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arXiv · 1311.7198

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

Karthik Mohan
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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.

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Karthik Mohan. 2013-11-28. ADMM Algorithm for Graphical Lasso with an $\ell_{\infty}$ Element-wise Norm Constraint. https://arxiv.org/abs/1311.7198

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