Fast Bayesian inference of Sparse Networks with automatic sparsity determination

• Main Authors: Yu, Hang, Wu, Songwei, Xin, Luyin, Dauwels, Justin
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2021
• Subjects: Engineering::Electrical and electronic engineering; Gaussian Graphical Models; Structure Learning
• Online Access: https://jmlr.org/papers/v21/18-514.html; https://hdl.handle.net/10356/149090
• Institution: Nanyang Technological University

Structure learning of Gaussian graphical models typically involves careful tuning of penalty parameters, which balance the tradeoff between data fidelity and graph sparsity. Unfortunately, this tuning is often a “black art” requiring expert experience or brute-force search. It is therefore tempting...