Robust Sparse Approximations for Stochastic Dynamical Systems

摘要

Inferring the exact topology of the interactions in a large, stochastic dynamical system from time-series data can often be prohibitive computationally and statistically without strong side information. One alternative is to seek approximations of the system topology that nonetheless describe the data well. In recent works, algorithms were proposed to identify sparse approximations which are optimal in terms of Kullback-Leibler divergence. Those algorithms relied on point estimates of statistics from the data. In this work, we investigate the more practical setting where point estimates are not reliable. We propose an algorithm to identify sparse, connected approximations that are robust to estimation error.