Search Results for author: Alexander Petersen

Found 2 papers, 2 papers with code

Partial Separability and Functional Graphical Models for Multivariate Gaussian Processes

1 code implementation7 Oct 2019 Javier Zapata, Sang-Yun Oh, Alexander Petersen

Next, the partial separability structure is shown to be particularly useful in order to provide a well-defined functional Gaussian graphical model that can be identified with a sequence of finite-dimensional graphical models, each of identical fixed dimension.

Gaussian Processes

Distributionally Robust Formulation and Model Selection for the Graphical Lasso

1 code implementation22 May 2019 Pedro Cisneros-Velarde, Sang-Yun Oh, Alexander Petersen

As a consequence of this formulation, the radius of the Wasserstein ambiguity set is directly related to the regularization parameter in the estimation problem.

Model Selection

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