Meta graphical lasso: uncovering hidden interactions among latent mechanisms

In complex systems, it's crucial to uncover latent mechanisms and their context-dependent relationships. This is especially true in medical research, where identifying unknown cancer mechanisms and their impact on phenomena like drug resistance is vital. Directly observing these mechanisms is challenging due to measurement complexities, leading to an approach that infers latent mechanisms from observed variable distributions. Despite machine learning advancements enabling sophisticated generative models, their black-box nature complicates the interpretation of complex latent mechanisms. A promising method for understanding these mechanisms involves estimating latent factors through linear projection, though there's no assurance that inferences made under specific conditions will remain valid across contexts. We propose a novel solution, suggesting data, even from systems appearing complex, can often be explained by sparse dependencies among a few common latent factors, regardless of the situation. This simplification allows for modeling that yields significant insights across diverse fields. We demonstrate this with datasets from finance, where we capture societal trends from stock price movements, and medicine, where we uncover new insights into cancer drug resistance through gene expression analysis.