Certifiably optimal sparse inverse covariance estimation
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Publication:2205987
DOI10.1007/s10107-019-01419-7zbMath1491.90103arXiv1906.10283OpenAlexW3102796955WikidataQ120689967 ScholiaQ120689967MaRDI QIDQ2205987
Jean Pauphilet, Jourdain B. Lamperski, Dimitris J. Bertsimas
Publication date: 21 October 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.10283
maximum likelihood estimationsemidefinite optimizationmixed-integer optimizationGlassosparse inverse covariance estimation
Estimation in multivariate analysis (62H12) Semidefinite programming (90C22) Mixed integer programming (90C11)
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