Identification of Sparse Reciprocal Graphical Models

In this paper we propose an identification procedure of a sparse graphical model associated to a Gaussian stationary stochastic process. The identification paradigm exploits the approximation of autoregressive processes through reciprocal processes in order to improve the robustness of the identification algorithm, especially when the order of the autoregressive process becomes large. We show that the proposed paradigm leads to a regularized, circulant matrix completion problem whose solution only requires computations of the eigenvalues of matrices of dimension equal to the dimension of the process

Generalized Network Psychometrics: Combining Network and Latent Variable Models

We introduce the network model as a formal psychometric model, conceptualizing the covariance between psychometric indicators as resulting from pairwise interactions between observable variables in a network structure. This contrasts with standard psychometric models, in which the covariance between test items arises from the influence of one or more common latent variables. Here, we present two generalizations of the network model that encompass latent variable structures, establishing network modeling as parts of the more general framework of Structural Equation Modeling (SEM). In the first generalization, we model the covariance structure of latent variables as a network. We term this framework Latent Network Modeling (LNM) and show that, with LNM, a unique structure of conditional independence relationships between latent variables can be obtained in an explorative manner. In the second generalization, the residual variance-covariance structure of indicators is modeled as a network. We term this generalization Residual Network Modeling (RNM) and show that, within this framework, identifiable models can be obtained in which local independence is structurally violated. These generalizations allow for a general modeling framework that can be used to fit, and compare, SEM models, network models, and the RNM and LNM generalizations. This methodology has been implemented in the free-to-use software package lvnet, which contains confirmatory model testing as well as two exploratory search algorithms: stepwise search algorithms for low-dimensional datasets and penalized maximum likelihood estimation for larger datasets. We show in simulation studies that these search algorithms performs adequately in identifying the structure of the relevant residual or latent networks. We further demonstrate the utility of these generalizations in an empirical example on a personality inventory dataset.Comment: Published in Psychometrik

Sparse plus low-rank identification for dynamical latent-variable graphical AR models

This paper focuses on the identification of graphical autoregressive models with dynamical latent variables. The dynamical structure of latent variables is described by a matrix polynomial transfer function. Taking account of the sparse interactions between the observed variables and the low-rank property of the latent-variable model, a new sparse plus low-rank optimization problem is formulated to identify the graphical auto-regressive part, which is then handled using the trace approximation and reweighted nuclear norm minimization. Afterwards, the dynamics of latent variables are recovered from low-rank spectral decomposition using the trace norm convex programming method. Simulation examples are used to illustrate the effectiveness of the proposed approach

On the Identification of Sparse plus Low-rank Graphical Models

This thesis proposes an identification procedure for periodic, Gaussian, stationary reciprocal processes, under the assumption that the conditional dependence relations among the observed variables are mainly due to a limited number of latent variables. The identification procedure combines the sparse plus low-rank decomposition of the inverse covariance matrix of the process and the maximum entropy solution for the block-circulant band extension problem recently proposed in the literatur

A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters

This paper proposes a hierarchical, multi-resolution framework for the identification of model parameters and their spatially variability from noisy measurements of the response or output. Such parameters are frequently encountered in PDE-based models and correspond to quantities such as density or pressure fields, elasto-plastic moduli and internal variables in solid mechanics, conductivity fields in heat diffusion problems, permeability fields in fluid flow through porous media etc. The proposed model has all the advantages of traditional Bayesian formulations such as the ability to produce measures of confidence for the inferences made and providing not only predictive estimates but also quantitative measures of the predictive uncertainty. In contrast to existing approaches it utilizes a parsimonious, non-parametric formulation that favors sparse representations and whose complexity can be determined from the data. The proposed framework in non-intrusive and makes use of a sequence of forward solvers operating at various resolutions. As a result, inexpensive, coarse solvers are used to identify the most salient features of the unknown field(s) which are subsequently enriched by invoking solvers operating at finer resolutions. This leads to significant computational savings particularly in problems involving computationally demanding forward models but also improvements in accuracy. It is based on a novel, adaptive scheme based on Sequential Monte Carlo sampling which is embarrassingly parallelizable and circumvents issues with slow mixing encountered in Markov Chain Monte Carlo schemes