Scalable sparse covariance estimation via self-concordance

Anastasios Kyrillidis, Rabeeh Karimi Mahabadi, Quoc Tran-Dinh +1

We consider the class of convex minimization problems, composed of a self-concordant function, such as the $\log \det$ metric, a convex data fidelity term $h(\cdot )$ and, a regulari…