Partial Correlation Network Estimation by Semismooth Newton Methods
DongWon Kim, Sungdong Lee, Joong-Ho (Johann) Won
We develop a scalable second-order algorithm for a recently proposed  $\ell_1$-regularized pseudolikelihood-based partial correlation network estimation framework. While the latter method admits statistical guarantees and is inherently scalable compared to likelihood-based methods such as graphical lasso, the currently available implementations rely only on first-order information and require thousands of iterations to obtain reliable estimates even on high-performance supercomputers.In this paper, we further investigate the inherent scalability of the framework and propose locally and globally convergent semismooth Newton methods. Despite the nonsmoothness of the problem, these second-order  algorithms converge at a asymptotically quadratic rate, and require only a few tens of iterations in practice. Each iteration reduces to solving linear systems of small dimensions or linear complementary problems of smaller dimensions, making the computation also suitable for less powerful computing environments.Experiments on both simulated and real-world genomic datasets demonstrate the superior convergence behavior and computational efficiency of the proposed algorithm, which position our method as a promising tool for massive-scale network analysis sought for in, e.g., modern multi-omics research.