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Mathematical Programming

, Volume 176, Issue 1–2, pp 175–205 | Cite as

Blessing of massive scale: spatial graphical model estimation with a total cardinality constraint approach

  • Ethan X. Fang
  • Han Liu
  • Mengdi WangEmail author
Full Length Paper Series B
  • 97 Downloads

Abstract

We consider the problem of estimating high dimensional spatial graphical models with a total cardinality constraint (i.e., the \(\ell _0\)-constraint). Though this problem is highly nonconvex, we show that its primal-dual gap diminishes linearly with the dimensionality and provide a convex geometry justification of this “blessing of massive scale” phenomenon. Motivated by this result, we propose an efficient algorithm to solve the dual problem (which is concave) and prove that the solution achieves optimal statistical properties. Extensive numerical results are also provided.

Mathematics Subject Classification

65C60 65K05 78M50 

Supplementary material

10107_2018_1331_MOESM1_ESM.pdf (428 kb)
Supplementary material 1 (pdf 428 KB)

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society 2018

Authors and Affiliations

  1. 1.Department of Statistics, Department of Industrial and Manufacturing EngineeringPennsylvania State UniversityUniversity ParkUSA
  2. 2.Department of Operations Research and Financial EngineeringPrinceton UniversityPrincetonUSA

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