Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
157 tokens/sec
GPT-4o
43 tokens/sec
Gemini 2.5 Pro Pro
43 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
47 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Distributed Estimation of Sparse Inverse Covariances (2109.12020v2)

Published 24 Sep 2021 in cs.LG, cs.MA, cs.SY, and eess.SY

Abstract: Learning the relationships between various entities from time-series data is essential in many applications. Gaussian graphical models have been studied to infer these relationships. However, existing algorithms process data in a batch at a central location, limiting their applications in scenarios where data is gathered by different agents. In this paper, we propose a distributed sparse inverse covariance algorithm to learn the network structure (i.e., dependencies among observed entities) in real-time from data collected by distributed agents. Our approach is built on an online graphical alternating minimization algorithm, augmented with a consensus term that allows agents to learn the desired structure cooperatively. We allow the system designer to select the number of communication rounds and optimization steps per data point. We characterize the rate of convergence of our algorithm and provide simulations on synthetic datasets.

Citations (1)

Summary

We haven't generated a summary for this paper yet.