The graphical lasso: new insights and alternatives
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Abstract: The graphical lasso citep{FHT2007a} is an algorithm for learning the structure in an undirected Gaussian graphical model, using regularization to control the number of zeros in the precision matrix citep{BGA2008,yuan_lin_07}. The { exttt R} package GL citep{FHT2007a} is popular, fast, and allows one to efficiently build a path of models for different values of the tuning parameter. Convergence of GL can be tricky; the converged precision matrix might not be the inverse of the estimated covariance, and occasionally it fails to converge with warm starts. In this paper we explain this behavior, and propose new algorithms that appear to outperform GL. By studying the "normal equations" we see that, GL is solving the {em dual} of the graphical lasso penalized likelihood, by block coordinate ascent; a result which can also be found in cite{BGA2008}. In this dual, the target of estimation is , the covariance matrix, rather than the precision matrix . We propose similar primal algorithms PGL and DPGL, that also operate by block-coordinate descent, where is the optimization target. We study all of these algorithms, and in particular different approaches to solving their coordinate sub-problems. We conclude that DPGL is superior from several points of view.
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