ADMM Algorithm for Graphical Lasso with an ${\ell }_{\infty }$ Element-wise Norm Constraint

Abstract

We consider the problem of Graphical lasso with an additional ${\ell }_{\infty }$ 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.

References in corpus (1)

• High-Dimensional Covariance Decomposition into Sparse Markov and Independence Domains

Cited by in corpus (2)

• High-Dimensional Covariance Decomposition into Sparse Markov and Independence Domains
• High-Dimensional Covariance Decomposition into Sparse Markov and Independence Models