hglasso

hglasso: Learning graphical models with hubs: Implements the hub graphical lasso and hub covariance graph proposal by: Learning graphical models with hubs. We consider the problem of learning a high-dimensional graphical model in which there are a few hub nodes that are densely-connected to many other nodes. Many authors have studied the use of an ℓ 1 penalty in order to learn a sparse graph in the high-dimensional setting. However, the ℓ 1 penalty implicitly assumes that each edge is equally likely and independent of all other edges. We propose a general framework to accommodate more realistic networks with hub nodes, using a convex formulation that involves a row-column overlap norm penalty. We apply this general framework to three widely- used probabilistic graphical models: the Gaussian graphical model, the covariance graph model, and the binary Ising model. An alternating direction method of multipliers algorithm is used to solve the corresponding convex optimization problems. On synthetic data, we demonstrate that our proposed framework outperforms competitors that do not explicitly model hub nodes. We illustrate our proposal on a webpage data set and a gene expression data set.

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References in zbMATH (referenced in 1 article )

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  1. Tan, Kean Ming; London, Palma; Mohan, Karthik; Lee, Su-In; Fazel, Maryam; Witten, Daniela: Learning graphical models with hubs (2014)