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arXiv · 2102.03585

Scalable Inference of Sparsely-changing Markov Random Fields with Strong Statistical Guarantees

Salar Fattahi·Andres Gomez
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Abstract

In this paper, we study the problem of inferring time-varying Markov random fields (MRF), where the underlying graphical model is both sparse and changes sparsely over time. Most of the existing methods for the inference of time-varying MRFs rely on the regularized maximum likelihood estimation (MLE), that typically suffer from weak statistical guarantees and high computational time. Instead, we introduce a new class of constrained optimization problems for the inference of sparsely-changing MRFs. The proposed optimization problem is formulated based on the exact $\ell_0$ regularization, and can be solved in near-linear time and memory. Moreover, we show that the proposed estimator enjoys a provably small estimation error. As a special case, we derive sharp statistical guarantees for the inference of sparsely-changing Gaussian MRFs (GMRF) in the high-dimensional regime, showing that such problems can be learned with as few as one sample per time. Our proposed method is extremely efficient in practice: it can accurately estimate sparsely-changing graphical models with more than 500 million variables in less than one hour.

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Salar Fattahi, Andres Gomez. 2021-02-06. Scalable Inference of Sparsely-changing Markov Random Fields with Strong Statistical Guarantees. https://arxiv.org/abs/2102.03585

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