Learning Networks of Stochastic Differential Equations

José Bento; Morteza Ibrahimi; Andrea Montanari

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arXiv · 1011.0415

Learning Networks of Stochastic Differential Equations

José Bento·Morteza Ibrahimi·Andrea Montanari

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Abstract

We consider linear models for stochastic dynamics. To any such model can be associated a network (namely a directed graph) describing which degrees of freedom interact under the dynamics. We tackle the problem of learning such a network from observation of the system trajectory over a time interval $T$. We analyze the $\ell_1$-regularized least squares algorithm and, in the setting in which the underlying network is sparse, we prove performance guarantees that are \emph{uniform in the sampling rate} as long as this is sufficiently high. This result substantiates the notion of a well defined `time complexity' for the network inference problem.

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math.ST cond-mat.stat-mech cs.IT cs.LG math.IT stat.TH

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BibTeX RIS

José Bento, Morteza Ibrahimi, Andrea Montanari. 2010-11-01. Learning Networks of Stochastic Differential Equations. https://arxiv.org/abs/1011.0415

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