40,429 research outputs found
Structural Agnostic Modeling: Adversarial Learning of Causal Graphs
A new causal discovery method, Structural Agnostic Modeling (SAM), is
presented in this paper. Leveraging both conditional independencies and
distributional asymmetries in the data, SAM aims at recovering full causal
models from continuous observational data along a multivariate non-parametric
setting. The approach is based on a game between players estimating each
variable distribution conditionally to the others as a neural net, and an
adversary aimed at discriminating the overall joint conditional distribution,
and that of the original data. An original learning criterion combining
distribution estimation, sparsity and acyclicity constraints is used to enforce
the end-to-end optimization of the graph structure and parameters through
stochastic gradient descent. Besides the theoretical analysis of the approach
in the large sample limit, SAM is extensively experimentally validated on
synthetic and real data
Forecasting Time Series with VARMA Recursions on Graphs
Graph-based techniques emerged as a choice to deal with the dimensionality
issues in modeling multivariate time series. However, there is yet no complete
understanding of how the underlying structure could be exploited to ease this
task. This work provides contributions in this direction by considering the
forecasting of a process evolving over a graph. We make use of the
(approximate) time-vertex stationarity assumption, i.e., timevarying graph
signals whose first and second order statistical moments are invariant over
time and correlated to a known graph topology. The latter is combined with VAR
and VARMA models to tackle the dimensionality issues present in predicting the
temporal evolution of multivariate time series. We find out that by projecting
the data to the graph spectral domain: (i) the multivariate model estimation
reduces to that of fitting a number of uncorrelated univariate ARMA models and
(ii) an optimal low-rank data representation can be exploited so as to further
reduce the estimation costs. In the case that the multivariate process can be
observed at a subset of nodes, the proposed models extend naturally to Kalman
filtering on graphs allowing for optimal tracking. Numerical experiments with
both synthetic and real data validate the proposed approach and highlight its
benefits over state-of-the-art alternatives.Comment: submitted to the IEEE Transactions on Signal Processin
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