Learning Graphical Models Using Multiplicative Weights

We give a simple, multiplicative-weight update algorithm for learning undirected graphical models or Markov random fields (MRFs). The approach is new, and for the well-studied case of Ising models or Boltzmann machines we obtain an algorithm that uses a nearly optimal number of samples and has running time Õ(n
²
) (where n is the dimension), subsuming and improving on all prior work. Additionally, we give the first efficient algorithm for learning Ising models over non-binary alphabets. Our main application is an algorithm for learning the structure of t-wise MRFs with nearly-optimal sample complexity (up to polynomial losses in necessary terms that depend on the weights) and running time that is n
^O(t)
. In addition, given n
^O(t)
samples, we can also learn the parameters of the model and generate a hypothesis that is close in statistical distance to the true MRF. All prior work runs in time n
^Ω(d)
for graphs of bounded degree d and does not generate a hypothesis close in statistical distance even for t = 3. We observe that our runtime has the correct dependence on n and t assuming the hardness of learning sparse parities with noise. Our algorithm- the Sparsitron- is easy to implement (has only one parameter) and holds in the on-line setting. Its analysis applies a regret bound from Freund and Schapires classic Hedge algorithm. It also gives the first solution to the problem of learning sparse Generalized Linear Models (GLMs).