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Sparse inverse covariance estimation with the graphical lasso
We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm—the graphical lasso—that is remarkably fast: It solves a 1000-node problem (∼500000 parameters) in at mos...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Oxford University Press
2008
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3019769/ https://ncbi.nlm.nih.gov/pubmed/18079126 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biostatistics/kxm045 |
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