Large-Scale Optimization Algorithms for Sparse Conditional Gaussian Graphical Models

Calvin McCarter, Seyoung Kim
; Proceedings of the 19th International Conference on Artificial Intelligence and Statistics, PMLR 51:528-537, 2016.

Abstract

This paper addresses the problem of scalable optimization for L1-regularized conditional Gaussian graphical models. Conditional Gaussian graphical models generalize the well-known Gaussian graphical models to conditional distributions to model the output network influenced by conditioning input variables. While highly scalable optimization methods exist for sparse Gaussian graphical model estimation, state-of-the-art methods for conditional Gaussian graphical models are not efficient enough and more importantly, fail due to memory constraints for very large problems. In this paper, we propose a new optimization procedure based on a Newton method that efficiently iterates over two sub-problems, leading to drastic improvement in computation time compared to the previous methods. We then extend our method to scale to large problems under memory constraints, using block coordinate descent to limit memory usage while achieving fast convergence. Using synthetic and genomic data, we show that our methods can solve problems with millions of variables and tens of billions of parameters to high accuracy on a single machine.

Cite this Paper


BibTeX
@InProceedings{pmlr-v51-mccarter16, title = {Large-Scale Optimization Algorithms for Sparse Conditional Gaussian Graphical Models}, author = {Calvin McCarter and Seyoung Kim}, booktitle = {Proceedings of the 19th International Conference on Artificial Intelligence and Statistics}, pages = {528--537}, year = {2016}, editor = {Arthur Gretton and Christian C. Robert}, volume = {51}, series = {Proceedings of Machine Learning Research}, address = {Cadiz, Spain}, month = {09--11 May}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v51/mccarter16.pdf}, url = {http://proceedings.mlr.press/v51/mccarter16.html}, abstract = {This paper addresses the problem of scalable optimization for L1-regularized conditional Gaussian graphical models. Conditional Gaussian graphical models generalize the well-known Gaussian graphical models to conditional distributions to model the output network influenced by conditioning input variables. While highly scalable optimization methods exist for sparse Gaussian graphical model estimation, state-of-the-art methods for conditional Gaussian graphical models are not efficient enough and more importantly, fail due to memory constraints for very large problems. In this paper, we propose a new optimization procedure based on a Newton method that efficiently iterates over two sub-problems, leading to drastic improvement in computation time compared to the previous methods. We then extend our method to scale to large problems under memory constraints, using block coordinate descent to limit memory usage while achieving fast convergence. Using synthetic and genomic data, we show that our methods can solve problems with millions of variables and tens of billions of parameters to high accuracy on a single machine.} }
Endnote
%0 Conference Paper %T Large-Scale Optimization Algorithms for Sparse Conditional Gaussian Graphical Models %A Calvin McCarter %A Seyoung Kim %B Proceedings of the 19th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2016 %E Arthur Gretton %E Christian C. Robert %F pmlr-v51-mccarter16 %I PMLR %J Proceedings of Machine Learning Research %P 528--537 %U http://proceedings.mlr.press %V 51 %W PMLR %X This paper addresses the problem of scalable optimization for L1-regularized conditional Gaussian graphical models. Conditional Gaussian graphical models generalize the well-known Gaussian graphical models to conditional distributions to model the output network influenced by conditioning input variables. While highly scalable optimization methods exist for sparse Gaussian graphical model estimation, state-of-the-art methods for conditional Gaussian graphical models are not efficient enough and more importantly, fail due to memory constraints for very large problems. In this paper, we propose a new optimization procedure based on a Newton method that efficiently iterates over two sub-problems, leading to drastic improvement in computation time compared to the previous methods. We then extend our method to scale to large problems under memory constraints, using block coordinate descent to limit memory usage while achieving fast convergence. Using synthetic and genomic data, we show that our methods can solve problems with millions of variables and tens of billions of parameters to high accuracy on a single machine.
RIS
TY - CPAPER TI - Large-Scale Optimization Algorithms for Sparse Conditional Gaussian Graphical Models AU - Calvin McCarter AU - Seyoung Kim BT - Proceedings of the 19th International Conference on Artificial Intelligence and Statistics PY - 2016/05/02 DA - 2016/05/02 ED - Arthur Gretton ED - Christian C. Robert ID - pmlr-v51-mccarter16 PB - PMLR SP - 528 DP - PMLR EP - 537 L1 - http://proceedings.mlr.press/v51/mccarter16.pdf UR - http://proceedings.mlr.press/v51/mccarter16.html AB - This paper addresses the problem of scalable optimization for L1-regularized conditional Gaussian graphical models. Conditional Gaussian graphical models generalize the well-known Gaussian graphical models to conditional distributions to model the output network influenced by conditioning input variables. While highly scalable optimization methods exist for sparse Gaussian graphical model estimation, state-of-the-art methods for conditional Gaussian graphical models are not efficient enough and more importantly, fail due to memory constraints for very large problems. In this paper, we propose a new optimization procedure based on a Newton method that efficiently iterates over two sub-problems, leading to drastic improvement in computation time compared to the previous methods. We then extend our method to scale to large problems under memory constraints, using block coordinate descent to limit memory usage while achieving fast convergence. Using synthetic and genomic data, we show that our methods can solve problems with millions of variables and tens of billions of parameters to high accuracy on a single machine. ER -
APA
McCarter, C. & Kim, S.. (2016). Large-Scale Optimization Algorithms for Sparse Conditional Gaussian Graphical Models. Proceedings of the 19th International Conference on Artificial Intelligence and Statistics, in PMLR 51:528-537

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