A Bregman Method for Structure Learning on Sparse Directed Acyclic Graphs.

TITLE: A Bregman Method for Structure Learning on Sparse Directed Acyclic Graphs.

AUTHORS: M. Romain, A. d'Aspremont.

ABSTRACT: We develop a Bregman proximal gradient method for structure learning on linear structural causal models. While the problem is non-convex, has high curvature and is in fact NP-hard, Bregman gradient methods allow us to neutralize at least part of the impact of curvature by measuring smoothness against a highly nonlinear kernel. This allows the method to make longer steps and significantly improves convergence. Each iteration requires solving a Bregman proximal step which is convex and efficiently solvable for our particular choice of kernel. We test our method on various synthetic and real data sets.

ArXiv PREPRINT: 2011.02764

The Causal LASSO code is available online.