Structure learning in graphical models by covariance queries
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We study the problem of recovering the structure underlying large Gaussian graphical models. In high-dimensional problems it is often too costly to store the entire sample covariance matrix. We propose a new input model in which one can query single entries of the sample covariance matrix. We present computationally efficient algorithms for structure recovery in Gaussian graphical models with low query and computational complexity. Our algorithms work in a regime of tree-like graphs and, more generally, for graphs of small treewidth. Our results demonstrate that for large classes of graphs, the structure of the corresponding Gaussian graphical models can be determined much faster than even computing the empirical covariance matrix.
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