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Estimation of partially known Gaussian graphical models with score-based structural priors

Martín Sevilla · Antonio Marques · Santiago Segarra

MR1 & MR2 - Number 160


We propose a novel algorithm for the support estimation of partially known Gaussian graphical models that incorporates prior information about the underlying graph. In contrast to classical approaches that provide a point estimate based on a maximum likelihood or maximum a posteriori approach using (simple) priors on the precision matrix, we consider a prior on the graph and rely on annealed Langevin diffusion to generate samples from the posterior distribution. Since the Langevin sampler requires access to the score function of the underlying graph prior, we use graph neural networks to effectively estimate the score from a graph dataset (either available beforehand or generated from a known distribution). Numerical experiments in different setups demonstrate the benefits of our approach.

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