David Hallac

Network Lasso: Clustering and Optimization in Large Graphs

Convex optimization is an essential tool for modern data analysis, as it provides a framework to formulate and solve many problems in machine learning and data mining. However, general convex optimization solvers do not scale well, and scalable solvers are often specialized to only work on a narrow class of problems. Therefore, there is a need for simple, scalable algorithms that can solve many common optimization problems. In this paper, we introduce the network lasso, a generalization of the group lasso to a network setting that allows for simultaneous clustering and optimization on graphs. We develop an algorithm based on the Alternating Direction Method of Multipliers (ADMM) to solve this problem in a distributed and scalable manner, which allows for guaranteed global convergence even on large graphs. We also examine a non-convex extension of this approach. We then demonstrate that many types of problems can be expressed in our framework. We focus on three in particular --- binary classification, predicting housing prices, and event detection in time series data --- comparing the network lasso to baseline approaches and showing that it is both a fast and accurate method of solving large optimization problems.

Toeplitz Inverse Covariance-Based Clustering of Multivariate Time Series Data

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of only a small number of states, or clusters. For example, raw sensor data from a fitness-tracking application can be expressed as a timeline of a select few actions (i.e., walking, sitting, running). However, discovering these patterns is challenging because it requires simultaneous segmentation and clustering of the time series. Furthermore, interpreting the resulting clusters is difficult, especially when the data is high-dimensional. Here we propose a new method of model-based clustering, which we call Toeplitz Inverse Covariance-based Clustering (TICC). Each cluster in the TICC method is defined by a correlation network, or Markov random field (MRF), characterizing the interdependencies between different observations in a typical subsequence of that cluster. Based on this graphical representation, TICC simultaneously segments and clusters the time series data. We solve the TICC problem through alternating minimization, using a variation of the expectation maximization (EM) algorithm. We derive closed-form solutions to efficiently solve the two resulting subproblems in a scalable way, through dynamic programming and the alternating direction method of multipliers (ADMM), respectively. We validate our approach by comparing TICC to several state-of-the-art baselines in a series of synthetic experiments, and we then demonstrate on an automobile sensor dataset how TICC can be used to learn interpretable clusters in real-world scenarios.

Network Inference via the Time-Varying Graphical Lasso

Many important problems can be modeled as a system of interconnected entities, where each entity is recording time-dependent observations or measurements. In order to spot trends, detect anomalies, and interpret the temporal dynamics of such data, it is essential to understand the relationships between the different entities and how these relationships evolve over time. In this paper, we introduce the time-varying graphical lasso (TVGL), a method of inferring time-varying networks from raw time series data. We cast the problem in terms of estimating a sparse time-varying inverse covariance matrix, which reveals a dynamic network of interdependencies between the entities. Since dynamic network inference is a computationally expensive task, we derive a scalable message-passing algorithm based on the Alternating Direction Method of Multipliers (ADMM) to solve this problem in an efficient way. We also discuss several extensions, including a streaming algorithm to update the model and incorporate new observations in real time. Finally, we evaluate our TVGL algorithm on both real and synthetic datasets, obtaining interpretable results and outperforming state-of-the-art baselines in terms of both accuracy and scalability.

Driver identification using automobile sensor data from a single turn

As automotive electronics continue to advance, cars are becoming more and more reliant on sensors to perform everyday driving operations. These sensors are omnipresent and help the car navigate, reduce accidents, and provide comfortable rides. However, they can also be used to learn about the drivers themselves. In this paper, we propose a method to predict, from sensor data collected at a single turn, the identity of a driver out of a given set of individuals. We cast the problem in terms of time series classification, where our dataset contains sensor readings at one turn, repeated several times by multiple drivers. We build a classifier to find unique patterns in each individuals driving style, which are visible in the data even on such a short road segment. To test our approach, we analyze a new dataset collected by AUDI AG and Audi Electronics Venture, where a fleet of test vehicles was equipped with automotive data loggers storing all sensor readings on real roads. We show that turns are particularly well-suited for detecting variations across drivers, especially when compared to straightaways. We then focus on the 12 most frequently made turns in the dataset, which include rural, urban, highway on-ramps, and more, obtaining accurate identification results and learning useful insights about driver behavior in a variety of settings.

Greedy Gaussian segmentation of multivariate time series

We consider the problem of breaking a multivariate (vector) time series into segments over which the data is well explained as independent samples from a Gaussian distribution. We formulate this as a covariance-regularized maximum likelihood problem, which can be reduced to a combinatorial optimization problem of searching over the possible breakpoints, or segment boundaries. This problem can be solved using dynamic programming, with complexity that grows with the square of the time series length. We propose a heuristic method that approximately solves the problem in linear time with respect to this length, and always yields a locally optimal choice, in the sense that no change of any one breakpoint improves the objective. Our method, which we call greedy Gaussian segmentation (GGS), easily scales to problems with vectors of dimension over 1000 and time series of arbitrary length. We discuss methods that can be used to validate such a model using data, and also to automatically choose appropriate values of the two hyperparameters in the method. Finally, we illustrate our GGS approach on financial time series and Wikipedia text data.

Learning Structural Node Embeddings via Diffusion Wavelets

Nodes residing in different parts of a graph can have similar structural roles within their local network topology. The identification of such roles provides key insight into the organization of networks and can also be used to inform machine learning on graphs. However, learning structural representations of nodes is a challenging unsupervised-learning task, which typically involves manually specifying and tailoring topological features for each node. Here we develop GRAPHWAVE, a method that represents each node’s local network neighborhood via a low-dimensional embedding by leveraging spectral graph wavelet diffusion patterns. We prove that nodes with similar local network neighborhoods will have similar GRAPHWAVE embeddings even though these nodes may reside in very different parts of the network. Our method scales linearly with the number of edges and does not require any hand-tailoring of topological features. We evaluate performance on both synthetic and real-world datasets, obtaining improvements of up to 71% over state-of-the-art baselines.Nodes residing in different parts of a graph can have similar structural roles within their local network topology. The identification of such roles provides key insight into the organization of networks and can be used for a variety of machine learning tasks. However, learning structural representations of nodes is a challenging problem, and it has typically involved manually specifying and tailoring topological features for each node. In this paper, we develop GraphWave, a method that represents each nodes network neighborhood via a low-dimensional embedding by leveraging heat wavelet diffusion patterns. Instead of training on hand-selected features, GraphWave learns these embeddings in an unsupervised way. We mathematically prove that nodes with similar network neighborhoods will have similar GraphWave embeddings even though these nodes may reside in very different parts of the network, and our method scales linearly with the number of edges. Experiments in a variety of different settings demonstrate GraphWaves real-world potential for capturing structural roles in networks, and our approach outperforms existing state-of-the-art baselines in every experiment, by as much as 137%.