An Efficient Linearly Convergent Regularized Proximal Point Algorithm for Fused Multiple Graphical Lasso Problems

DOI10.1137/20M1344160zbMath1470.90069arXiv1902.06952MaRDI QIDQ4999369

Defeng Sun, Kim-Chuan Toh, Ning Zhang, Yangjing Zhang

Publication date: 6 July 2021

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06952

zbMATH Keywords

semismooth Newton method; network estimation; sparse Jacobian; fast linear convergence

Mathematics Subject Classification ID

90C22: Semidefinite programming

90C25: Convex programming

90C31: Sensitivity, stability, parametric optimization

62J10: Analysis of variance and covariance (ANOVA)

Uses Software

• glasso
• loggle