covariance selection

Smooth Optimization Approach for Covariance Selection

  • Zhaosong Lu
    • Categories Convex and Nonsmooth Optimization, Statistics Tags , ,

    In this paper we study a smooth optimization approach for solving a class of non-smooth {\it strongly} concave maximization problems. In particular, we apply Nesterov’s smooth optimization technique \cite{Nest83-1,Nest05-1} to their dual counterparts that are smooth convex problems. It is shown that the resulting approach has $\cO(1/{\sqrt{\epsilon}})$ iteration complexity for finding an $\epsilon$-optimal solution to … Read more

    Sparse Covariance Selection via Robust Maximum Likelihood Estimation

  • Onureena Banerjeee
  • Alexandre d'Aspremont
  • Laurent El Ghaoui
    • Categories Convex Optimization, Semi-definite Programming, Statistics Tags , ,

    We address a problem of covariance selection, where we seek a trade-off between a high likelihood against the number of non-zero elements in the inverse covariance matrix. We solve a maximum likelihood problem with a penalty term given by the sum of absolute values of the elements of the inverse covariance matrix, and allow for … Read more