A Proximal Point Dual Newton Algorithm for Solving Group Graphical Lasso Problems
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Publication:5116554
DOI10.1137/19M1267830zbMATH Open1448.90096arXiv1906.04647OpenAlexW3048513222MaRDI QIDQ5116554FDOQ5116554
Kim-Chuan Toh, Yangjing Zhang, Defeng Sun, Ning Zhang
Publication date: 18 August 2020
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Abstract: Undirected graphical models have been especially popular for learning the conditional independence structure among a large number of variables where the observations are drawn independently and identically from the same distribution. However, many modern statistical problems would involve categorical data or time-varying data, which might follow different but related underlying distributions. In order to learn a collection of related graphical models simultaneously, various joint graphical models inducing sparsity in graphs and similarity across graphs have been proposed. In this paper, we aim to propose an implementable proximal point dual Newton algorithm (PPDNA) for solving the group graphical Lasso model, which encourages a shared pattern of sparsity across graphs. Though the group graphical Lasso regularizer is non-polyhedral, the asymptotic superlinear convergence of our proposed method PPDNA can be obtained by leveraging on the local Lipschitz continuity of the Karush-Kuhn-Tucker solution mapping associated with the group graphical Lasso model. A variety of numerical experiments on real data sets illustrates that the PPDNA for solving the group graphical Lasso model can be highly efficient and robust.
Full work available at URL: https://arxiv.org/abs/1906.04647
Analysis of variance and covariance (ANOVA) (62J10) Programming involving graphs or networks (90C35)
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Cited In (6)
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- An Efficient Linearly Convergent Regularized Proximal Point Algorithm for Fused Multiple Graphical Lasso Problems
- Sparse precision matrix estimation with missing observations
- Efficient Sparse Hessian-Based Semismooth Newton Algorithms for Dantzig Selector
- A dual semismooth Newton based augmented Lagrangian method for large-scale linearly constrained sparse group square-root Lasso problems
- Variational low-light image enhancement based on fractional-order differential
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