Vine copula structure learning via Monte Carlo tree search

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Bo Chang, Shenyi Pan, Harry Joe ;
Proceedings of Machine Learning Research, PMLR 89:353-361, 2019.

Abstract

Monte Carlo tree search (MCTS) has been widely adopted in various game and planning problems. It can efficiently explore a search space with guided random sampling. In statistics, vine copulas are flexible multivariate dependence models that adopt vine structures, which are based on a hierarchy of trees to express conditional dependence, and bivariate copulas on the edges of the trees. The vine structure learning problem has been challenging due to the large search space. To tackle this problem, we propose a novel approach to learning vine structures using MCTS. The proposed method has significantly better performance over the existing methods under various experimental setups.

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