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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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Publié dans:J Mach Learn Res
Auteurs principaux: Mazumder, Rahul, Hastie, Trevor
Format: Artigo
Langue:Inglês
Publié: 2012
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Accès en ligne:https://ncbi.nlm.nih.gov/pmc/articles/PMC4225650/
https://ncbi.nlm.nih.gov/pubmed/25392704
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