Fast Projected Newton-like Method for Precision Matrix Estimation under Total Positivity

• URL: http://arxiv.org/abs/2112.01939v4
• Date: Mon, 23 Oct 2023 02:55:33 GMT
• Title: Fast Projected Newton-like Method for Precision Matrix Estimation under Total Positivity
• Authors: Jian-Feng Cai, Jos\'e Vin\'icius de M. Cardoso, Daniel P. Palomar, Jiaxi Ying
• Abstract summary: Current algorithms are designed using the block coordinate descent method or the proximal point algorithm. We propose a novel algorithm based on the two-metric projection method, incorporating a carefully designed search direction and variable partitioning scheme. Experimental results on synthetic and real-world datasets demonstrate that our proposed algorithm provides a significant improvement in computational efficiency compared to the state-of-the-art methods.
• Score: 15.023842222803058
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We study the problem of estimating precision matrices in Gaussian distributions that are multivariate totally positive of order two ($\mathrm{MTP}_2$). The precision matrix in such a distribution is an M-matrix. This problem can be formulated as a sign-constrained log-determinant program. Current algorithms are designed using the block coordinate descent method or the proximal point algorithm, which becomes computationally challenging in high-dimensional cases due to the requirement to solve numerous nonnegative quadratic programs or large-scale linear systems. To address this issue, we propose a novel algorithm based on the two-metric projection method, incorporating a carefully designed search direction and variable partitioning scheme. Our algorithm substantially reduces computational complexity, and its theoretical convergence is established. Experimental results on synthetic and real-world datasets demonstrate that our proposed algorithm provides a significant improvement in computational efficiency compared to the state-of-the-art methods.

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