Graphical Lasso and Thresholding: Equivalence and Closed-form Solutions

30 Aug 2017Salar FattahiSomayeh Sojoudi

Graphical Lasso (GL) is a popular method for learning the structure of an undirected graphical model, which is based on an $l_1$ regularization technique. The objective of this paper is to compare the computationally-heavy GL technique with a numerically-cheap heuristic method that is based on simply thresholding the sample covariance matrix... (read more)

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