Danaher Patrick, Wang Pei, Witten Daniela M
Department of Biostatistics, University of Washington, USA.
Public Health Sciences Division, Fred Hutchinson Cancer Research Center, USA.
J R Stat Soc Series B Stat Methodol. 2014 Mar;76(2):373-397. doi: 10.1111/rssb.12033.
We consider the problem of estimating multiple related Gaussian graphical models from a high-dimensional data set with observations belonging to distinct classes. We propose the , which borrows strength across the classes in order to estimate multiple graphical models that share certain characteristics, such as the locations or weights of nonzero edges. Our approach is based upon maximizing a penalized log likelihood. We employ generalized fused lasso or group lasso penalties, and implement a fast ADMM algorithm to solve the corresponding convex optimization problems. The performance of the proposed method is illustrated through simulated and real data examples.
我们考虑从一个高维数据集中估计多个相关高斯图形模型的问题,该数据集中的观测值属于不同的类别。我们提出了一种方法,该方法通过跨类别借鉴优势来估计多个具有某些共同特征(例如非零边的位置或权重)的图形模型。我们的方法基于最大化惩罚对数似然。我们采用广义融合套索或组套索惩罚,并实现一种快速交替方向乘子法(ADMM)算法来解决相应的凸优化问题。通过模拟和实际数据示例说明了所提方法的性能。