28 research outputs found
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
Filtering Random Graph Processes Over Random Time-Varying Graphs
Graph filters play a key role in processing the graph spectra of signals
supported on the vertices of a graph. However, despite their widespread use,
graph filters have been analyzed only in the deterministic setting, ignoring
the impact of stochastic- ity in both the graph topology as well as the signal
itself. To bridge this gap, we examine the statistical behavior of the two key
filter types, finite impulse response (FIR) and autoregressive moving average
(ARMA) graph filters, when operating on random time- varying graph signals (or
random graph processes) over random time-varying graphs. Our analysis shows
that (i) in expectation, the filters behave as the same deterministic filters
operating on a deterministic graph, being the expected graph, having as input
signal a deterministic signal, being the expected signal, and (ii) there are
meaningful upper bounds for the variance of the filter output. We conclude the
paper by proposing two novel ways of exploiting randomness to improve (joint
graph-time) noise cancellation, as well as to reduce the computational
complexity of graph filtering. As demonstrated by numerical results, these
methods outperform the disjoint average and denoise algorithm, and yield a (up
to) four times complexity redution, with very little difference from the
optimal solution
Hodge-Compositional Edge Gaussian Processes
We propose principled Gaussian processes (GPs) for modeling functions defined
over the edge set of a simplicial 2-complex, a structure similar to a graph in
which edges may form triangular faces. This approach is intended for learning
flow-type data on networks where edge flows can be characterized by the
discrete divergence and curl. Drawing upon the Hodge decomposition, we first
develop classes of divergence-free and curl-free edge GPs, suitable for various
applications. We then combine them to create \emph{Hodge-compositional edge
GPs} that are expressive enough to represent any edge function. These GPs
facilitate direct and independent learning for the different Hodge components
of edge functions, enabling us to capture their relevance during hyperparameter
optimization. To highlight their practical potential, we apply them for flow
data inference in currency exchange, ocean flows and water supply networks,
comparing them to alternative models
Advances in Distributed Graph Filtering
Graph filters are one of the core tools in graph signal processing. A central
aspect of them is their direct distributed implementation. However, the
filtering performance is often traded with distributed communication and
computational savings. To improve this tradeoff, this work generalizes
state-of-the-art distributed graph filters to filters where every node weights
the signal of its neighbors with different values while keeping the aggregation
operation linear. This new implementation, labeled as edge-variant graph
filter, yields a significant reduction in terms of communication rounds while
preserving the approximation accuracy. In addition, we characterize the subset
of shift-invariant graph filters that can be described with edge-variant
recursions. By using a low-dimensional parametrization the proposed graph
filters provide insights in approximating linear operators through the
succession and composition of local operators, i.e., fixed support matrices,
which span applications beyond the field of graph signal processing. A set of
numerical results shows the benefits of the edge-variant filters over current
methods and illustrates their potential to a wider range of applications than
graph filtering