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Register a new userA Localization Approach to Improve Iterative Proportional Scaling in Gaussian Graphical Models
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Added by
Hisayuki Hara
Publication date
2008
fields
Mathematical Statistics
and research's language is
English
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We discuss an efficient implementation of the iterative proportional scaling procedure in the multivariate Gaussian graphical models. We show that the computational cost can be reduced by localization of the update procedure in each iterative step by using the structure of a decomposable model obtained by triangulation of the graph associated with the model. Some numerical experiments demonstrate the competitive performance of the proposed algorithm.
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