Large-scale Sparse Inverse Covariance Matrix Estimation

DOI10.1137/17M1147615zbMath1414.65043OpenAlexW2913504135MaRDI QIDQ4613512

Matthias Bollhöfer, Simon Scheidegger, Aryan Eftekhari, Olaf Schenk

Publication date: 1 February 2019

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1147615

zbMATH Keywords

covariance matrixsparse matricesinverse covariance matrix estimationapproximate inverse matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Computational methods for sparse matrices (65F50) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Numerical mathematical programming methods (65K05) Iterative numerical methods for linear systems (65F10) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)

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Uses Software

• PARDISO
• MUMPS
• CHOLMOD
• alr3
• glasso
• QUIC
• SelInv
• CSparse

Cites Work

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