Alternating direction method for covariance selection models
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Publication:2276406
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.
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