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stat.ME2009
Convex Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression
Zhaosong Lu, Renato D. C. Monteiro, Ming Yuan
In this paper, we study convex optimization methods for computing the trace norm regularized least squares estimate in multivariate linear regression. The so-called factor estimati…
stat.ME2009
Adaptive First-Order Methods for General Sparse Inverse Covariance Selection
Zhaosong Lu
In this paper, we consider estimating sparse inverse covariance of a Gaussian graphical model whose conditional independence is assumed to be partially known. Similarly as in [5],…
stat.ME2009
Smooth Optimization Approach for Sparse Covariance Selection
Zhaosong Lu
In this paper we first study a smooth optimization approach for solving a class of nonsmooth strictly concave maximization problems whose objective functions admit smooth convex mi…