Efficient Variational Bayesian Structure Learning of Dynamic Graphical Models

• URL: http://arxiv.org/abs/2009.07703v2
• Date: Mon, 15 Mar 2021 15:59:08 GMT
• Title: Efficient Variational Bayesian Structure Learning of Dynamic Graphical Models
• Authors: Hang Yu, Songwei Wu, and Justin Dauwels
• Abstract summary: Estimating time-varying graphical models is of paramount importance in various social, financial, biological, and engineering systems. Existing methods require extensive tuning of parameters that control the graph sparsity and temporal smoothness. We propose a low-complexity tuning-free Bayesian approach, named BADGE.
• Score: 19.591265962713837
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Estimating time-varying graphical models are of paramount importance in various social, financial, biological, and engineering systems, since the evolution of such networks can be utilized for example to spot trends, detect anomalies, predict vulnerability, and evaluate the impact of interventions. Existing methods require extensive tuning of parameters that control the graph sparsity and temporal smoothness. Furthermore, these methods are computationally burdensome with time complexity O(NP^3) for P variables and N time points. As a remedy, we propose a low-complexity tuning-free Bayesian approach, named BADGE. Specifically, we impose temporally-dependent spike-and-slab priors on the graphs such that they are sparse and varying smoothly across time. A variational inference algorithm is then derived to learn the graph structures from the data automatically. Owning to the pseudo-likelihood and the mean-field approximation, the time complexity of BADGE is only O(NP^2). Additionally, by identifying the frequency-domain resemblance to the time-varying graphical models, we show that BADGE can be extended to learning frequency-varying inverse spectral density matrices, and yields graphical models for multivariate stationary time series. Numerical results on both synthetic and real data show that that BADGE can better recover the underlying true graphs, while being more efficient than the existing methods, especially for high-dimensional cases.

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