Decomposable principal component analysis

Authors:
Ami Wiesel;Alfred O. Hero
Affiliations:
Department of Electrical Engineering and Computer Science, University of Michigan, Ann Arbor, MI;Department of Electrical Engineering and Computer Science, University of Michigan, Ann Arbor, MI
Venue:
IEEE Transactions on Signal Processing
Year:
2009

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Abstract

In this paper, we consider principal component analysis (PCA) in decomposable Gaussian graphical models. We exploit the prior information in these models in order to distribute PCA computation. For this purpose, we reformulate the PCA problem in the sparse inverse covariance (concentration) domain and address the global eigenvalue problem by solving a sequence of local eigenvalue problems in each of the cliques of the decomposable graph. We illustrate our methodology in the context of decentralized anomaly detection in the Abilene backbone network. Based on the topology of the network, we propose an approximate statistical graphical model and distribute the computation of PCA.