A Greedy Algorithm for Sparse Precision Matrix Approximation

DOI10.4208/jcm.2005-m2019-0151OpenAlexW3192642995MaRDI QIDQ5079528

Xiaoqun Zhang, Didi Lv

Publication date: 27 May 2022

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.00723

zbMATH Keywords

sparse recoveryprecision matrix estimationgreedy methodsCLIME estimatorinverse scale space method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Numerical mathematical programming methods (65K05)

Uses Software

• glasso
• CoSaMP
• L1-MAGIC

Cites Work

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