Tensor Graphical Lasso (TeraLasso)

Abstract: This paper introduces a multi-way tensor generalization of the Bigraphical Lasso (BiGLasso), which uses a two-way sparse Kronecker-sum multivariate-normal model for the precision matrix to parsimoniously model conditional dependence relationships of matrix-variate data based on the Cartesian product of graphs. We call this generalization the {\bf Te}nsor g{\bf ra}phical Lasso (TeraLasso). We demonstrate using theory and examples that the TeraLasso model can be accurately and scalably estimated from very limited data samples of high dimensional variables with multiway coordinates such as space, time and replicates. Statistical consistency and statistical rates of convergence are established for both the BiGLasso and TeraLasso estimators of the precision matrix and estimators of its support (non-sparsity) set, respectively. We propose a scalable composite gradient descent algorithm and analyze the computational convergence rate, showing that the composite gradient descent algorithm is guaranteed to converge at a geometric rate to the global minimizer of the TeraLasso objective function. Finally, we illustrate the TeraLasso using both simulation and experimental data from a meteorological dataset, showing that we can accurately estimate precision matrices and recover meaningful conditional dependency graphs from high dimensional complex datasets.