Sensor Selection in High-Dimensional Gaussian Trees with Nuisances

We consider the sensor selection problem on multivariate Gaussian distributions where only a \emph{subset} of latent variables is of inferential interest. For pairs of vertices connected by a unique path in the graph, we show that there exist decompositions of nonlocal mutual information into local information measures that can be computed efficiently from the output of message passing algorithms... (read more)

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