Inverse Covariance Estimation for High-Dimensional Data in Linear Time and Space: Spectral Methods for Riccati and Sparse Models

We propose maximum likelihood estimation for learning Gaussian graphical models with a Gaussian (ell_2^2) prior on the parameters. This is in contrast to the commonly used Laplace (ell_1) prior for encouraging sparseness. We show that our optimization problem leads to a Riccati matrix equation, which has a closed form solution. We propose an efficient algorithm that performs a singular value decomposition of the training data. Our algorithm is O(NT^2)-time and O(NT)-space for N variables and T samples. Our method is tailored to high-dimensional problems (N gg T), in which sparseness promoting methods become intractable. Furthermore, instead of obtaining a single solution for a specific regularization parameter, our algorithm finds the whole solution path. We show that the method has logarithmic sample complexity under the spiked covariance model. We also propose sparsification of the dense solution with provable performance guarantees. We provide techniques for using our learnt models, such as removing unimportant variables, computing likelihoods and conditional distributions. Finally, we show promising results in several gene expressions datasets.Comment: Appears in Proceedings of the Twenty-Ninth Conference on Uncertainty in Artificial Intelligence (UAI2013

From random walks to distances on unweighted graphs

Large unweighted directed graphs are commonly used to capture relations between entities. A fundamental problem in the analysis of such networks is to properly define the similarity or dissimilarity between any two vertices. Despite the significance of this problem, statistical characterization of the proposed metrics has been limited. We introduce and develop a class of techniques for analyzing random walks on graphs using stochastic calculus. Using these techniques we generalize results on the degeneracy of hitting times and analyze a metric based on the Laplace transformed hitting time (LTHT). The metric serves as a natural, provably well-behaved alternative to the expected hitting time. We establish a general correspondence between hitting times of the Brownian motion and analogous hitting times on the graph. We show that the LTHT is consistent with respect to the underlying metric of a geometric graph, preserves clustering tendency, and remains robust against random addition of non-geometric edges. Tests on simulated and real-world data show that the LTHT matches theoretical predictions and outperforms alternatives.Comment: To appear in NIPS 201