An Efficient Linearly Convergent Regularized Proximal Point Algorithm for Fused Multiple Graphical Lasso Problems

DOI10.1137/20M1344160zbMath1470.90069arXiv1902.06952OpenAlexW2916763540MaRDI QIDQ4999369

Kim-Chuan Toh, Ning Zhang, Defeng Sun, Yangjing Zhang

Publication date: 6 July 2021

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06952

zbMATH Keywords

semismooth Newton methodnetwork estimationsparse Jacobianfast linear convergence

Mathematics Subject Classification ID

Semidefinite programming (90C22) Convex programming (90C25) Sensitivity, stability, parametric optimization (90C31) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• glasso
• loggle

Cites Work

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