Bounded Degree Approximations of Stochastic Networks

Abstract: We propose algorithms to approximate directed information graphs. Directed information graphs are probabilistic graphical models that depict causal dependencies between stochastic processes in a network. The proposed algorithms identify optimal and near-optimal approximations in terms of Kullback-Leibler divergence. The user-chosen sparsity trades off the quality of the approximation against visual conciseness and computational tractability. One class of approximations contains graphs with specified in-degrees. Another class additionally requires that the graph is connected. For both classes, we propose algorithms to identify the optimal approximations and also near-optimal approximations, using a novel relaxation of submodularity. We also propose algorithms to identify the r-best approximations among these classes, enabling robust decision making.