## Efficient Sampling for Gaussian Graphical Models via Spectral Sparsification

published: Aug. 20, 2015, recorded: July 2015, views: 1880

# Slides

# Related content

# Report a problem or upload files

If you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our**to describe your request and upload the data.**

__ticket system__*Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.*

# Description

Motivated by a sampling problem basic to computational statistical inference, we develop a toolset based on spectral sparsification for a family of fundamental problems involving Gaussian sampling, matrix functionals, and reversible Markov chains. Drawing on the connection between Gaussian graphical models and the recent breakthroughs in spectral graph theory, we give the first nearly linear time algorithm for the following basic matrix problem: Given an n-by-n Laplacian matrix M and a constant -1<= p <= 1, provide efficient access to a sparse n-by-n linear operator C such that M^p \approx C C^T, where \approx denotes spectral similarity. When p is set to -1, this gives the first parallel sampling algorithm that is essentially optimal both in total work and randomness for Gaussian random fields with symmetric diagonally dominant (SDD) precision matrices. It only requires nearly linear work and 2n i.i.d. random univariate Gaussian samples to generate an n-dimensional i.i.d. Gaussian random sample in polylogarithmic depth. The key ingredient of our approach is an integration of spectral sparsification with multilevel method: Our algorithms are based on factoring M^p into a product of well-conditioned matrices, then introducing powers and replacing dense matrices with sparse approximations. We give two sparsification methods for this approach that may be of independent interest. The first invokes Maclaurin series on the factors, while the second builds on our new nearly linear time spectral sparsification algorithm for random-walk matrix polynomials. We expect these algorithmic advances will also help to strengthen the connection between machine learning and spectral graph theory, two of the most active fields in understanding large data and networks.

# Link this page

Would you like to put a link to this lecture on your homepage?

Go ahead! Copy the HTML snippet !

## Write your own review or comment: