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FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS

Abstract: 

While there is now a significant literature on sparse inverse covariance estimation, all that literature, with only a couple of exceptions, has dealt only with univariate (or scalar) net- works where each node carries a univariate signal. However in many, perhaps most, applications, each node may carry multivariate signals representing multi-attribute data, possibly of different dimensions. Modelling such multivariate (or vector) networks requires fitting block-sparse inverse covariance matrices. Here we achieve maximal block sparsity by maximizing a block-l0-sparse penalized likelihood. There is only one previous algorithm that already does this, but it does not scale. Here we address key computational bottlenecks and develop a new algorithm which is much faster and has massively reduced requirements on matrix conditioning. A benchmark study shows a computational speed-up by many orders of magnitude.

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Paper Details

Authors:
Submitted On:
15 May 2020 - 3:00am
Short Link:
Type:
Presentation Slides
Event:
Presenter's Name:
Zuogong Yue
Paper Code:
1151
Document Year:
2020
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Document Files

blockSpGGM.pdf

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[1] , "FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS", IEEE SigPort, 2020. [Online]. Available: http://sigport.org/5340. Accessed: Jul. 06, 2020.
@article{5340-20,
url = {http://sigport.org/5340},
author = { },
publisher = {IEEE SigPort},
title = {FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS},
year = {2020} }
TY - EJOUR
T1 - FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS
AU -
PY - 2020
PB - IEEE SigPort
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. (2020). FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS. IEEE SigPort. http://sigport.org/5340
, 2020. FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS. Available at: http://sigport.org/5340.
. (2020). "FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS." Web.
1. . FAST BLOCK-SPARSE ESTIMATION FOR VECTOR NETWORKS [Internet]. IEEE SigPort; 2020. Available from : http://sigport.org/5340