T-LoHo: A Bayesian Regularization Model for Structured Sparsity and
Smoothness on Graphs
- URL: http://arxiv.org/abs/2107.02510v1
- Date: Tue, 6 Jul 2021 10:10:03 GMT
- Title: T-LoHo: A Bayesian Regularization Model for Structured Sparsity and
Smoothness on Graphs
- Authors: Changwoo J. Lee, Zhao Tang Luo, Huiyan Sang
- Abstract summary: In graph-structured data, structured sparsity and smoothness tend to cluster together.
We propose a new prior for high dimensional parameters with graphical relations.
We use it to detect structured sparsity and smoothness simultaneously.
- Score: 0.0
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Many modern complex data can be represented as a graph. In models dealing
with graph-structured data, multivariate parameters are not just sparse but
have structured sparsity and smoothness in the sense that both zero and
non-zero parameters tend to cluster together. We propose a new prior for high
dimensional parameters with graphical relations, referred to as a Tree-based
Low-rank Horseshoe(T-LoHo) model, that generalizes the popular univariate
Bayesian horseshoe shrinkage prior to the multivariate setting to detect
structured sparsity and smoothness simultaneously. The prior can be embedded in
many hierarchical high dimensional models. To illustrate its utility, we apply
it to regularize a Bayesian high-dimensional regression problem where the
regression coefficients are linked on a graph. The resulting clusters have
flexible shapes and satisfy the cluster contiguity constraint with respect to
the graph. We design an efficient Markov chain Monte Carlo algorithm that
delivers full Bayesian inference with uncertainty measures for model parameters
including the number of clusters. We offer theoretical investigations of the
clustering effects and posterior concentration results. Finally, we illustrate
the performance of the model with simulation studies and real data applications
such as anomaly detection in road networks. The results indicate substantial
improvements over other competing methods such as sparse fused lasso.
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