graphical lasso

Scalable Inference of Sparsely-changing Markov Random Fields with Strong Statistical Guarantees

  • Salar Fattahi
  • Andrés Gómez
    • Categories Combinatorial Optimization, Statistics Tags , ,

    In this paper, we study the problem of inferring time-varying Markov random fields (MRF), where the underlying graphical model is both sparse and changes sparsely over time. Most of the existing methods for the inference of time-varying MRFs rely on the regularized maximum likelihood estimation (MLE), that typically suffer from weak statistical guarantees and high … Read more

    Proximal Approaches for Matrix Optimization Problems: Application to Robust Precision Matrix Estimation.

  • A. Benfenati
  • Émilie Chouzenoux
  • Jean-Christophe Pesquet
    • Categories Applications - OR and Management Sciences Tags , , , , ,

    In recent years, there has been a growing interest in mathematical mod- els leading to the minimization, in a symmetric matrix space, of a Bregman di- vergence coupled with a regularization term. We address problems of this type within a general framework where the regularization term is split in two parts, one being a spectral … Read more