Sparse covariance selection problems can be formulated as log-determinant (log-det) semidefinite programming (SDP) problems with large numbers of linear constraints. Standard primal-dual interior-point methods that are based on solving the Schur complement equation would encounter severe computational bottlenecks if they are applied to solve these SDPs. In this paper, we consider a customized inexact primal-dual path-following interior-point algorithm for solving large scale log-det SDP problems arising from sparse covariance selection problems. Our inexact algorithm solve the large and ill-conditioned linear system of equations in each iteration by a preconditioned iterative solver. By exploiting the structures in sparse covariance selection problems, we are able to design highly effective preconditioners to efficiently solve the large and ill-conditioned linear systems. Numerical experiments on both synthetic and real covariance selection problems show that our algorithm is highly efficient and outperforms other existing algorithms.
National University of Singapore, February, 2010.
View An inexact interior point method for L1-regularized sparse covariance selection