A Proximal Point Algorithm for Log-Determinant Optimization with Group Lasso Regularization

DOI10.1137/120864192zbMath1285.65037OpenAlexW2020740117MaRDI QIDQ2848177

Kim-Chuan Toh, Junfeng Yang, Defeng Sun

Publication date: 25 September 2013

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

Full work available at URL: https://semanticscholar.org/paper/5853edfb7d18b82125f0f1a986eb65b26d87a4af

zbMATH Keywords

convergenceNewton's methodalternating direction methodaugmented Lagrangiannumerical resultproximal point algorithmGaussian graphical modelcovariance selectionlog-determinant optimizationgroup Lasso regularization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Methods of quasi-Newton type (90C53)

Related Items (15)

On how to solve large-scale log-determinant optimization problems ⋮ Enhancing Pure-Pixel Identification Performance via Preconditioning ⋮ A Proximal Point Dual Newton Algorithm for Solving Group Graphical Lasso Problems ⋮ On the linear convergence of the approximate proximal splitting method for non-smooth convex optimization ⋮ A proximal alternating direction method of multipliers for a minimization problem with nonconvex constraints ⋮ A dual spectral projected gradient method for log-determinant semidefinite problems ⋮ An interior point sequential quadratic programming-type method for log-determinant semi-infinite programs ⋮ On the convergence analysis of the alternating direction method of multipliers with three blocks ⋮ An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation ⋮ Practical matrix completion and corruption recovery using proximal alternating robust subspace minimization ⋮ Proximal Gradient Method for Nonsmooth Optimization over the Stiefel Manifold ⋮ An ADMM-based location-allocation algorithm for nonconvex constrained multi-source Weber problem under gauge ⋮ Sparse estimation of high-dimensional inverse covariance matrices with explicit eigenvalue constraints ⋮ A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems ⋮ An Efficient Linearly Convergent Regularized Proximal Point Algorithm for Fused Multiple Graphical Lasso Problems

Uses Software

• RecPF
• LMaFit

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