6,685 research outputs found
High-dimensional Sparse Inverse Covariance Estimation using Greedy Methods
In this paper we consider the task of estimating the non-zero pattern of the
sparse inverse covariance matrix of a zero-mean Gaussian random vector from a
set of iid samples. Note that this is also equivalent to recovering the
underlying graph structure of a sparse Gaussian Markov Random Field (GMRF). We
present two novel greedy approaches to solving this problem. The first
estimates the non-zero covariates of the overall inverse covariance matrix
using a series of global forward and backward greedy steps. The second
estimates the neighborhood of each node in the graph separately, again using
greedy forward and backward steps, and combines the intermediate neighborhoods
to form an overall estimate. The principal contribution of this paper is a
rigorous analysis of the sparsistency, or consistency in recovering the
sparsity pattern of the inverse covariance matrix. Surprisingly, we show that
both the local and global greedy methods learn the full structure of the model
with high probability given just samples, which is a
\emph{significant} improvement over state of the art -regularized
Gaussian MLE (Graphical Lasso) that requires samples. Moreover,
the restricted eigenvalue and smoothness conditions imposed by our greedy
methods are much weaker than the strong irrepresentable conditions required by
the -regularization based methods. We corroborate our results with
extensive simulations and examples, comparing our local and global greedy
methods to the -regularized Gaussian MLE as well as the Neighborhood
Greedy method to that of nodewise -regularized linear regression
(Neighborhood Lasso).Comment: Accepted to AI STAT 2012 for Oral Presentatio
Let's Make Block Coordinate Descent Go Fast: Faster Greedy Rules, Message-Passing, Active-Set Complexity, and Superlinear Convergence
Block coordinate descent (BCD) methods are widely-used for large-scale
numerical optimization because of their cheap iteration costs, low memory
requirements, amenability to parallelization, and ability to exploit problem
structure. Three main algorithmic choices influence the performance of BCD
methods: the block partitioning strategy, the block selection rule, and the
block update rule. In this paper we explore all three of these building blocks
and propose variations for each that can lead to significantly faster BCD
methods. We (i) propose new greedy block-selection strategies that guarantee
more progress per iteration than the Gauss-Southwell rule; (ii) explore
practical issues like how to implement the new rules when using "variable"
blocks; (iii) explore the use of message-passing to compute matrix or Newton
updates efficiently on huge blocks for problems with a sparse dependency
between variables; and (iv) consider optimal active manifold identification,
which leads to bounds on the "active set complexity" of BCD methods and leads
to superlinear convergence for certain problems with sparse solutions (and in
some cases finite termination at an optimal solution). We support all of our
findings with numerical results for the classic machine learning problems of
least squares, logistic regression, multi-class logistic regression, label
propagation, and L1-regularization
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