Large Scale Distributed Sparse Precision Estimation

NeurIPS 2013 Huahua WangArindam BanerjeeCho-Jui HsiehPradeep K. RavikumarInderjit S. Dhillon

We consider the problem of sparse precision matrix estimation in high dimensions using the CLIME estimator, which has several desirable theoretical properties. We present an inexact alternating direction method of multiplier (ADMM) algorithm for CLIME, and establish rates of convergence for both the objective and optimality conditions... (read more)

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