A partial orthogonalization method for simulating covariance and concentration graph matrices

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  • Irene Córdoba
  • Gherardo Varando
  • Concha Bielza
  • Pedro Larranaga
Structure learning methods for covariance and concentration graphs are often validated on synthetic models, usually obtained by randomly generating: (i) an undirected graph, and (ii) a compatible symmetric positive definite (SPD) matrix. In order to ensure positive definiteness in (ii), a dominant diagonal is usually imposed. However, the link strengths in the resulting graphical model, determined by off-diagonal entries in the SPD matrix, are in many scenarios extremely weak. Recovering the structure of the undirected graph thus becomes a challenge, and algorithm validation is notably affected. In this paper, we propose an alternative method which overcomes such problem yet yields a compatible SPD matrix. We generate a partially row-wise-orthogonal matrix factor, where pairwise orthogonal rows correspond to missing edges in the undirected graph. In numerical experiments ranging from moderately dense to sparse scenarios, we obtain that, as the dimension increases, the link strength we simulate is stable with respect to the structure sparsity. Importantly, we show in a real validation setting how structure recovery is greatly improved for all learning algorithms when using our proposed method, thereby producing a more realistic comparison framework.
Original languageEnglish
Title of host publicationProceedings of the 9th International Conference on Probabilistic Graphical Models
EditorsVáclav Kratochvíl, Milan Studený
PublisherPMLR
Publication date2018
Pages61-72
Publication statusPublished - 2018
Event9th International Conference on Probabilistic Graphical Models - Prague, Czech Republic
Duration: 11 Sep 201814 Sep 2018

Conference

Conference9th International Conference on Probabilistic Graphical Models
LandCzech Republic
ByPrague
Periode11/09/201814/09/2018
SeriesProceedings of Machine Learning Research
Volume72
ISSN1938-7228

ID: 215089091