Gaussian multiresolution models: exploiting sparse Markov and covariance structure
IEEE Transactions on Signal Processing
Covariance estimation in decomposable Gaussian graphical models
IEEE Transactions on Signal Processing
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Graphical models provide a powerful formalism for statistical signal processing. Due to their sophisticated modeling capabilities, they have found applications in a variety of fields such as computer vision, image processing, and distributed sensor networks. In this paper, we present a general class of algorithms for estimation in Gaussian graphical models with arbitrary structure. These algorithms involve a sequence of inference problems on tractable subgraphs over subsets of variables. This framework includes parallel iterations such as embedded trees, serial iterations such as block Gauss-Seidel, and hybrid versions of these iterations. We also discuss a method that uses local memory at each node to overcome temporary communication failures that may arise in distributed sensor network applications. We analyze these algorithms based on the recently developed walk-sum interpretation of Gaussian inference. We describe the walks ldquocomputedrdquo by the algorithms using walk-sum diagrams, and show that for iterations based on a very large and flexible set of sequences of subgraphs, convergence is guaranteed in walk-summable models. Consequently, we are free to choose spanning trees and subsets of variables adaptively at each iteration. This leads to efficient methods for optimizing the next iteration step to achieve maximum reduction in error. Simulation results demonstrate that these nonstationary algorithms provide a significant speedup in convergence over traditional one-tree and two-tree iterations.