Towards a sparse, scalable, and stably positive definite (inverse) covariance estimator

TL;DR

This paper introduces a novel path algorithm for covariance and inverse covariance estimation that enforces a condition number constraint, ensuring well-conditioned, positive definite, and computationally tractable matrices in high-dimensional settings.

Contribution

It develops a solution path algorithm for covariance estimation under condition number constraints, enabling efficient computation of well-conditioned, positive definite estimates across all bounds.

Findings

Path algorithm computes entire estimate family at fixed cost

Proximal operator for condition number constraint is efficiently derived

Operator-splitting algorithm guarantees positive definiteness and well-conditioning

Abstract

High dimensional covariance estimation and graphical models is a contemporary topic in statistics and machine learning having widespread applications. An important line of research in this regard is to shrink the extreme spectrum of the covariance matrix estimators. A separate line of research in the literature has considered sparse inverse covariance estimation which in turn gives rise to graphical models. In practice, however, a sparse covariance or inverse covariance matrix which is simultaneously well-conditioned and at the same time computationally tractable is desired. There has been little research at the confluence of these three topics. In this paper we consider imposing a condition number constraint to various types of losses used in covariance and inverse covariance matrix estimation. When the loss function can be decomposed as a sum of an orthogonally invariant function of the estimate and its inner product with a function of the sample covariance matrix, we show that a solution path algorithm can be derived, involving a series of ordinary differential equations. The path algorithm is attractive because it provides the entire family of estimates for all possible values of the condition number bound, at the same computational cost of a single estimate with a fixed upper bound. An important finding is that the proximal operator for the condition number constraint, which turns out to be very useful in regularizing loss functions that are not orthogonally invariant and may yield non-positive-definite estimates, can be efficiently computed by this path algorithm. As a concrete illustration of its practical importance, we develop an operator-splitting algorithm that imposes a guarantee of well-conditioning as well as positive definiteness to recently proposed convex pseudo-likelihood based graphical model selection methods.