Fast Projected Newton-like Method for Precision Matrix Estimation under Total Positivity

Part of Advances in Neural Information Processing Systems 36 (NeurIPS 2023) Main Conference Track

Bibtex Paper

Authors

Jian-Feng CAI, José Vinícius de Miranda Cardoso , Daniel Palomar, Jiaxi Ying

Abstract

We study the problem of estimating precision matrices in Gaussian distributions that are multivariate totally positive of order two ($\mathrm{MTP}_2$). The precision matrix in such a distribution is an M-matrix. This problem can be formulated as a sign-constrained log-determinant program. Current algorithms are designed using the block coordinate descent method or the proximal point algorithm, which becomes computationally challenging in high-dimensional cases due to the requirement to solve numerous nonnegative quadratic programs or large-scale linear systems. To address this issue, we propose a novel algorithm based on the two-metric projection method, incorporating a carefully designed search direction and variable partitioning scheme. Our algorithm substantially reduces computational complexity, and its theoretical convergence is established. Experimental results on synthetic and real-world datasets demonstrate that our proposed algorithm provides a significant improvement in computational efficiency compared to the state-of-the-art methods.