Tracking Time-varying Graphical Structure

Structure learning algorithms for graphical models have focused almost exclusively on stable environments in which the underlying generative process does not change; that is, they assume that the generating model is globally stationary. In real-world environments, however, such changes often occur without warning or signal. Real-world data often come from generating models that are only locally stationary. In this paper, we present LoSST, a novel, heuristic structure learning algorithm that tracks changes in graphical model structure or parameters in a dynamic, real-time manner. We show by simulation that the algorithm performs comparably to batch-mode learning when the generating graphical structure is globally stationary, and significantly better when it is only locally stationary.