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
convergenceNewton's methodalternating direction methodaugmented Lagrangiannumerical resultproximal point algorithmGaussian graphical modelcovariance selectionlog-determinant optimizationgroup Lasso regularization
Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Methods of quasi-Newton type (90C53)
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