High-dimensional Ising model selection using ℓ1-regularized logistic regression
Ravikumar, Pradeep ; Wainwright, Martin J. ; Lafferty, John D.
Ann. Statist., Tome 38 (2010) no. 1, p. 1287-1319 / Harvested from Project Euclid
We consider the problem of estimating the graph associated with a binary Ising Markov random field. We describe a method based on ℓ1-regularized logistic regression, in which the neighborhood of any given node is estimated by performing logistic regression subject to an ℓ1-constraint. The method is analyzed under high-dimensional scaling in which both the number of nodes p and maximum neighborhood size d are allowed to grow as a function of the number of observations n. Our main results provide sufficient conditions on the triple (n, p, d) and the model parameters for the method to succeed in consistently estimating the neighborhood of every node in the graph simultaneously. With coherence conditions imposed on the population Fisher information matrix, we prove that consistent neighborhood selection can be obtained for sample sizes n=Ω(d3log p) with exponentially decaying error. When these same conditions are imposed directly on the sample matrices, we show that a reduced sample size of n=Ω(d2log p) suffices for the method to estimate neighborhoods consistently. Although this paper focuses on the binary graphical models, we indicate how a generalization of the method of the paper would apply to general discrete Markov random fields.
Publié le : 2010-06-15
Classification:  Graphical models,  Markov random fields,  structure learning,  ℓ_1-regularization,  model selection,  convex risk minimization,  high-dimensional asymptotics,  62F12,  68T99
@article{1268056617,
     author = {Ravikumar, Pradeep and Wainwright, Martin J. and Lafferty, John D.},
     title = {High-dimensional Ising model selection using l<sub>1</sub>-regularized logistic regression},
     journal = {Ann. Statist.},
     volume = {38},
     number = {1},
     year = {2010},
     pages = { 1287-1319},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1268056617}
}
Ravikumar, Pradeep; Wainwright, Martin J.; Lafferty, John D. High-dimensional Ising model selection using ℓ1-regularized logistic regression. Ann. Statist., Tome 38 (2010) no. 1, pp.  1287-1319. http://gdmltest.u-ga.fr/item/1268056617/