Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso
arXiv:2307.02130
Abstract
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 derive the Jacobian of the Graphical Lasso solution with respect to its regularization hyperparameters.