pISTA: preconditioned Iterative Soft Thresholding Algorithm for Graphical Lasso

We propose a novel quasi-Newton method for solving the sparse inverse covariance estimation problem also known as the graphical least absolute shrinkage and selection operator (GLASSO). This problem is often solved using a second-order quadratic approximation. However, in such algorithms the Hessian...

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Hauptverfasser:	Shalom, Gal, Treister, Eran, Yavneh, Irad
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Mathematical Software Computer Science - Numerical Analysis Mathematics - Numerical Analysis
Online-Zugang:	Volltext bestellen
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