Efficient QUIC-Based Damped Inexact Iterative Reweighting for Sparse Inverse Covariance Estimation with Nonconvex Partly Smooth Regularization
In this paper, we study sparse inverse covariance matrix estimation incorporating partly smooth nonconvex regularizers. To solve the resulting regularized log-determinant problem, we develop DIIR-QUIC—a novel Damped Inexact Iteratively Reweighted algorithm based on QUadratic approximate Inverse Covariance (QUIC) method. Our approach generalizes the classic iteratively reweighted \(\ell_1\) scheme through damped fixed-point updates. A key novelty … Read more