arXiv subjects

Ksheera Sagar

Publications and source records attributed to Ksheera Sagar.

6 recordsLinked to original sources

arXiv2025

An Order of Magnitude Time Complexity Reduction for Gaussian Graphical Model Posterior Sampling Using a Reverse Telescoping Block Decomposition

We consider the problem of fully Bayesian posterior estimation and uncertainty quantification in undirected Gaussian graphical models via Markov chain Monte Carlo (MCMC) under recently-developed element-wise graphical priors, such as the graphical horseshoe. Unlike the conjugate Wishart family, these priors are non-conjugate; but have the advantage that they naturally allow one to encode a prior belief of sparsity in the off-diagonal elements of the precision matrix, without imposing a structure on the entire matrix. Unfortunately, for a graph with $p$ nodes and with $n$ samples, the state-of-the-art MCMC approaches for the element-wise priors achieve a per iteration complexity of ${O}(p^4),$ which is prohibitive when $p\gg n$. In this regime, we develop a suitably reparameterized MCMC with per iteration complexity of ${O}(p^3)$, providing a one order of magnitude improvement, and consequently bringing the per iteration computational cost at par with the conjugate Wishart family, which is also ${O}(p^3)$ due to a use of the classical Bartlett decomposition, but this decomposition does not apply outside the Wishart family. Importantly, the proposed benefit is obtained solely due to our reparameterization in an MCMC scheme targeting the true posterior, that reverses the recently developed telescoping block decomposition of Bhadra et al. (2024), in a suitable sense. There is no variational or any other approximate Bayesian computation scheme considered in this paper that compromises targeting the true posterior. Simulations and the analysis of a breast cancer data set confirm both the correctness and better algorithmic scaling of the proposed reverse telescoping sampler.

stat.ME↗

arXiv2024

Evidence Estimation in Gaussian Graphical Models Using a Telescoping Block Decomposition of the Precision Matrix

Marginal likelihood, also known as model evidence, is a fundamental quantity in Bayesian statistics. It is used for model selection using Bayes factors or for empirical Bayes tuning of prior hyper-parameters. Yet, the calculation of evidence has remained a longstanding open problem in Gaussian graphical models. Currently, the only feasible solutions that exist are for special cases such as the Wishart or G-Wishart, in moderate dimensions. We develop an approach based on a novel telescoping block decomposition of the precision matrix that allows the estimation of evidence by application of Chib's technique under a very broad class of priors under mild requirements. Specifically, the requirements are: (a) the priors on the diagonal terms on the precision matrix can be written as gamma or scale mixtures of gamma random variables and (b) those on the off-diagonal terms can be represented as normal or scale mixtures of normal. This includes structured priors such as the Wishart or G-Wishart, and more recently introduced element-wise priors, such as the Bayesian graphical lasso and the graphical horseshoe. Among these, the true marginal is known in an analytically closed form for Wishart, providing a useful validation of our approach. For the general setting of the other three, and several more priors satisfying conditions (a) and (b) above, the calculation of evidence has remained an open question that this article resolves under a unifying framework.

stat.ME↗

arXiv2023

Maximum a Posteriori Estimation in Graphical Models Using Local Linear Approximation

Sparse structure learning in high-dimensional Gaussian graphical models is an important problem in multivariate statistical signal processing; since the sparsity pattern naturally encodes the conditional independence relationship among variables. However, maximum a posteriori (MAP) estimation is challenging under hierarchical prior models, and traditional numerical optimization routines or expectation--maximization algorithms are difficult to implement. To this end, our contribution is a novel local linear approximation scheme that circumvents this issue using a very simple computational algorithm. Most importantly, the condition under which our algorithm is guaranteed to converge to the MAP estimate is explicitly stated and is shown to cover a broad class of completely monotone priors, including the graphical horseshoe. Further, the resulting MAP estimate is shown to be sparse and consistent in the $\ell_2$-norm. Numerical results validate the speed, scalability, and statistical performance of the proposed method.

stat.ME↗

arXiv2023

Bayesian Covariate-Dependent Quantile Directed Acyclic Graphical Models for Individualized Inference

We propose an approach termed ``qDAGx'' for Bayesian covariate-dependent quantile directed acyclic graphs (DAGs) where these DAGs are individualized, in the sense that they depend on individual-specific covariates. The individualized DAG structure of the proposed approach can be uniquely identified at any given quantile, based on purely observational data without strong assumptions such as a known topological ordering. To scale the proposed method to a large number of variables and covariates, we propose for the model parameters a novel parameter expanded horseshoe prior that affords a number of attractive theoretical and computational benefits to our approach. By modeling the conditional quantiles, qDAGx overcomes the common limitations of mean regression for DAGs, which can be sensitive to the choice of likelihood, e.g., an assumption of multivariate normality, as well as to the choice of priors. We demonstrate the performance of qDAGx through extensive numerical simulations and via an application in precision medicine, which infers patient-specific protein--protein interaction networks in lung cancer.

stat.ME↗

arXiv2022

A Laplace Mixture Representation of the Horseshoe and Some Implications

The horseshoe prior, defined as a half Cauchy scale mixture of normal, provides a state of the art approach to Bayesian sparse signal recovery. We provide a new representation of the horseshoe density as a scale mixture of the Laplace density, explicitly identifying the mixing measure. Using the celebrated Bernstein--Widder theorem and a result due to Bochner, our representation immediately establishes the complete monotonicity of the horseshoe density and strong concavity of the corresponding penalty. Consequently, the equivalence between local linear approximation and expectation--maximization algorithms for finding the posterior mode under the horseshoe penalized regression is established. Further, the resultant estimate is shown to be sparse.

stat.ME↗

arXiv2022

Precision Matrix Estimation under the Horseshoe-like Prior-Penalty Dual

Precision matrix estimation in a multivariate Gaussian model is fundamental to network estimation. Although there exist both Bayesian and frequentist approaches to this, it is difficult to obtain good Bayesian and frequentist properties under the same prior--penalty dual. To bridge this gap, our contribution is a novel prior--penalty dual that closely approximates the graphical horseshoe prior and penalty, and performs well in both Bayesian and frequentist senses. A chief difficulty with the horseshoe prior is a lack of closed form expression of the density function, which we overcome in this article. In terms of theory, we establish posterior convergence rate of the precision matrix that matches the oracle rate, in addition to the frequentist consistency of the MAP estimator. In addition, our results also provide theoretical justifications for previously developed approaches that have been unexplored so far, e.g. for the graphical horseshoe prior. Computationally efficient EM and MCMC algorithms are developed respectively for the penalized likelihood and fully Bayesian estimation problems. In numerical experiments, the horseshoe-based approaches echo their superior theoretical properties by comprehensively outperforming the competing methods. A protein--protein interaction network estimation in B-cell lymphoma is considered to validate the proposed methodology.

math.ST↗