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2017 ; 2017
(ä): 205-213
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Network Inference via the Time-Varying Graphical Lasso
#MMPMID29770256
Hallac D
; Park Y
; Boyd S
; Leskovec J
KDD
2017[Aug]; 2017
(ä): 205-213
PMID29770256
show ga
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.