Corpus ID: 29168281

Bayesian Joint Spike-and-Slab Graphical Lasso

@inproceedings{Li2019BayesianJS,
  title={Bayesian Joint Spike-and-Slab Graphical Lasso},
  author={Z. Li and T. McCormick and S. Clark},
  booktitle={ICML},
  year={2019}
}

Z. Li, T. McCormick, S. Clark

Published in ICML 2019

Mathematics, Computer Science

In this article, we propose a new class of priors for Bayesian inference with multiple Gaussian graphical models. We introduce fully Bayesian treatments of two popular procedures, the group graphical lasso and the fused graphical lasso, and extend them to a continuous spike-and-slab framework to allow self-adaptive shrinkage and model selection simultaneously. We develop an EM algorithm that performs fast and dynamic explorations of posterior modes. Our approach selects sparse models… CONTINUE READING

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