Scalable network reconstruction in subquadratic time

Network reconstruction consists in determining the unobserved pairwise couplings between $N$ nodes given only observational data on the resulting behavior that is conditioned on those couplings -- typically a time-series or independent samples from a graphical model. A major obstacle to the scalability of algorithms proposed for this problem is a seemingly unavoidable quadratic complexity of $O(N^2)$, corresponding to the requirement of each possible pairwise coupling being contemplated at least once, despite the fact that most networks of interest are sparse, with a number of non-zero couplings that is only $O(N)$. Here we present a general algorithm applicable to a broad range of reconstruction problems that achieves its result in subquadratic time, with a data-dependent complexity loosely upper bounded by $O(N^{3/2}\log N)$, but with a more typical log-linear complexity of $O(N\log^2N)$. Our algorithm relies on a stochastic second neighbor search that produces the best edge candidates with high probability, thus bypassing an exhaustive quadratic search. In practice, our algorithm achieves a performance that is many orders of magnitude faster than the quadratic baseline, allows for easy parallelization, and thus enables the reconstruction of networks with hundreds of thousands and even millions of nodes and edges.