A DC programming approach for sparse estimation of a covariance matrix

DOI10.1007/978-3-319-18161-5_12MaRDI QIDQ5356977zbMATH OpenOpenAlexFDO

Authors Le Thi Hoai An, Pham Dinh Tao, Duy Nhat Phan

Publication date 12 September 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18161-5_12

zbMATH Keywords

DC programmingDCAsparse covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonconvex programming, global optimization (90C26)

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Cites work

• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
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• A new approach to Cholesky-based covariance regularization in high dimensions
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• Covariance matrix selection and estimation via penalised normal likelihood
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• Dictionary learning for fast classification based on soft-thresholding
• Distributed optimization and statistical learning via the alternating direction method of multipliers
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• Feature selection in machine learning: an exact penalty approach using a difference of convex function algorithm
• Generalized thresholding of large covariance matrices
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• Multicategory ψ-Learning
• Optimal rates of convergence for covariance matrix estimation
• Optimization based DC programming and DCA for hierarchical clustering
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• Self-organizing maps by difference of convex functions optimization
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• Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
• Sparse estimation of a covariance matrix
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• Sparsistency and rates of convergence in large covariance matrix estimation
• The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
• Wishart distributions for decomposable covariance graph models

Cited in

(4)

• Alternating DCA for reduced-rank multitask linear regression with covariance matrix estimation
• Smooth Optimization Approach for Sparse Covariance Selection
• Sparse covariance matrix estimation by DCA-based algorithms
• A proximal distance algorithm for likelihood-based sparse covariance estimation

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