Coordinate descent algorithm for covariance graphical Lasso

DOI10.1007/S11222-013-9385-5zbMath1325.62136OpenAlexW2010467272MaRDI QIDQ892800

Hao Wang

Publication date: 12 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-013-9385-5

zbMATH Keywords

regularizationshrinkagesparsitycoordinate descentMM algorithmcovariance matrix estimation\(L_1\) penaltycovariance graphical Lassomarginal independence

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09)

Related Items (9)

Scaling it up: stochastic search structure learning in graphical models ⋮ Estimation of multivariate dependence structures via constrained maximum likelihood ⋮ A random covariance model for bi‐level graphical modeling with application to resting‐state fMRI data ⋮ Covariance structure estimation with Laplace approximation ⋮ Group-wise shrinkage estimation in penalized model-based clustering ⋮ Unbalanced distributed estimation and inference for the precision matrix in Gaussian graphical models ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual ⋮ A Large-Scale Constrained Joint Modeling Approach for Predicting User Activity, Engagement, and Churn With Application to Freemium Mobile Games ⋮ Inequalities on partial correlations in Gaussian graphical models containing star shapes

Uses Software

• glasso
• spcov

Cites Work

• Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
• Sparse estimation of a covariance matrix
• Sparse inverse covariance estimation with the graphical lasso
• Pathwise coordinate optimization
• Coordinate descent algorithms for lasso penalized regression
• Convergence of a block coordinate descent method for nondifferentiable minimization

This page was built for publication: Coordinate descent algorithm for covariance graphical Lasso