Efficient Sampling for Gaussian Graphical Models via Spectral Sparsification


Dehua Cheng, Yu Cheng, Yan Liu, Richard Peng, Shang-Hua Teng ;
Proceedings of The 28th Conference on Learning Theory, PMLR 40:364-390, 2015.


Motivated by a sampling problem basic to computational statistical inference, we develop a toolset based on spectral sparsification for a family of fundamental problems involving Gaussian sampling, matrix functionals, and reversible Markov chains. Drawing on the connection between Gaussian graphical models and the recent breakthroughs in spectral graph theory, we give the first nearly linear time algorithm for the following basic matrix problem: Given an n\times n Laplacian matrix \mathbfM and a constant -1 ≤p ≤1, provide efficient access to a sparse n\times n linear operator \tilde\mathbfC such that $\mathbfM^p ≈\tilde\mathbfC \tilde\mathbfC^⊤, where ≈denotes spectral similarity. When p is set to -1, this gives the first parallel sampling algorithm that is essentially optimal both in total work and randomness for Gaussian random fields with symmetric diagonally dominant (SDD) precision matrices. It only requires \em nearly linear work and 2n \em i.i.d. random univariate Gaussian samples to generate an n-dimensional \em i.i.d. Gaussian random sample in polylogarithmic depth. The key ingredient of our approach is an integration of spectral sparsification with multilevel method: Our algorithms are based on factoring \mathbfM^p$ into a product of well-conditioned matrices, then introducing powers and replacing dense matrices with sparse approximations. We give two sparsification methods for this approach that may be of independent interest. The first invokes Maclaurin series on the factors, while the second builds on our new nearly linear time spectral sparsification algorithm for random-walk matrix polynomials. We expect these algorithmic advances will also help to strengthen the connection between machine learning and spectral graph theory, two of the most active fields in understanding large data and networks.

Related Material