T-LoHo: A Bayesian Regularization Model for Structured Sparsity and Smoothness on Graphs
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Abstract (arXiv)
Graphs have been commonly used to represent complex data structures. In models dealing with graph-structured data, multivariate parameters may not only exhibit sparse patterns but have structured sparsity and smoothness in the sense that both zero and non-zero parameters tend to cluster together. We propose a new prior for high-dimensional parameters with graphical relations, referred to as the Tree-based Low-rank Horseshoe (T-LoHo) model, that generalizes the popular univariate Bayesian horseshoe shrinkage prior to the multivariate setting to detect structured sparsity and smoothness simultaneously. The T-LoHo prior can be embedded in many high-dimensional hierarchical models. To illustrate its utility, we apply it to regularize a Bayesian high-dimensional regression problem where the regression coefficients are linked by a graph, so that the resulting clusters have flexible shapes and satisfy the cluster contiguity constraint with respect to the graph. We design an efficient Markov chain Monte Carlo algorithm that delivers full Bayesian inference with uncertainty measures for model parameters such as the number of clusters. We offer theoretical investigations of the clustering effects and posterior concentration results. Finally, we illustrate the performance of the model with simulation studies and a real data application for anomaly detection on a road network. The results indicate substantial improvements over other competing methods such as the sparse fused lasso.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). Builds on 12 of its 59 references that are in the map. First posted on arXiv 6 Jul 2021.
Builds on
12 of 59 references.
References · 12
- 2014Trend Filtering on Graphscited by 45
- 2017Lasso Meets Horseshoe : A Surveycited by 17
- 2016Scalar-on-Image Regression via the Soft-Thresholded Gaussian Processcited by 12
- 2016On the Hyperprior Choice for the Global Shrinkage Parameter in the Horseshoe Priorcited by 10
- 2017Approximate l0-penalized estimation of piecewise-constant signals on graphscited by 5
- 2013Bayesian Compressed Regressioncited by 4
- 2018Bayesian Fusion Estimation via t-Shrinkagecited by 2
- 2016Bayesian generalized fused lasso modeling via NEG distributioncited by 1
- 2016Functional Horseshoe Priors for Subspace Shrinkagecited by 1
- 2019Bayesian Model Selection with Graph Structured Sparsitycited by 1
- 2020Graph signal denoising using t-shrinkage priorscited by 1
- 2021Horseshoe shrinkage methods for Bayesian fusion estimationcited by 1
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Citing papers per year: 2022: 1.
1 paper.