论文标题
具有隐藏聚类结构的稀疏高斯图形模型的估计
Estimation of sparse Gaussian graphical models with hidden clustering structure
论文作者
论文摘要
当图形形式以变量之间的统计关系建模时,高斯图形模型的估计在自然科学中很重要。浓度矩阵的稀疏性和聚类结构被执行以降低模型的复杂性并描述固有的规律性。我们提出了一个模型,以估算具有隐藏聚类结构的稀疏高斯图形模型,该模型还允许对浓度矩阵施加其他线性约束。我们设计了一种有效的两相算法,用于求解所提出的模型。我们开发了一种基于对称的高斯 - 西德尔的交替方向方法(SGS-ADMM),以生成一个初始点,以温暖启动第二阶段算法,这是一种近端增强的Lagrangian方法(PALM),以高精度获得溶液。关于合成数据和实际数据的数值实验证明了我们模型的良好性能以及我们提出的算法的效率和鲁棒性。
Estimation of Gaussian graphical models is important in natural science when modeling the statistical relationships between variables in the form of a graph. The sparsity and clustering structure of the concentration matrix is enforced to reduce model complexity and describe inherent regularities. We propose a model to estimate the sparse Gaussian graphical models with hidden clustering structure, which also allows additional linear constraints to be imposed on the concentration matrix. We design an efficient two-phase algorithm for solving the proposed model. We develop a symmetric Gauss-Seidel based alternating direction method of the multipliers (sGS-ADMM) to generate an initial point to warm-start the second phase algorithm, which is a proximal augmented Lagrangian method (pALM), to get a solution with high accuracy. Numerical experiments on both synthetic data and real data demonstrate the good performance of our model, as well as the efficiency and robustness of our proposed algorithm.