem identificationsparse networksnetwork inferencedynamical structure function

Mathematics Subject Classification ID

Bayesian inference (62F15) Systems biology, networks (92C42) System identification (93B30) Linear systems in control theory (93C05) Networked control (93B70)

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Cited In (4)

• Sparse estimation in linear dynamic networks using the stable spline horseshoe prior
• Data augmentation-based statistical inference of diffusion processes
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Uses Software

• quadgk
• PRMLT
• quadva

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