Introduction to graphical models: Lecture III

Transcription

1 Introduction to graphical models: Lecture III Martin Wainwright UC Berkeley Departments of Statistics, and EECS Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

2 Introduction Markov random fields (undirected graphical models): central in many application areas of science/engineering: Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

3 Introduction Markov random fields (undirected graphical models): central in many application areas of science/engineering: some fundamental problems counting/integrating: computing marginal distributions and partition functions optimization: computing most probable configurations (or top M-configurations) model selection: fitting and selecting models on the basis of data Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

4 Graph structure and factorization Markov random field: random vector (X 1,...,X p ) with distribution factoring according to a graph G = (V,E): D A B C Hammersley-Clifford theorem: factorization over cliques Q(x 1,...,x p ;θ) = 1 Z(θ) exp{ θ C (x C ) } C C

5 Graphical model selection let G = (V,E) be an undirected graph on p = V vertices pairwise graphical model factorizes over edges of graph: Q(x 1,...,x p ;θ) exp { θ st (x s,x t ) }. (s,t) E given n independent and identically distributed (i.i.d.) samples of X = (X 1,...,X p ), identify the underlying graph structure Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

6 1 Exact solutions Various classes of methods Chow-Liu algorithm for trees (Chow & Liu, 1967) computationally intractable for hypertrees (Srebro & Karger, 2001)

7 1 Exact solutions Various classes of methods Chow-Liu algorithm for trees (Chow & Liu, 1967) computationally intractable for hypertrees (Srebro & Karger, 2001) 2 Testing-based approaches PC algorithm (Spirtes et al., 2000; Kalisch & Bühlmann, 2008) thresholding (Bresler et al., 2008; Anandkumar et al., 2010)

8 1 Exact solutions Various classes of methods Chow-Liu algorithm for trees (Chow & Liu, 1967) computationally intractable for hypertrees (Srebro & Karger, 2001) 2 Testing-based approaches PC algorithm (Spirtes et al., 2000; Kalisch & Bühlmann, 2008) thresholding (Bresler et al., 2008; Anandkumar et al., 2010) 3 Penalized forms of global likelihood combinatorial penalties (AIC, BIC, GIC etc.) l1 and related penalties classical analysis of penalized Gaussian MLE: Yuan & Lin, 2006 some fast algorithms: d Asprémont et al., 2007; Friedman et al, 2008

9 1 Exact solutions Various classes of methods Chow-Liu algorithm for trees (Chow & Liu, 1967) computationally intractable for hypertrees (Srebro & Karger, 2001) 2 Testing-based approaches PC algorithm (Spirtes et al., 2000; Kalisch & Bühlmann, 2008) thresholding (Bresler et al., 2008; Anandkumar et al., 2010) 3 Penalized forms of global likelihood combinatorial penalties (AIC, BIC, GIC etc.) l1 and related penalties classical analysis of penalized Gaussian MLE: Yuan & Lin, 2006 some fast algorithms: d Asprémont et al., 2007; Friedman et al, Pseudolikelihoods and neighborhood regression pseudolikeliood consistency for Gaussians (Besag, 1977) pseudolikelihood and BIC criterion (Csiszar & Talata, 2006) neighborhood regression for Gaussian MRFs (e.g., Meinshausen & Buhlmann, 2005; Wainwright, 2006, Zhao & Yu 2006) logistic regression for Ising models (Ravikumar et al., 2010)

10 1. Global maximum likelihood given i.i.d. samples X n 1 := {(X 1,...,X n }, might consider methods based on global likelihood l(θ;x n 1) := 1 n n i=1 logq(x i ;θ) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

11 1. Global maximum likelihood given i.i.d. samples X n 1 := {(X 1,...,X n }, might consider methods based on global likelihood l(θ;x n 1) := 1 n n i=1 logq(x i ;θ) maximum likelihood for graphical model in exponential form θ = argmax Ê[θ(X θ s,x t )] }{{} logz(θ) (s,t) E empirical moments Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

12 1. Global maximum likelihood given i.i.d. samples X n 1 := {(X 1,...,X n }, might consider methods based on global likelihood l(θ;x n 1) := 1 n n i=1 logq(x i ;θ) maximum likelihood for graphical model in exponential form θ = argmax Ê[θ(X θ s,x t )] }{{} logz(θ) (s,t) E empirical moments exact likelihood involves log partition function log Z(θ): can be computed for Gaussian MRFs (log-determinant) intractable for Ising models (binary pairwise MRFs) (Welsh, 1993) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

13 1. Global maximum likelihood given i.i.d. samples X n 1 := {(X 1,...,X n }, might consider methods based on global likelihood l(θ;x n 1) := 1 n n i=1 logq(x i ;θ) maximum likelihood for graphical model in exponential form θ = argmax Ê[θ(X θ s,x t )] }{{} logz(θ) (s,t) E empirical moments exact likelihood involves log partition function log Z(θ): can be computed for Gaussian MRFs (log-determinant) intractable for Ising models (binary pairwise MRFs) (Welsh, 1993) possible solutions: MCMC methods stochastic approximation methods variational approximations (mean field, Bethe and belief propagation) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

14 Gaussian graphs Sparse inverse covariances Zero pattern of inverse covariance Gaussian graphical model specified by sparse inverse covariance Θ: Q(x 1,...,x p ;Θ) = det(θ) (2π) p/2 exp( 1 2 xt Θx ). Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

15 Gaussian l 1 -penalized MLE Estimator: l 1 -regularized log-determinant program: { Θ = arg min logdetθ+ Σn, Θ Θ 0 }{{} Gaussian log likelihood + λ n Θ ij }. i j }{{} Regularization Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

16 Gaussian l 1 -penalized MLE Estimator: l 1 -regularized log-determinant program: { Θ = arg min logdetθ+ Σn, Θ Θ 0 }{{} Gaussian log likelihood + λ n Θ ij }. i j }{{} Regularization Results on this method: analysis under classical scaling (n with p fixed) (Yuan & Lin, 2006) some fast algorithms (d Asprémont et al., 2007; Friedman et al, 2008) high-dimensional analysis of Frobenius norm error (Rothman et al., 2008) high-dimensional variable selection and l bounds (Ravikumar et al., 2011) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

17 High-dimensional analysis classical analysis: dimension p fixed, sample size n + high-dimensional analysis: allow both dimension p, sample size n, and maximum degree d to increase at arbitrary rates take n i.i.d. samples from MRF defined by G p,d study probability of success as a function of three parameters: Success(n,p,d) = Q[Method recovers graph G p,d from n samples] theory is non-asymptotic: explicit probabilities for finite (n, p, d) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

18 Empirical behavior: Unrescaled plots 1 Chain graph 0.8 Prob. of success p= p=100 p=225 p= n Plots of success probability versus raw sample size n.

19 Empirical behavior: Appropriately rescaled 1 Chain graph 0.8 Prob. of success p= p=100 p=225 p= n/log p Plots of success probability versus rescaled sample size

20 Sufficient conditions for consistent model selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. suitable regularity conditions on Hessian of log-determinant Γ := (Θ ) 1 (Θ ) 1 Theorem: For multivariate Gaussian and sample size n > c 1 τ d 2 logp logp and regularization parameter λ n c 2 τ n, then with probability greater than 1 2exp ( c 3 (τ 2)logp ) : Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

21 Sufficient conditions for consistent model selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. suitable regularity conditions on Hessian of log-determinant Γ := (Θ ) 1 (Θ ) 1 Theorem: For multivariate Gaussian and sample size n > c 1 τ d 2 logp logp and regularization parameter λ n c 2 τ n, then with probability greater than 1 2exp ( c 3 (τ 2)logp ) : (a) No false inclusions: The regularized log-determinant estimate Θ returns an edge set Ê E. Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

22 Sufficient conditions for consistent model selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. suitable regularity conditions on Hessian of log-determinant Γ := (Θ ) 1 (Θ ) 1 Theorem: For multivariate Gaussian and sample size n > c 1 τ d 2 logp logp and regularization parameter λ n c 2 τ n, then with probability greater than 1 2exp ( c 3 (τ 2)logp ) : (a) No false inclusions: The regularized log-determinant estimate Θ returns an edge set Ê E. (b) l -control: Estimate satisfies max i,j Θ ij Θ ij 2c τ logp 4 n. Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

23 Sufficient conditions for consistent model selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. suitable regularity conditions on Hessian of log-determinant Γ := (Θ ) 1 (Θ ) 1 Theorem: For multivariate Gaussian and sample size n > c 1 τ d 2 logp logp and regularization parameter λ n c 2 τ n, then with probability greater than 1 2exp ( c 3 (τ 2)logp ) : (a) No false inclusions: The regularized log-determinant estimate Θ returns an edge set Ê E. (b) l -control: Estimate satisfies max i,j Θ ij Θ ij 2c τ logp 4 n. τ logp (c) Model selection consistency: If θ min c 4 n, then E = Ê. Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

24 Some other graphs (a) 4-grid (b) Star d = 4 d {O(logp), αp} Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

25 Results for 4-grid graphs Vertical axis: success probability Q[Ê = E] Martin Wainwright (UC Berkeley) Some introductory lectures January / nearest neighbor grid 0.8 Prob. of success p= p=100 p=225 p= n/log p

26 Results for star graphs Vertical axis: success probability Q[Ê = E] Martin Wainwright (UC Berkeley) Some introductory lectures January / 25 1 Star graph 0.8 Prob. of success p= p=100 p=225 p= n/log p

27 Proof sketch: Primal-dual certificate construct candidate primal-dual pair ( θ,ẑ) R p p R p p. proof technique -not a practical algorithm! (A) Solve the restricted log-determinant program θ = arg min Θ 0,Θ S c=0 { logdetθ+ Σn, Θ + λ n Θ ij } thereby obtaining candidate solution θ = ( θ S,0 S c). (B) We choose ẑ S R S as an element of the subdifferential θ S 1. (C) Using optimality conditions from original convex program, solve for ẑ S c and check whether or not strict dual feasibility ẑ j < 1 for all j S c holds. i j Lemma: Full convex program recovers neighborhood primal-dual witness succeeds. Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

28 2. Pseudolikelihood and neighborhood approaches Markov properties encode neighborhood structure: (X s X V\s ) }{{} Condition on full graph d = (X s X N(s) ) }{{} Condition on Markov blanket N(s) = {s,t,u,v,w} X s X t X w X s X u X v basis of pseudolikelihood method (Besag, 1974) basis of many graph learning algorithm (Friedman et al., 1999; Csiszar & Talata, 2005; Abeel et al., 2006; Meinshausen & Buhlmann, 2006)

29 Graph selection via neighborhood regression X \s X s..... Predict X s based on X \s := {X s, t s}.

30 Graph selection via neighborhood regression X \s X s..... Predict X s based on X \s := {X s, t s}. 1 For each node s V, compute (regularized) max. likelihood estimate: { } θ[s] := arg min 1 n L(θ;X i\s ) + λ n θ 1 θ R p 1 n }{{}}{{} i=1 local log. likelihood regularization

31 Graph selection via neighborhood regression X \s X s..... Predict X s based on X \s := {X s, t s}. 1 For each node s V, compute (regularized) max. likelihood estimate: { } θ[s] := arg min 1 n L(θ;X i\s ) + λ n θ 1 θ R p 1 n }{{}}{{} i=1 local log. likelihood regularization 2 Estimate the local neighborhood N(s) as support of regression vector θ[s] R p 1.

32 Empirical behavior: Unrescaled plots 1 Star graph; Linear fraction neighbors 0.8 Prob. success p = 64 p = 100 p = Number of samples

33 Empirical behavior: Appropriately rescaled 1 Star graph; Linear fraction neighbors 0.8 Prob. success p = 64 p = 100 p = Control parameter

34 Sufficient conditions for consistent Ising selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. edge weights θ st θ min for all (s,t) E draw n i.i.d, samples, and analyze prob. success indexed by (n,p,d) Theorem (Ravikumar, W. & Lafferty, 2010)

35 Sufficient conditions for consistent Ising selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. edge weights θ st θ min for all (s,t) E draw n i.i.d, samples, and analyze prob. success indexed by (n,p,d) Theorem (Ravikumar, W. & Lafferty, 2010) Under incoherence conditions, with sample size n > c 1 d 3 logp logp and regularization parameter λ n c 2 n, then with probability greater than 1 2exp ( c 3 λ 2 nn ) : (a) Correct exclusion: The estimated sign neighborhood N(s) correctly excludes all edges not in the true neighborhood.

36 Sufficient conditions for consistent Ising selection graph sequences G p,d = (V,E) with p vertices, and maximum degree d. edge weights θ st θ min for all (s,t) E draw n i.i.d, samples, and analyze prob. success indexed by (n,p,d) Theorem (Ravikumar, W. & Lafferty, 2010) Under incoherence conditions, with sample size n > c 1 d 3 logp logp and regularization parameter λ n c 2 n, then with probability greater than 1 2exp ( c 3 λ 2 nn ) : (a) Correct exclusion: The estimated sign neighborhood N(s) correctly excludes all edges not in the true neighborhood. (b) Correct inclusion: For θ min c 4 dλn, the method selects the correct signed neighborhood.

37 US Senate network ( voting)

38 3. Info. theory: Graph selection as channel coding graphical model selection is an unorthodox channel coding problem: Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

39 3. Info. theory: Graph selection as channel coding graphical model selection is an unorthodox channel coding problem: codewords/codebook: graph G in some graph class G channel use: draw sample Xi = (X i1,...,x ip) from Markov random field Q θ(g) decoding problem: use n samples {X1,...,X n } to correctly distinguish the codeword G Q(X G) X 1,...,X n Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

40 3. Info. theory: Graph selection as channel coding graphical model selection is an unorthodox channel coding problem: codewords/codebook: graph G in some graph class G channel use: draw sample Xi = (X i1,...,x ip) from Markov random field Q θ(g) decoding problem: use n samples {X1,...,X n } to correctly distinguish the codeword G Q(X G) X 1,...,X n Channel capacity for graph decoding determined by balance between log number of models relative distinguishability of different models Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

41 Necessary conditions for G d,p G G d,p : graphs with p nodes and max. degree d Ising models with: Minimum edge weight: θ st θ min for all edges Maximum neighborhood weight: ω(θ) := max s V θst t N(s)

42 Necessary conditions for G d,p G G d,p : graphs with p nodes and max. degree d Ising models with: Minimum edge weight: θ st θ min for all edges Maximum neighborhood weight: ω(θ) := max s V θst t N(s) Theorem If the sample size n is upper bounded by (Santhanam & W, 2012) { d n < max 8 log p 8d, exp( ω(θ) 4 )dθ minlog(pd/8), 128exp( 3θmin 2 ) logp } 2θ min tanh(θ min ) then the probability of error of any algorithm over G d,p is at least 1/2.

43 Necessary conditions for G d,p G G d,p : graphs with p nodes and max. degree d Ising models with: Minimum edge weight: θ st θ min for all edges Maximum neighborhood weight: ω(θ) := max s V θst t N(s) Theorem If the sample size n is upper bounded by (Santhanam & W, 2012) { d n < max 8 log p 8d, exp( ω(θ) 4 )dθ minlog(pd/8), 128exp( 3θmin 2 ) logp } 2θ min tanh(θ min ) then the probability of error of any algorithm over G d,p is at least 1/2. Interpretation: Naive bulk effect: Arises from log cardinality log G d,p d-clique effect: Difficulty of separating models that contain a near d-clique Small weight effect: Difficult to detect edges with small weights.

44 Some consequences Corollary For asymptotically reliable recovery over G d,p, any algorithm requires at least n = Ω(d 2 logp) samples. Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

45 Some consequences Corollary For asymptotically reliable recovery over G d,p, any algorithm requires at least n = Ω(d 2 logp) samples. note that maximum neighborhood weight ω(θ ) dθ min = require θ min = O(1/d) Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

46 Some consequences Corollary For asymptotically reliable recovery over G d,p, any algorithm requires at least n = Ω(d 2 logp) samples. note that maximum neighborhood weight ω(θ ) dθ min = require θ min = O(1/d) from small weight effect logp n = Ω( θ min tanh(θ min ) ) = Ω( logp) θ 2 min Martin Wainwright (UC Berkeley) Some introductory lectures January / 25

47 Some consequences Corollary For asymptotically reliable recovery over G d,p, any algorithm requires at least n = Ω(d 2 logp) samples. note that maximum neighborhood weight ω(θ ) dθ min = require θ min = O(1/d) from small weight effect logp n = Ω( θ min tanh(θ min ) ) = Ω( logp) θ 2 min conclude that l 1 -regularized logistic regression (LR) is within Θ(d) of optimal for general graphs Martin Wainwright (UC Berkeley) Some introductory lectures January / 25