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2009
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Exploiting sparse Markov and covariance structure in multiresolution models

10 years 6 months ago
Exploiting sparse Markov and covariance structure in multiresolution models
We consider Gaussian multiresolution (MR) models in which coarser, hidden variables serve to capture statistical dependencies among the finest scale variables. Tree-structured MR models have limited modeling capabilities, as variables at one scale are forced to be uncorrelated with each other conditioned on other scales. We propose a new class of Gaussian MR models that capture the residual correlations within each scale using sparse covariance structure. Our goal is to learn a tree-structured graphical model connecting variables across different scales, while at the same time learning sparse structure for the conditional covariance within each scale conditioned on other scales. This model leads to an efficient, new inference algorithm that is similar to multipole methods in computational physics.
Myung Jin Choi, Venkat Chandrasekaran, Alan S. Wil
Added 17 Nov 2009
Updated 17 Nov 2009
Type Conference
Year 2009
Where ICML
Authors Myung Jin Choi, Venkat Chandrasekaran, Alan S. Willsky
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