Statistics Papers
Document Type
Journal Article
Date of this Version
7-2010
Publication Source
Advances in Applied Mathematics
Volume
45
Issue
1
Start Page
36
Last Page
49
DOI
10.1016/j.aam.2009.11.004
Abstract
We consider n agents located on the vertices of a connected graph. Each agent v receives a signal Xv(0)∼N(μ,1) where μ is an unknown quantity. A natural iterative way of estimating μ is to perform the following procedure. At iteration t+1 let Xv(t+1) be the average of Xv(t) and of Xw(t) among all the neighbors w of v. It is well known that this procedure converges to X (∞) = ½ |E|-1 ∑dvXv where dv is the degree of v.
In this paper we consider a variant of simple iterative averaging, which models “greedy” behavior of the agents. At iteration t, each agent v declares the value of its estimator Xv(t) to all of its neighbors. Then, it updates Xv(t+1) by taking the maximum likelihood (or minimum variance) estimator of μ, given Xv(t) and Xw(t) for all neighbors w of v, and the structure of the graph.
We give an explicit efficient procedure for calculating Xv(t), study the convergence of the process as t→∞ and show that if the limit exists then Xv(∞)=Xw(∞) for all v and w. For graphs that are symmetric under actions of transitive groups, we show that the process is efficient. Finally, we show that the greedy process is in some cases more efficient than simple averaging, while in other cases the converse is true, so that, in this model, “greed” of the individual agents may or may not have an adverse affect on the outcome.
The model discussed here may be viewed as the maximum likelihood version of models studied in Bayesian Economics. The ML variant is more accessible and allows in particular to show the significance of symmetry in the efficiency of estimators using networks of agents.
Copyright/Permission Statement
© 2010. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Keywords
maximum likelihood, sparse sensing, leaning on networks, algebraic recursion relation, bayesian economics
Recommended Citation
Mossel, E., & Tamuz, O. (2010). Iterative Maximum Likelihood on Networks. Advances in Applied Mathematics, 45 (1), 36-49. http://dx.doi.org/10.1016/j.aam.2009.11.004
Date Posted: 27 November 2017
This document has been peer reviewed.
Comments
At the time of publication, author Elchanan Mossel was affiliated with the University of California, Berkeley. Currently, he is a faculty member at the Statistics Department at the University of Pennsylvania.