Learning Gaussian Graphical Models with Ordered Weighted L1 Regularization

1 code implementation • 6 Jun 2019 • Cody Mazza-Anthony, Bogdan Mazoure, Mark Coates

We propose two novel estimators based on the Ordered Weighted $\ell_1$ (OWL) norm: 1) The Graphical OWL (GOWL) is a penalized likelihood method that applies the OWL norm to the lower triangle components of the precision matrix.

Computational Efficiency