State-Space Network Topology Identification from Partial Observations

In this work, we explore the state-space formulation of a network process to recover, from partial observations, the underlying network topology that drives its dynamics. To do so, we employ subspace techniques borrowed from system identification literature and extend them to the network topology identification problem. This approach provides a unified view of the traditional network control theory and signal processing on graphs. In addition, it provides theoretical guarantees for the recovery of the topological structure of a deterministic continuous-time linear dynamical system from input-output observations even though the input and state interaction networks might be different. The derived mathematical analysis is accompanied by an algorithm for identifying, from data, a network topology consistent with the dynamics of the system and conforms to the prior information about the underlying structure. The proposed algorithm relies on alternating projections and is provably convergent. Numerical results corroborate the theoretical findings and the applicability of the proposed algorithm.Comment: 13 pages, 3 appendix page

Does the ℓ1\ell_1-norm Learn a Sparse Graph under Laplacian Constrained Graphical Models?

We consider the problem of learning a sparse graph under Laplacian constrained Gaussian graphical models. This problem can be formulated as a penalized maximum likelihood estimation of the precision matrix under Laplacian structural constraints. Like in the classical graphical lasso problem, recent works made use of the $\ell_1$-norm regularization with the goal of promoting sparsity in Laplacian structural precision matrix estimation. However, we find that the widely used $\ell_1$-norm is not effective in imposing a sparse solution in this problem. Through empirical evidence, we observe that the number of nonzero graph weights grows with the increase of the regularization parameter. From a theoretical perspective, we prove that a large regularization parameter will surprisingly lead to a fully connected graph. To address this issue, we propose a nonconvex estimation method by solving a sequence of weighted $\ell_1$-norm penalized sub-problems and prove that the statistical error of the proposed estimator matches the minimax lower bound. To solve each sub-problem, we develop a projected gradient descent algorithm that enjoys a linear convergence rate. Numerical experiments involving synthetic and real-world data sets from the recent COVID-19 pandemic and financial stock markets demonstrate the effectiveness of the proposed method. An open source $\mathsf{R}$ package containing the code for all the experiments is available at https://github.com/mirca/sparseGraph