Variable Clustering via Distributionally Robust Nodewise Regression

Abstract

We study a multi-factor block model for variable clustering and connect it to regularized subspace clustering through a distributionally robust version of nodewise regression. To solve the latter problem, we derive a convex relaxation, provide a data-driven approach for selecting the size of the robust region, and develop an ADMM algorithm for efficient implementation. We validate our method in extensive numerical studies and demonstrate its superior performance.