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arXiv · 2011.02764

A Bregman Method for Structure Learning on Sparse Directed Acyclic Graphs

Manon Romain·Alexandre d'Aspremont
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Abstract

We develop a Bregman proximal gradient method for structure learning on linear structural causal models. While the problem is non-convex, has high curvature and is in fact NP-hard, Bregman gradient methods allow us to neutralize at least part of the impact of curvature by measuring smoothness against a highly nonlinear kernel. This allows the method to make longer steps and significantly improves convergence. Each iteration requires solving a Bregman proximal step which is convex and efficiently solvable for our particular choice of kernel. We test our method on various synthetic and real data sets.

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Manon Romain, Alexandre d'Aspremont. 2020-11-05. A Bregman Method for Structure Learning on Sparse Directed Acyclic Graphs. https://arxiv.org/abs/2011.02764

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