Graphical Lasso and Thresholding: Equivalence and Closed-form Solutions
Salar Fattahi,, Somayeh Sojoudi,; 20(10):1−44, 2019.
Graphical Lasso (GL) is a popular method for learning the structure of an undirected graphical model, which is based on an $l_1$ regularization technique. The objective of this paper is to compare the computationally-heavy GL technique with a numerically-cheap heuristic method that is based on simply thresholding the sample covariance matrix. To this end, two notions of sign-consistent and inverse-consistent matrices are developed, and then it is shown that the thresholding and GL methods are equivalent if: (i) the thresholded sample covariance matrix is both sign-consistent and inverse-consistent, and (ii) the gap between the largest thresholded and the smallest un-thresholded entries of the sample covariance matrix is not too small. By building upon this result, it is proved that the GL method---as a conic optimization problem---has an explicit closed-form solution if the thresholded sample covariance matrix has an acyclic structure. This result is then generalized to arbitrary sparse support graphs, where a formula is found to obtain an approximate solution of GL. Furthermore, it is shown that the approximation error of the derived explicit formula decreases exponentially fast with respect to the length of the minimum-length cycle of the sparsity graph. The developed results are demonstrated on synthetic data, functional MRI data, traffic flows for transportation networks, and massive randomly generated data sets. We show that the proposed method can obtain an accurate approximation of the GL for instances with the sizes as large as $80,000\times 80,000$ (more than 3.2 billion variables) in less than 30 minutes on a standard laptop computer running MATLAB, while other state-of-the-art methods do not converge within 4 hours
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