A fast ADMM algorithm for sparse precision matrix estimation using lasso penalized D-trace loss

A fast ADMM algorithm for sparse precision matrix estimation using lasso penalized D-trace loss

Sparse precision matrix estimation, also known as the estimation of the inverse covariance matrix in statistical contexts, represents a critical challenge in numerous multivariate analysis applications. This challenge becomes notably complex when the dimension of the data is far greater than the cap...

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Bibliographic Details
Main Authors: Mingmin Zhu, Jiewei Jiang, Weifeng Gao
Format: Article
Language:English
Published: Elsevier 2024-03-01
Series:Egyptian Informatics Journal
Subjects:
Precision matrix
Penalized quadratic loss
Convex relaxation
Gaussian graphical model
ADMM
Online Access:http://www.sciencedirect.com/science/article/pii/S1110866523000816

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