Cardinality-Regularized Hawkes-Granger Model
This work addresses a specific mathematical issue in causal event analysis for temporal data, offering a more robust solution for domains like infrastructure monitoring.
The paper tackles the problem of singularity in maximum likelihood estimation for sparse Granger-causal learning in Hawkes processes, proposing a cardinality-regularized framework that remedies these issues and validates it with real-world use-cases in power grid and cloud data center management.
We propose a new sparse Granger-causal learning framework for temporal event data. We focus on a specific class of point processes called the Hawkes process. We begin by pointing out that most of the existing sparse causal learning algorithms for the Hawkes process suffer from a singularity in maximum likelihood estimation. As a result, their sparse solutions can appear only as numerical artifacts. In this paper, we propose a mathematically well-defined sparse causal learning framework based on a cardinality-regularized Hawkes process, which remedies the pathological issues of existing approaches. We leverage the proposed algorithm for the task of instance-wise causal event analysis, where sparsity plays a critical role. We validate the proposed framework with two real use-cases, one from the power grid and the other from the cloud data center management domain.