First-Order Methods for Sparse Covariance Selection
From MaRDI portal
Publication:3609013
DOI10.1137/060670985zbMath1156.90423arXivmath/0609812OpenAlexW2044600950MaRDI QIDQ3609013
No author found.
Publication date: 6 March 2009
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0609812
Measures of association (correlation, canonical correlation, etc.) (62H20) Semidefinite programming (90C22) Combinatorial optimization (90C27)
Related Items
Fast algorithms for sparse inverse covariance estimation, Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation, A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions, On how to solve large-scale log-determinant optimization problems, High-dimensional analysis of semidefinite relaxations for sparse principal components, Adjusted regularization of cortical covariance, Covariance structure approximation via gLasso in high-dimensional supervised classification, Identifying small mean-reverting portfolios, Joint estimation of precision matrices in heterogeneous populations, Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA, Logarithmic barriers for sparse matrix cones, An accelerated first-order method for solving SOS relaxations of unconstrained polynomial optimization problems, Estimating Multiple Precision Matrices With Cluster Fusion Regularization, A sparse ising model with covariates, Unnamed Item, Unnamed Item, A Greedy Algorithm for Sparse Precision Matrix Approximation, Precision matrix estimation under data contamination with an application to minimum variance portfolio selection, On the information-adaptive variants of the ADMM: an iteration complexity perspective, A randomized algorithm for approximating the log determinant of a symmetric positive definite matrix, Approximation accuracy, gradient methods, and error bound for structured convex optimization, D-trace estimation of a precision matrix using adaptive lasso penalties, Bayesian analysis of nonparanormal graphical models using rank-likelihood, Accelerated randomized mirror descent algorithms for composite non-strongly convex optimization, Structure learning of exponential family graphical model with false discovery rate control, An inexact interior point method for \(L_{1}\)-regularized sparse covariance selection, Randomized Block Proximal Damped Newton Method for Composite Self-Concordant Minimization, Structural properties of affine sparsity constraints, Adaptive proximal SGD based on new estimating sequences for sparser ERM, Barrier subgradient method, An optimal method for stochastic composite optimization, Group symmetry and covariance regularization, Sparse permutation invariant covariance estimation, High dimensional sparse covariance estimation via directed acyclic graphs, High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence, Large-scale Sparse Inverse Covariance Matrix Estimation, A block coordinate gradient descent method for regularized convex separable optimization and covariance selection, Structure estimation for discrete graphical models: generalized covariance matrices and their inverses, Alternating Direction Methods for Latent Variable Gaussian Graphical Model Selection, Minimax estimation of large precision matrices with bandable Cholesky factor, Estimation of high-dimensional partially-observed discrete Markov random fields, Bayesian inference in nonparanormal graphical models, A multiple testing approach to the regularisation of large sample correlation matrices, Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices, FANOK: Knockoffs in Linear Time, A dual spectral projected gradient method for log-determinant semidefinite problems, ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models, Regularized Parameter Estimation in High-Dimensional Gaussian Mixture Models, Probabilistic Graphical Models and Markov Networks, Regularized estimation of large covariance matrices, The matrix pencil nearness problem in structural dynamic model updating, Fast and adaptive sparse precision matrix estimation in high dimensions, Network exploration via the adaptive LASSO and SCAD penalties, Unnamed Item, Alternating direction method for covariance selection models, Estimating sufficient reductions of the predictors in abundant high-dimensional regressions, Confidence intervals for high-dimensional inverse covariance estimation, Estimation of covariance matrix via the sparse Cholesky factor with lasso, Covariance regularization by thresholding, Operator norm consistent estimation of large-dimensional sparse covariance matrices, Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation, Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization, Phase recovery, MaxCut and complex semidefinite programming, Monitoring the covariance matrix with fewer observations than variables, Edge selection for undirected graphs, Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data, Asymptotic normality and optimalities in estimation of large Gaussian graphical models, Gaussian graphical model estimation with false discovery rate control, Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\), Compressed covariance estimation with automated dimension learning, Graphical model selection for a particular class of continuous-time processes, Double shrinkage estimators for large sparse covariance matrices, Sparse inverse covariance matrix estimation via the $ \newcommand{\e}{{\rm e}} \ell_{0}$ -norm with Tikhonov regularization, Sparse estimation of high-dimensional inverse covariance matrices with explicit eigenvalue constraints, A Multilevel Framework for Sparse Optimization with Application to Inverse Covariance Estimation and Logistic Regression, Simplicial and minimal-variance distances in multivariate data analysis, On the Solution of ℓ0-Constrained Sparse Inverse Covariance Estimation Problems, Subsampling Algorithms for Semidefinite Programming, Sparsistency and rates of convergence in large covariance matrix estimation, Smooth monotone covariance for elliptical distributions and applications in finance, Unnamed Item, Selecting the tuning parameter in penalized Gaussian graphical models, Fused Multiple Graphical Lasso, Tests for mean vectors in high dimension, Linear discriminant analysis with a generalization of the Moore–Penrose pseudoinverse, Do semidefinite relaxations solve sparse PCA up to the information limit?
