图 书 馆
通过时变图形套索进行网络推理Network Inference via the TimeVarying Graphical Lasso |
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| 课程网址: | http://videolectures.net/kdd2017_hallac_network_inference/ |
| 主讲教师: | David Hallac |
| 开课单位: | 斯坦福大学 |
| 开课时间: | 2017-10-09 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Many important problems can be modeled as a system of interconnected entities, where each entity is recording time-dependent observations or measurements. In order to spot trends, detect anomalies, and interpret the temporal dynamics of such data, it is essential to understand the relationships between the different entities and how these relationships evolve over time. In this paper, we introduce the time-varying graphical lasso (TVGL), a method of inferring time-varying networks from raw time series data. We cast the problem in terms of estimating a sparse time-varying inverse covariance matrix, which reveals a dynamic network of interdependencies between the entities. Since dynamic network inference is a computationally expensive task, we derive a scalable message-passing algorithm based on the Alternating Direction Method of Multipliers (ADMM) to solve this problem in an efficient way. We also discuss several extensions, including a streaming algorithm to update the model and incorporate new observations in real time. Finally, we evaluate our TVGL algorithm on both real and synthetic datasets, obtaining interpretable results and outperforming state-of-the-art baselines in terms of both accuracy and scalability. |
| 关 键 词: | 时变图形套索; 时变网络; 数据科学 |
| 课程来源: | 视频讲座网 |
| 数据采集: | 2023-12-26：wujk |
| 最后编审: | 2023-12-26：wujk |
| 阅读次数: | 29 |