通过凸优化生成符合图结构的协方差矩阵,可灵活控制非对角线元素均值。
Graph-Based Correlation Matrix Generation: A Convex Optimization Approach

- 基于凸优化将初始矩阵投影到椭球体,满足半正定性与图结构约束。
- 可控制非对角线元素均值,生成更贴近真实数据的相关矩阵。
- 适用于图形模型推断方法的基准测试,适合统计建模研究者。
本文研究具有预设稀疏模式(对应图结构)的理论相关矩阵生成问题。提出一种新的凸优化框架:将初始矩阵在半正定性约束下投影到椭球体上。实现并比较了多种数值算法。该问题属于矩阵补全范畴,其中缺失边对应的非对角线元素固定为0,对角线元素固定为1。除结构约束外,该方法通过控制非对角线元素分布均值,提供比现有方法更大的灵活性,使生成的相关矩阵更符合实际数据特征。该过程不追求在可行集上均匀采样,而是提供一种可调节、有理论依据的相关矩阵构造方法,适用于图形模型推断方法的基准测试。理论证明了在一般情形及均值约束下的解存在性。模拟研究展示了生成矩阵随图结构变化的性质。方法应用于神经科学和金融两个真实数据集,并与基于GAN的相关矩阵生成方法进行了对比。
原文摘要 · Abstract (English)
This work addresses the generation of theoretical correlation matrices with prescribed sparsity patterns associated to graph structures. We propose a novel convex optimization framework in which an initial matrix is projected onto an elliptope under a positive semidefiniteness constraint. Several numerical schemes are implemented and compared. The problem falls within the broader class of matrix completion, where off-diagonal entries corresponding to absent edges are fixed to zero and diagonal entries are fixed to one. Beyond this structural constraint, the approach offers greater flexibility than existing methods by allowing control over the mean of the off-diagonal entry distribution, enabling the generation of correlation matrices that better reflect realistic data. This procedure is not designed to yield a uniform distribution over the feasible set; rather, it provides a principled and tunable way to construct correlation matrices suitable for benchmarking statistical methods for graphical model inference. Theoretical guarantees on the existence of solutions are established, both in the general setting and under the additional mean constraint. Simulation studies illustrate the properties of the generated matrices with respect to graph structure. The methodology is applied to two real-world datasets from neuroscience and finance, and a comparison with GAN-based correlation matrix generation is provided.
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