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arXiv · 2403.18284

A new dual spectral projected gradient method for log-determinant semidefinite programming with hidden clustering structures

Charles Namchaisiri·Tianxiang Liu·Makoto Yamashita
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Abstract

In this paper, we propose a new efficient method for a sparse Gaussian graphical model with hidden clustering structures by extending a dual spectral projected gradient (DSPG) method proposed by Nakagaki et al.~(2020). We establish the global convergence of the proposed method to an optimal solution, and we show that the projection onto the feasible region can be solved with a low computational complexity by the use of the pool-adjacent-violators algorithm. Numerical experiments on synthesis data and real data demonstrate the efficiency of the proposed method. The proposed method takes 0.91 seconds to achieve a similar solution to the direct application of the DSPG method which takes 4361 seconds.

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Charles Namchaisiri, Tianxiang Liu, Makoto Yamashita. 2024-03-27. A new dual spectral projected gradient method for log-determinant semidefinite programming with hidden clustering structures. https://arxiv.org/abs/2403.18284

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