Figlearn: Filter and Graph Learning Using Optimal Transport

In many applications, a dataset can be considered as a set of observed signals that live on an unknown underlying graph structure. Some of these signals may be seen as white noise that has been filtered on the graph topology by a graph filter. Hence, the knowledge of the filter and the graph provides valuable information about the underlying data generation process and the complex interactions that arise in the dataset. We hence introduce a novel graph signal processing framework for jointly learning the graph and its generating filter from signal observations. We cast a new optimisation problem that minimises the Wasserstein distance between the distribution of the signal observations and the filtered signal distribution model. Our proposed method outperforms state- of-the-art graph learning frameworks on synthetic data. We then apply our method to a temperature anomaly dataset, and further show how this framework can be used to infer missing values if only very little information is available.