An inexact interior point method for \(L_{1}\)-regularized sparse covariance selection

DOI10.1007/s12532-010-0020-6zbMath1208.90131MaRDI QIDQ621755

Kim-Chuan Toh, Lu Li

Publication date: 28 January 2011

Published in: Mathematical Programming Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12532-010-0020-6

zbMATH Keywords

iterative solver; inexact search direction; log-determinant semidefinite programming

Mathematics Subject Classification ID

90C22: Semidefinite programming

90C25: Convex programming

90C06: Large-scale problems in mathematical programming

90C51: Interior-point methods

65F10: Iterative numerical methods for linear systems

Uses Software

• CSDP
• Matlab
• SeDuMi
• SDPT3
• QSDP
• glasso
• BMSS
• MIM