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arXiv · 2307.02130

Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

Can Pouliquen·Paulo Gonçalves·Mathurin Massias·Titouan Vayer
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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.

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Can Pouliquen, Paulo Gonçalves, Mathurin Massias, Titouan Vayer. 2023-07-05. Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso. https://arxiv.org/abs/2307.02130

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