Improved Estimation of High-dimensional Ising Models
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We consider the problem of jointly estimating the parameters as well as the structure of binary valued Markov Random Fields, in contrast to earlier work that focus on one of the two problems. We formulate the problem as a maximization of ℓ_1-regularized surrogate likelihood that allows us to find a sparse solution. Our optimization technique efficiently incorporates the cutting-plane algorithm in order to obtain a tighter outer bound on the marginal polytope, which results in improvement of both parameter estimates and approximation to marginals. On synthetic data, we compare our algorithm on the two estimation tasks to the other existing methods. We analyze the method in the high-dimensional setting, where the number of dimensions p is allowed to grow with the number of observations n. The rate of convergence of the estimate is demonstrated to depend explicitly on the sparsity of the underlying graph.
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