Graphical LASSO Algorithm

Wikis > SuanShu > Trading Models > Covariance Selection > Graphical LASSO Algorithm

GLASSOFAST is the Graphical LASSO algorithm to solve the covariance selection problem.

References

  1. “Sustik, M.A. and Calderhead, B., “GLASSOFAST: An efficient GLASSO implementation,” UTCS Technical Report TR-12-29, November 6, 2012.”
  2. “O. Banerjee, L. E. Ghaoui and A. d’Aspremont, “Model Selection Through Sparse Maximum Likelihood Estimation for multivariate Gaussian or Binary Data,” Journal of Machine Learning Research, 9, pp. 485-516, March 2008.”