Sparse Gaussian Graphical Models with Discrete Optimization: Computational and Statistical Perspectives
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We consider the problem of learning a sparse graph underlying an undirected Gaussian graphical model, a key problem in statistical machine learning. Given n samples from a multivariate Gaussian distribution with p variables, the goal is to estimate the p × p inverse covariance matrix (aka precision matrix), assuming it is sparse (i.e., has a few nonzero entries). We propose GraphL0BnB, a new estimator based on an ℓ_0-penalized version of the pseudolikelihood function, while most earlier approaches are based on the ℓ_1-relaxation. Our estimator can be formulated as a convex mixed integer program (MIP) which can be difficult to compute at scale using off-the-shelf commercial solvers. To solve the MIP, we propose a custom nonlinear branch-and-bound (BnB) framework that solves node relaxations with tailored first-order methods. As a by-product of our BnB framework, we propose large-scale solvers for obtaining good primal solutions that are of independent interest. We derive novel statistical guarantees (estimation and variable selection) for our estimator and discuss how our approach improves upon existing estimators. Our numerical experiments on real/synthetic datasets suggest that our method can solve, to near-optimality, problem instances with p = 10^4 – corresponding to a symmetric matrix of size p × p with p^2/2 binary variables. We demonstrate the usefulness of GraphL0BnB versus various state-of-the-art approaches on a range of datasets.
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