On the Consistency of Maximum Likelihood Estimators for Causal Network Identification

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We consider the problem of identifying parameters from data for systems with dynamics evolving according to a particular class of Markov chain processes, called Bernoulli Autoregressive (BAR) processes. The structure of any BAR model is encoded by a directed graph with p nodes. The edges of the graph indicate causal influences, or equivalently dynamic dependencies. More explicitly, the incoming edges to a node in the graph indicate that the state of the node at a particular time instant, which corresponds to a Bernoulli random variable, is influenced by the states of the corresponding parental nodes in the previous time instant. The associated edge weights determine the corresponding level of influence from each parental node. In the simplest setup, the Bernoulli parameter of a particular node's state variable is a convex combination of the parental node states in the previous time instant and an additional Bernoulli noise variable; this convex combination corresponds to the associated parental edge weights and the contribution of the local noise variable. In this paper, we focus on the problem of structure and edge weight identification by relying on well-established statistical principles. We present two consistent estimators of the edge weights, a Maximum Likelihood (ML) estimator and a closed-form estimator, and numerically demonstrate that the derived estimators outperform existing algorithms in the literature in terms of sample complexity.

Original languageEnglish (US)
Title of host publication2020 59th IEEE Conference on Decision and Control, CDC 2020
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages990-995
Number of pages6
ISBN (Electronic)9781728174471
DOIs
StatePublished - Dec 14 2020
Event59th IEEE Conference on Decision and Control, CDC 2020 - Virtual, Jeju Island, Korea, Republic of
Duration: Dec 14 2020Dec 18 2020

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume2020-December
ISSN (Print)0743-1546

Conference

Conference59th IEEE Conference on Decision and Control, CDC 2020
CountryKorea, Republic of
CityVirtual, Jeju Island
Period12/14/2012/18/20

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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