ADMM Algorithm for Graphical Lasso with an $\ell_{\infty}$ Element-wise Norm Constraint
Machine Learning
2013-12-02 v1 Optimization and Control
Machine Learning
Abstract
We consider the problem of Graphical lasso with an additional element-wise norm constraint on the precision matrix. This problem has applications in high-dimensional covariance decomposition such as in \citep{Janzamin-12}. We propose an ADMM algorithm to solve this problem. We also use a continuation strategy on the penalty parameter to have a fast implemenation of the algorithm.
Keywords
Cite
@article{arxiv.1311.7198,
title = {ADMM Algorithm for Graphical Lasso with an $\ell_{\infty}$ Element-wise Norm Constraint},
author = {Karthik Mohan},
journal= {arXiv preprint arXiv:1311.7198},
year = {2013}
}