Generalized Stability Approach for Regularized Graphical Models

Selecting regularization parameters in penalized high-dimensional graphical models in a principled, data-driven, and computationally efficient manner continues to be one of the key challenges in high-dimensional statistics. We present substantial computational gains and conceptual generalizations of the Stability Approach to Regularization Selection (StARS), a state-of-the-art graphical model selection scheme. Using properties of the Poisson-Binomial distribution and convex nonasymptotic distributional modeling we propose lower and upper bounds on the StARS graph regularization path which results in greatly reduced computational cost without compromising regularization selection. We also generalize the StARS criterion from single edge to induced subgraph (graphlet) stability. We show that simultaneously requiring edge and graphlet stability leads to superior graph recovery performance independent of graph topology. These novel insights render Gaussian graphical model selection a routine task on standard multi-core computers.