gclm

This package contains the implementation of the algorithms in

Varando G, Hansen NR Graphical continuous Lyapunov models, UAI (2020)

@InProceedings{pmlr-v124-varando20a, 
title = {Graphical continuous {L}yapunov models}, 
author = {Varando, Gherardo and Richard Hansen, Niels}, 
booktitle = {Proceedings of the 36th Conference on Uncertainty in Artificial Intelligence (UAI)}, 
pages = {989--998}, 
year = {2020}, 
editor = {Peters, Jonas and Sontag, David}, 
volume = {124}, 
series = {Proceedings of Machine Learning Research}, 
month = {03--06 Aug}, 
publisher = {PMLR}, 
pdf = {http://proceedings.mlr.press/v124/varando20a/varando20a.pdf}, 
url = {https://proceedings.mlr.press/v124/varando20a.html} 
}

gclm contains methods to estimate a sparse parametrization of covariance matrix as solution of a continuous time Lyapunov equation (CLE):

$$B\Sigma + \Sigma B^t + C = 0$$

Solving the following $\ell_1$ penalized loss minimization problem:

$$\arg\min L(\Sigma(B,C)) + \lambda \rho_1(B) + \lambda_C ||C - C_0||^2_F$$

subject to $B$ stable and $C$ diagonal, where $\rho_1(B)$ is the $\ell_1$ norm of the off-diagonal elements of $B$ and $||C - C_0||^2_F$ is the squared frobenius norm of the difference between $C$ and a fixed diagonal matrix $C_0$ (usually the identity).

Installation

## version on CRAN
install.packages("gclm")
## development version from github
devtools::install_github("gherardovarando/gclm")

Usage

library(gclm)

### define coefficient matrices
B <- matrix(nrow = 4, c(-4,  2,  0,   0, 
                         0, -3,  1,   0,
                         0,  0, -2, 0.5,
                         0,  0,  0,  -1), byrow = TRUE)
C <- diag(c(1,4,1,4))

### solve continuous Lyapunov equation 
### to obtain real covariance matrix
Sigma <- clyap(B, C) 

### obtain observations 
sample <- MASS::mvrnorm(n = 1000, mu = rep(0,4), Sigma =  Sigma)


### Solve minimization

res <- gclm(cov(sample), lambda = 0.4, lambdac = 0.01)

res$B

##            [,1]       [,2]       [,3]       [,4]
## [1,] -0.9652156  0.2237539  0.0000000  0.0000000
## [2,]  0.0000000 -0.5769872  0.0000000  0.0000000
## [3,]  0.0000000  0.0000000 -0.9093145  0.1653510
## [4,]  0.0000000  0.0000000  0.0000000 -0.3042669

res$C

## [1] 0.3846540 0.8765735 0.5021123 1.3070860

The CLE can be freely multiplied by a scalar and thus the (B,C) parametrization can be rescaled. As an example we can impose (C_{11} = 1) as in the true (C) matrix, obtaining the estimators:

C1 <- res$C / res$C[1]
B1 <- res$B / res$C[1]

B1 

##           [,1]       [,2]     [,3]       [,4]
## [1,] -2.509308  0.5817017  0.00000  0.0000000
## [2,]  0.000000 -1.5000159  0.00000  0.0000000
## [3,]  0.000000  0.0000000 -2.36398  0.4298693
## [4,]  0.000000  0.0000000  0.00000 -0.7910144

C1

## [1] 1.000000 2.278862 1.305361 3.398082

Solutions along a regularization path

path <- gclm.path(cov(sample), lambdac = 0.01, 
                  lambdas = 10^seq(0, -3, length = 10))
t(sapply(path, function(res) c(lambda = res$lambda, 
                                npar = sum(res$B!=0),
                                fp = sum(res$B!=0 & B==0),
                                tp = sum(res$B!=0 & B!=0) ,
                                fn = sum(res$B==0 & B!=0),
                                tn = sum(res$B==0 & B==0),
                                errs = sum(res$B!=0 & B==0) + 
                                  sum(res$B==0 & B!=0))))

##            lambda npar fp tp fn tn errs
##  [1,] 1.000000000    4  0  4  3  9    3
##  [2,] 0.464158883    6  0  6  1  9    1
##  [3,] 0.215443469    6  0  6  1  9    1
##  [4,] 0.100000000    9  3  6  1  6    4
##  [5,] 0.046415888   10  3  7  0  6    3
##  [6,] 0.021544347   12  5  7  0  4    5
##  [7,] 0.010000000   12  5  7  0  4    5
##  [8,] 0.004641589   14  7  7  0  2    7
##  [9,] 0.002154435   15  8  7  0  1    8
## [10,] 0.001000000   16  9  7  0  0    9

Related code

• Some inspiration is from the lyapunov package (https://github.com/gragusa/lyapunov).