On the Solution of ℓ0-Constrained Sparse Inverse Covariance Estimation Problems

DOI10.1287/ijoc.2020.0991OpenAlexW3092006147MaRDI QIDQ4995086

Dzung T. Phan, Matt Menickelly

Publication date: 23 June 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.0991

zbMATH Keywords

sparsitygradient projectionapproximate Newtoninverse covariance\( \ell_0\)-constrained

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Uses Software

• glasso
• QUIC

Cites Work

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• Sparse inverse covariance estimation with the graphical lasso
• The Adaptive Lasso and Its Oracle Properties
• Best subset selection via a modern optimization lens
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• Sparse permutation invariant covariance estimation
• An efficient optimization approach for a cardinality-constrained index tracking problem
• A Multilevel Framework for Sparse Optimization with Application to Inverse Covariance Estimation and Logistic Regression
• Solving Log-Determinant Optimization Problems by a Newton-CG Primal Proximal Point Algorithm
• First-Order Methods for Sparse Covariance Selection
• Two-Point Step Size Gradient Methods
• Nonmonotone Spectral Projected Gradient Methods on Convex Sets
• Sparse Reconstruction by Separable Approximation
• <formula formulatype="inline"><tex Notation="TeX">$l_{0}$</tex></formula> Sparse Inverse Covariance Estimation
• A Nonmonotone Line Search Technique for Newton’s Method
• Sparse Approximation via Penalty Decomposition Methods

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