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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Hlavní autoři:	Mingmin Zhu, Jiewei Jiang, Weifeng Gao
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Elsevier 2024-03-01
Edice:	Egyptian Informatics Journal
Témata:	Precision matrix Penalized quadratic loss Convex relaxation Gaussian graphical model ADMM
On-line přístup:	http://www.sciencedirect.com/science/article/pii/S1110866523000816
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