Learning Time-Varying Graphs from Online Data

Learning Time-Varying Graphs from Online Data

Natali, A. (TU Delft Signal Processing Systems)
Isufi, E. (TU Delft Multimedia Computing)
Coutino, Mario (TNO)
Leus, G.J.T. (TU Delft Signal Processing Systems)

2022

This work proposes an algorithmic framework to learn time-varying graphs from online data. The generality offered by the framework renders it model-independent, i.e., it can be theoretically analyzed in its abstract formulation and then instantiated under a variety of model-dependent graph learning problems. This is possible by phrasing (time-varying) graph learning as a composite optimization problem, where different functions regulate different desiderata, e.g., data fidelity, sparsity or smoothness. Instrumental for the findings is recognizing that the dependence of the majority (if not all) data-driven graph learning algorithms on the data is exerted through the empirical covariance matrix, representing a sufficient statistic for the estimation problem. Its user-defined recursive update enables the framework to work in non-stationary environments, while iterative algorithms building on novel time-varying optimization tools explicitly take into account the temporal dynamics, speeding up convergence and implicitly including a temporal-regularization of the solution. We specialize the framework to three well-known graph learning models, namely, the Gaussian graphical model (GGM), the structural equation model (SEM), and the smoothness-based model (SBM), where we also introduce ad-hoc vectorization schemes for structured matrices (symmetric, hollows, etc.) which are crucial to perform correct gradient computations, other than enabling to work in low-dimensional vector spaces and hence easing storage requirements. After discussing the theoretical guarantees of the proposed framework, we corroborate it with extensive numerical tests in synthetic and real data.

Graph topology identification
dynamic graph learning
network topology inference
graph signal processing

http://resolver.tudelft.nl/uuid:04735cdc-2d34-4ad4-81ea-c5492f9cb694

https://doi.org/10.1109/OJSP.2022.3178901

2644-1322

IEEE Open Journal of Signal Processing, 3, 212 - 228

Institutional Repository

journal article

© 2022 A. Natali, E. Isufi, Mario Coutino, G.J.T. Leus