# Random data generation from Gaussian DAG models

library(BCDAG)

This is the first of a series of three vignettes introducing the R package BCDAG. In this vignette we focus on functions rDAG() and rDAGWishart() which implement random generation of DAG structures and DAG parameters under the assumption that the joint distribution of variables $$X_1,\dots, X_q$$ is Gaussian and the corresponding model (Choleski) parameters follow a DAG-Wishart distribution. Finally, data generation from Gaussian DAG models is described.

## Generating DAGs and parameters: functions rDAG() and rDAGWishart()

Function rDAG() can be used to randomly generate a DAG structure $$\mathcal{D}=(V,E)$$, where $$V=\{1,\dots,q\}$$ and $$E\subseteq V \times V$$ is the set of edges. rDAG() has two arguments: the number of nodes (variables) $$q$$ and the prior probability of edge inclusion $$w\in[0,1]$$; the latter can be tuned to control the degree of sparsity in the resulting DAG. By fixing a probability of edge inclusion $$w=0.2$$, a DAG structure with $$q=10$$ nodes can be generated as follows:

set.seed(1)
q <- 10
w <- 0.2
DAG <- rDAG(q,w)
DAG
#>    1 2 3 4 5 6 7 8 9 10
#> 1  0 0 0 0 0 0 0 0 0  0
#> 2  0 0 0 0 0 0 0 0 0  0
#> 3  0 0 0 0 0 0 0 0 0  0
#> 4  0 0 1 0 0 0 0 0 0  0
#> 5  1 0 0 0 0 0 0 0 0  0
#> 6  0 0 0 0 0 0 0 0 0  0
#> 7  1 0 1 0 0 0 0 0 0  0
#> 8  1 0 0 0 0 0 0 0 0  0
#> 9  0 0 0 1 0 0 1 0 0  0
#> 10 0 0 0 0 1 0 0 0 0  0

Output of rDAG() is the 0-1 $$(q,q)$$ adjacency matrix of the generated DAG, with element $$1$$ at position $$(u,v)$$ indicating the presence of an edge $$u\rightarrow v$$. Notice that the generated DAG is topologically ordered, meaning that edges are allowed only from high to low nodes (nodes are labeled according to rows/columns indexes); accordingly the DAG adjacency matrix is lower-triangular.

## Generating Gaussian DAG parameters

Consider a Gaussian DAG model of the form $\begin{eqnarray} X_1, \dots, X_q \,|\,\boldsymbol L, \boldsymbol D, \mathcal{D} &\sim& \mathcal{N}_q\left(\boldsymbol 0, (\boldsymbol{L}\boldsymbol{D}^{-1}\boldsymbol{L}^\top)^{-1}\right), \end{eqnarray}$ where $$(\boldsymbol L, \boldsymbol D)$$ are model parameters providing the decomposition of the precision (inverse-covariance) matrix $$\boldsymbol{\Omega} = \boldsymbol{L}\boldsymbol{D}^{-1}\boldsymbol{L}^\top$$; specifically, $$\boldsymbol{L}$$ is a $$(q, q)$$ matrix of coefficients such that for each $$(u, v)$$-element $$\boldsymbol{L}_{uv}$$ with $$u \ne v$$, we have $$\boldsymbol{L}_{uv} \ne 0$$ if and only if $$(u, v) \in E$$, while $$\boldsymbol{L}_{uu} = 1$$ for each $$u = 1,\dots, q$$; also, $$\boldsymbol{D}$$ is a $$(q, q)$$ diagonal matrix with $$(u, u)$$-element $$\boldsymbol{D}_{uu}$$. The latter decomposition follows from the equivalent Structural Equation Model (SEM) representation of a Gaussian DAG model:

$$$\boldsymbol{L}^\top\boldsymbol{x} = \boldsymbol \epsilon, \quad \boldsymbol \epsilon \sim \mathcal{N}_q(\boldsymbol 0, \boldsymbol D),$$$

where $$\boldsymbol x = (X_1,\dots, X_q)^\top$$; see also Castelletti & Mascaro (2021).

Function rDAGWishart implements random sampling from $$(\boldsymbol L, \boldsymbol D)\,|\,\mathcal{D} \sim \text{DAG-Wishart}(\boldsymbol{a}_{c}^{\mathcal{D}}, \boldsymbol U)$$, where $$\boldsymbol{U}$$ is the rate parameter (a $$(q,q)$$ s.p.d. matrix) and $$\boldsymbol{a}^{\mathcal {D}}_{c}$$ (a $$(q,1)$$ vector) is the shape parameter of the DAG-Wishart distribution. This class of distributions was introduced by Ben David et al. (2015) as a conjugate prior for Gaussian DAG model-parameters. In its compatible version (Peluso & Consonni, 2020), elements of the vector parameter $$\boldsymbol{a}^{\mathcal {D}}_{c}$$ are uniquely determined from a single common shape parameter $$a>q-1$$.

Inputs of rDAGWishart are: the number of samples $$n$$, the underlying DAG $$\mathcal{D}$$, the common shape parameter $$a$$ and the rate parameter $$\boldsymbol U$$. Given the DAG $$\mathcal{D}$$ generated before, the following example implements a single ($$n=1$$) draw from a compatible DAG-Wishart distribution with parameters $$a=q$$, $$\boldsymbol U = \boldsymbol I_q$$:

a <- q
U <- diag(1,q)
outDL <- rDAGWishart(n=1, DAG, a, U)
class(outDL)
#> [1] "list"
L <- outDL$L; D <- outDL$D
class(L); class(D)
#> [1] "matrix" "array"
#> [1] "matrix" "array"

The output of rDAGWishart() consists of two elements: a $$(q,q,n)$$-dimensional array collecting the $$n$$ sampled matrices $$\boldsymbol L^{(1)}, \dots, \boldsymbol L^{(n)}$$ and a $$(q,q,n)$$-dimensional array collecting the $$n$$ sampled matrices $$\boldsymbol D^{(1)}, \dots,\boldsymbol D^{(n)}$$. We refer the reader to Castelletti & Mascaro (2021) and Castelletti & Mascaro (2022+) for more details.

## Generating data from a Gaussian DAG model

Data generation from a Gaussian DAG model is then straightforward. Recall that $$\boldsymbol{\Omega} = \boldsymbol{L}\boldsymbol{D}^{-1}\boldsymbol{L}^\top$$, where $$\boldsymbol{\Omega}$$ is the inverse-covariance (precision) matrix of a multivariate Gaussian model satisfying the constraints imposed by a DAG. Accordingly, we can recover the precision and covariance matrices as:

# Precision matrix
Omega <- L %*% solve(D) %*% t(L)
# Covariance matrix
Sigma <- solve(Omega)

Next, i.i.d. draws from a Gaussian DAG model can be obtained through the function rmvnorm() provided within the R package mvtnorm:

n <- 1000
X <- mvtnorm::rmvnorm(n = n, sigma = Sigma)

## References

• Ben-David E, Li T, Massam H, Rajaratnam B (2015). “High dimensional Bayesian inference for Gaussian directed acyclic graph models.” arXiv pre-print.

• Cao X, Khare K, Ghosh M (2019). “Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models.” The Annals of Statistics, 47(1), 319–348.

• Castelletti F, Mascaro A (2021). “Structural learning and estimation of joint causal effects among network-dependent variables.” Statistical Methods & Applications, 30, 1289–1314.

• Castelletti F, Mascaro A (2022). “BCDAG: An R package for Bayesian structural and Causal learning of Gaussian DAGs.” arXiv pre-print.

• Peluso S, Consonni G (2020). “Compatible priors for model selection of high-dimensional Gaussian DAGs.” Electronic Journal of Statistics, 14(2), 4110–4132.