Sparse plus low-rank identification for dynamical latent-variable graphical AR models Article Swipe
Junyao You
,
Chengpu Yu
·
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2307.11320
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2307.11320
This paper focuses on the identification of graphical autoregressive models with dynamical latent variables. The dynamical structure of latent variables is described by a matrix polynomial transfer function. Taking account of the sparse interactions between the observed variables and the low-rank property of the latent-variable model, a new sparse plus low-rank optimization problem is formulated to identify the graphical auto-regressive part, which is then handled using the trace approximation and reweighted nuclear norm minimization. Afterwards, the dynamics of latent variables are recovered from low-rank spectral decomposition using the trace norm convex programming method. Simulation examples are used to illustrate the effectiveness of the proposed approach.
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Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2307.11320
- https://arxiv.org/pdf/2307.11320
- OA Status
- green
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4385208439
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
-
https://openalex.org/W4385208439Canonical identifier for this work in OpenAlex
- DOI
-
https://doi.org/10.48550/arxiv.2307.11320Digital Object Identifier
- Title
-
Sparse plus low-rank identification for dynamical latent-variable graphical AR modelsWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2023Year of publication
- Publication date
-
2023-07-21Full publication date if available
- Authors
-
Junyao You, Chengpu YuList of authors in order
- Landing page
-
https://arxiv.org/abs/2307.11320Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/2307.11320Direct link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://arxiv.org/pdf/2307.11320Direct OA link when available
- Concepts
-
Latent variable, Rank (graph theory), Autoregressive model, Latent variable model, TRACE (psycholinguistics), Algorithm, Mathematics, Graphical model, Computer science, Mathematical optimization, Applied mathematics, Artificial intelligence, Statistics, Combinatorics, Philosophy, LinguisticsTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
0Total citation count in OpenAlex
- Related works (count)
-
10Other works algorithmically related by OpenAlex
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