The Quality of the Covariance Selection Through Detection Problem and AUC Bounds
| Autor: | Navid Tafaghodi Khajavi, Anthony Kuh |
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| Rok vydání: | 2016 |
| Předmět: |
FOS: Computer and information sciences
Kullback–Leibler divergence Covariance matrix Computer Science - Information Theory Model selection Information Theory (cs.IT) other 020206 networking & telecommunications Machine Learning (stat.ML) 02 engineering and technology Covariance Upper and lower bounds Tree structure ComputingMethodologies_PATTERNRECOGNITION Statistics - Machine Learning 0202 electrical engineering electronic engineering information engineering Applied mathematics 020201 artificial intelligence & image processing Graphical model Divergence (statistics) Mathematics |
| DOI: | 10.48550/arxiv.1605.05776 |
| Popis: | We consider the problem of quantifying the quality of a model selection problem for a graphical model. We discuss this by formulating the problem as a detection problem. Model selection problems usually minimize a distance between the original distribution and the model distribution. For the special case of Gaussian distributions, the model selection problem simplifies to the covariance selection problem which is widely discussed in literature by Dempster [2] where the likelihood criterion is maximized or equivalently the Kullback-Leibler (KL) divergence is minimized to compute the model covariance matrix. While this solution is optimal for Gaussian distributions in the sense of the KL divergence, it is not optimal when compared with other information divergences and criteria such as Area Under the Curve (AUC). In this paper, we analytically compute upper and lower bounds for the AUC and discuss the quality of model selection problem using the AUC and its bounds as an accuracy measure in detection problem. We define the correlation approximation matrix (CAM) and show that analytical computation of the KL divergence, the AUC and its bounds only depend on the eigenvalues of CAM. We also show the relationship between the AUC, the KL divergence and the ROC curve by optimizing with respect to the ROC curve. In the examples provided, we pick tree structures as the simplest graphical models. We perform simulations on fully-connected graphs and compute the tree structured models by applying the widely used Chow-Liu algorithm [3]. Examples show that the quality of tree approximation models are not good in general based on information divergences, the AUC and its bounds when the number of nodes in the graphical model is large. We show both analytically and by simulations that the 1-AUC for the tree approximation model decays exponentially as the dimension of graphical model increases. |
| Databáze: | OpenAIRE |
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