Learning Scale Free Networks by Reweighted ℓ_1 regularization

Methods for $\ell_1$-type regularization have been widely used in Gaussian graphical model selection tasks to encourage sparse structures. However, often we would like to include more structural information than mere sparsity. In this work, we focus on learning so-called “scale-free” models, a common feature that appears in many real-work networks. We replace the $\ell_1$ regularization with a power law regularization and optimize the objective function by a sequence of iteratively reweighted $\ell_1$ regularization problems, where the regularization coefficients of nodes with high degree are reduced, encouraging the appearance of hubs with high degree. Our method can be easily adapted to improve any existing $\ell_1$-based methods, such as graphical lasso, neighborhood selection, and JSRM when the underlying networks are believed to be scale free or have dominating hubs. We demonstrate in simulation that our method significantly outperforms the a baseline $\ell_1$ method at learning scale-free networks and hub networks, and also illustrate its behavior on gene expression data.