
arXiv: 2110.09935
handle: 11250/3214125
Online topology estimation of graph-connected time series is challenging, especially since the causal dependencies in many real-world networks are nonlinear. In this paper, we propose a kernel-based algorithm for graph topology estimation. The algorithm uses a Fourier-based Random feature approximation to tackle the curse of dimensionality associated with the kernel representations. Exploiting the fact that the real-world networks often exhibit sparse topologies, we propose a group lasso based optimization framework, which is solve using an iterative composite objective mirror descent method, yielding an online algorithm with fixed computational complexity per iteration. The experiments conducted on real and synthetic data show that the proposed method outperforms its competitors.
Signal Processing (eess.SP), FOS: Computer and information sciences, Computer Science - Machine Learning, FOS: Electrical engineering, electronic engineering, information engineering, VDP::Technology: 500::Information and communication technology: 550, Electrical Engineering and Systems Science - Signal Processing, Machine Learning (cs.LG)
Signal Processing (eess.SP), FOS: Computer and information sciences, Computer Science - Machine Learning, FOS: Electrical engineering, electronic engineering, information engineering, VDP::Technology: 500::Information and communication technology: 550, Electrical Engineering and Systems Science - Signal Processing, Machine Learning (cs.LG)
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