Generalized Stability Approach for Regularized Graphical Models
From MaRDI portal
Publication:79393
DOI10.48550/ARXIV.1605.07072arXiv1605.07072MaRDI QIDQ79393FDOQ79393
Authors: Christian L. Müller, Richard Bonneau, Zachary Kurtz 
Publication date: 23 May 2016
Abstract: Selecting regularization parameters in penalized high-dimensional graphical models in a principled, data-driven, and computationally efficient manner continues to be one of the key challenges in high-dimensional statistics. We present substantial computational gains and conceptual generalizations of the Stability Approach to Regularization Selection (StARS), a state-of-the-art graphical model selection scheme. Using properties of the Poisson-Binomial distribution and convex non-asymptotic distributional modeling we propose lower and upper bounds on the StARS graph regularization path which results in greatly reduced computational cost without compromising regularization selection. We also generalize the StARS criterion from single edge to induced subgraph (graphlet) stability. We show that simultaneously requiring edge and graphlet stability leads to superior graph recovery performance independent of graph topology. These novel insights render Gaussian graphical model selection a routine task on standard multi-core computers.
Cited In (1)
This page was built for publication: Generalized Stability Approach for Regularized Graphical Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q79393)
