Alternating direction method for covariance selection models (Q2276406): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Changed an Item
Property / describes a project that uses
 
Property / describes a project that uses: SeDuMi / rank
 
Normal rank

Revision as of 11:30, 28 February 2024

scientific article
Language Label Description Also known as
English
Alternating direction method for covariance selection models
scientific article

    Statements

    Alternating direction method for covariance selection models (English)
    0 references
    5 November 2012
    0 references
    The covariance selection problem is used in different fields such as speech recognition, gene networks analysis, machine learning and so on. To perform the covariance selection problem, \textit{A. d'Aspremont}, \textit{O. Banerjee} and \textit{L. El Ghaoui} [SIAM J. Matrix Anal. App. 3, No 1, 56--66 (2008; Zbl 1156.90423)] proposed to maximize the log-likelihood model penalized by the \(l _{1}\)-norm. This paper shows that the well-known alternating direction method (ADM) can be applied to solve the mentioned problem. Some preliminary numerical results show that ADM is an efficient algorithm for large-scale cases of the \(l _{1}\)-norm penalized log-likelihood model which is not well researched in the literature yet.
    0 references
    covariance selection
    0 references
    log-likelihood
    0 references
    alternating direction method
    0 references
    numerical results
    0 references
    algorithm
    0 references
    0 references

    Identifiers