most citedImplicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

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cs.LG2023★ 1 cited

Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

Can Pouliquen, Paulo Gonçalves, Mathurin Massias +1

We provide a framework and algorithm for tuning the hyperparameters of the Graphical Lasso via a bilevel optimization problem solved with a first-order method. In particular, we de…