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Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso

We consider the sparse inverse covariance regularization problem or graphical lasso with regularization parameter λ. Suppose the sample covariance graph formed by thresholding the entries of the sample covariance matrix at λ is decomposed into connected components. We show that the vertex-partition...

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Bibliografiske detaljer
Udgivet i:J Mach Learn Res
Main Authors: Mazumder, Rahul, Hastie, Trevor
Format: Artigo
Sprog:Inglês
Udgivet: 2012
Fag:
Online adgang:https://ncbi.nlm.nih.gov/pmc/articles/PMC4225650/
https://ncbi.nlm.nih.gov/pubmed/25392704
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