This paper introduces a multi-way tensor generalization of the Bigraphical
Lasso (BiGLasso), which uses a two-way sparse Kronecker-sum multivariate-normal
model for the precision matrix to parsimoniously model conditional dependence
relationships of matrix-variate data based on the Cartesian product of graphs.
We call this generalization the {\bf Te}nsor g{\bf ra}phical Lasso (TeraLasso).
We demonstrate using theory and examples that the TeraLasso model can be
accurately and scalably estimated from very limited data samples of high
dimensional variables with multiway coordinates such as space, time and
replicates. Statistical consistency and statistical rates of convergence are
established for both the BiGLasso and TeraLasso estimators of the precision
matrix and estimators of its support (non-sparsity) set, respectively. We
propose a scalable composite gradient descent algorithm and analyze the
computational convergence rate, showing that the composite gradient descent
algorithm is guaranteed to converge at a geometric rate to the global minimizer
of the TeraLasso objective function. Finally, we illustrate the TeraLasso using
both simulation and experimental data from a meteorological dataset, showing
that we can accurately estimate precision matrices and recover meaningful
conditional dependency graphs from high dimensional complex datasets.

本文介绍了一个名为 Tensor Graphical Lasso (TeraLasso) 的多维张量图形 Lasso 的通用模型，可以准确地和可扩展地估计高维变量数据的条件依赖关系，通过提出的复合梯度下降算法，TeraLasso 模型可以有效计算。该模型可以准确地估计精确的矩阵和恢复有意义的条件依赖图，而且在模拟和实验数据中得到广泛应用。