Solving Log-Determinant Optimization Problems by a Newton-CG Primal Proximal Point Algorithm

DOI10.1137/090772514zbMath1211.90130OpenAlexW1986941254MaRDI QIDQ3083318

Kim-Chuan Toh, Defeng Sun, Cheng-Jing Wang

Publication date: 21 March 2011

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1a1e935ddc19d909e25f2202db472381481d7ec5

zbMATH Keywords

Newton's methodproximal point algorithmlog-determinant optimization problemsparse inverse covariance selection

Mathematics Subject Classification ID

Semidefinite programming (90C22) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Iterative numerical methods for linear systems (65F10)

Related Items (28)

On how to solve large-scale log-determinant optimization problems ⋮ Model selection for factorial Gaussian graphical models with an application to dynamic regulatory networks ⋮ An inexact accelerated proximal gradient method and a dual Newton-CG method for the maximal entropy problem ⋮ Alternating proximal gradient method for convex minimization ⋮ An inexact interior point method for \(L_{1}\)-regularized sparse covariance selection ⋮ A primal majorized semismooth Newton-CG augmented Lagrangian method for large-scale linearly constrained convex programming ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Rejoinder: Latent variable graphical model selection via convex optimization ⋮ Sparse precision matrix estimation with missing observations ⋮ A Proximal Point Dual Newton Algorithm for Solving Group Graphical Lasso Problems ⋮ A block coordinate gradient descent method for regularized convex separable optimization and covariance selection ⋮ Alternating Direction Methods for Latent Variable Gaussian Graphical Model Selection ⋮ A dual spectral projected gradient method for log-determinant semidefinite problems ⋮ Alternating direction method for covariance selection models ⋮ A semismooth Newton-CG based dual PPA for matrix spectral norm approximation problems ⋮ Latent variable graphical model selection via convex optimization ⋮ An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation ⋮ Proximal Gradient Method for Nonsmooth Optimization over the Stiefel Manifold ⋮ Graphical Model Selection for Gaussian Conditional Random Fields in the Presence of Latent Variables ⋮ Reconstruction of sparse-view tomography via preconditioned Radon sensing matrix ⋮ On the Solution of ℓ₀-Constrained Sparse Inverse Covariance Estimation Problems ⋮ An Efficient Linearly Convergent Regularized Proximal Point Algorithm for Fused Multiple Graphical Lasso Problems ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Fused Multiple Graphical Lasso

Uses Software

• SDPT3

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