PANDA: AdaPtive Noisy Data Augmentation for Regularization of Undirected Graphical Models

Abstract: We propose an AdaPtive Noise Augmentation (PANDA) technique to regularize the estimation and construction of undirected graphical models. PANDA iteratively optimizes the objective function given the noise augmented data until convergence to achieve regularization on model parameters. The augmented noises can be designed to achieve various regularization effects on graph estimation, such as the bridge (including lasso and ridge), elastic net, adaptive lasso, and SCAD penalization; it also realizes the group lasso and fused ridge. We examine the tail bound of the noise-augmented loss function and establish that the noise-augmented loss function and its minimizer converge almost surely to the expected penalized loss function and its minimizer, respectively. We derive the asymptotic distributions for the regularized parameters through PANDA in generalized linear models, based on which, inferences for the parameters can be obtained simultaneously with variable selection. We show the non-inferior performance of PANDA in constructing graphs of different types in simulation studies and apply PANDA to an autism spectrum disorder data to construct a mixed-node graph. We also show that the inferences based on the asymptotic distribution of regularized parameter estimates via PANDA achieve nominal or near-nominal coverage and are far more efficient, compared to some existing post-selection procedures. Computationally, PANDA can be easily programmed in software that implements (GLMs) without resorting to complicated optimization techniques.