Sparse estimation of high-dimensional inverse covariance matrices with explicit eigenvalue constraints

DOI10.1007/s40305-021-00351-yzbMath1488.65145OpenAlexW3192454990MaRDI QIDQ2059164

Peili Li, Sha Lu, Yun-hai Xiao

Publication date: 13 December 2021

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-021-00351-y

zbMATH Keywords

maximum likelihood estimationaugmented Lagrangian functionnon-smooth convex minimizationinverse covariance matrixsymmetric Gauss-Seidel iteration

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46)

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