Multiscale Graphical Lasso • mglasso

Method

This repository provides an implementation of the MGLasso (Multiscale Graphical Lasso) algorithm: a novel approach for estimating sparse Gaussian Graphical Models with the addition of a group-fused Lasso penalty.

MGLasso is described in the paper Inference of Multiscale Gaussian Graphical Model. MGLasso has three major contributions:

We simultaneously infer a network and estimate a clustering structure by combining the neighborhood selection approach (Meinshausen and Bühlman, 2006) and convex clustering (Hocking et al. 2011).
We use a continuation with Nesterov smoothing in a shrinkage-thresholding algorithm (CONESTA, Hadj-Selem et al. 2018) to solve the optimization problem .
We show numerically that MGLasso performs better than GLasso(Meinshausen and Bühlman, 2006; Friedman et al. 2007) in terms of support recovery in a block diagonal model with few sparsity inside blocks. The clustering performances of MGLasso can be improved by the addition of a weight term to calibrate the variable fusion regularizer.

To solve the MGLasso problem, we seek the regression vectors $\beta^i$ that minimize

$J_{\lambda_1, \lambda_2}(\boldsymbol{\beta}; \mathbf{X} ) = \frac{1}{2} \sum_{i=1}^p \left \lVert \mathbf{X}^i - \mathbf{X}^{\setminus i} \boldsymbol{\beta}^i \right \rVert_2 ^2 + \lambda_1 \sum_{i = 1}^p \left \lVert \boldsymbol{\beta}^i \right \rVert_1 + \lambda_2 \sum_{i < j} \left \lVert \boldsymbol{\beta}^i - \tau_{ij}(\boldsymbol{\beta}^j) \right \rVert_2.$

J_{\lambda_1, \lambda_2}(\boldsymbol{\beta}; \mathbf{X} ) = \frac{1}{2} \sum_{i=1}^p \left \lVert \mathbf{X}^i - \mathbf{X}^{\setminus i} \boldsymbol{\beta}^i \right \rVert_2 ^2 + \lambda_1 \sum_{i = 1}^p \left \lVert \boldsymbol{\beta}^i \right \rVert_1 + \lambda_2 \sum_{i < j} \left \lVert \boldsymbol{\beta}^i - \tau_{ij}(\boldsymbol{\beta}^j) \right \rVert_2.

MGLasso package available on CRAN is based on the python implementation of the solver CONESTA available in pylearn-parsimony library.

Package requirements

Install the reticulate package.

install.packages('reticulate')

Check if Python engine is available on the system

reticulate::py_available()

If not available

reticulate::install_miniconda()

Install MGLasso

install.packages('mglasso')

Install MGLasso python dependencies

mglasso::install_conesta()

An example of use is given below.

Illustration on a simple model

Installation

remotes::install_github("desanou/mglasso")
library(mglasso)

library(mglasso)
#> Welcome to MGLasso.
#> Run install_conesta() to finalize the package python dependencies installation.
install_conesta()
#> mglasso requires the r-reticulate virtual environment. Attempting to create...
#> virtualenv: r-reticulate
#> Using virtual environment 'r-reticulate' ...
#> + '/Users/doedmond.sanou/.virtualenvs/r-reticulate/bin/python' -m pip install --upgrade 'scipy == 1.7.1' 'scikit-learn'
#> Installing pylearn-parsimony
#> pylearn-parsimony is installed.

Simulate a block diagonal model

We simulate a $3$ -block diagonal model where each block contains $3$ variables. The intra-block correlation level is set to $0.85$ while the correlations outside the blocks are kept to $0$ .

library(Matrix)
n = 50
K = 3
p = 9
rho = 0.85
blocs <- list()

for (j in 1:K) {
  bloc <- matrix(rho, nrow = p/K, ncol = p/K)
  for(i in 1:(p/K)) { bloc[i,i] <- 1 }
  blocs[[j]] <- bloc
}

mat.correlation <- Matrix::bdiag(blocs)
corrplot::corrplot(as.matrix(mat.correlation), method = "color", tl.col="black")

Simulate gaussian data from the covariance matrix

set.seed(11)
X <- mvtnorm::rmvnorm(n, mean = rep(0,p), sigma = as.matrix(mat.correlation))
colnames(X) <- LETTERS[1:9]

Run `mglasso()`

We set the sparsity level $\lambda_1$ to $0.2$ and rescaled it with the size of the sample.

X <- scale(X)    
res <- mglasso(X, lambda1 = 0.2*n, lambda2_start = 0.1, fuse_thresh = 1e-3, verbose = FALSE)

To launch a unique run of the objective function call the conesta function.

temp <- mglasso::conesta(X, lam1 = 0.2*n, lam2 = 0.1)

Estimated clustering path

We plot the clustering path of mglasso method on the 2 principal components axis of $X$ . The path is drawn on the predicted $X$ ’s.

library(ggplot2)
library(ggrepel)
mglasso:::plot_clusterpath(as.matrix(X), res)

Estimated adjacency matrices along the clustering path

As the the fusion penalty increases from level9 to level1 we observe a progressive fusion of adjacent edges.

plot_mglasso(res)

Reference

Edmond, Sanou; Christophe, Ambroise; Geneviève, Robin; (2022): Inference of Multiscale Gaussian Graphical Model. ArXiv. Preprint. https://doi.org/10.48550/arXiv.2202.05775