Graphical LASSO Algorithm

Revision for “Graphical LASSO Algorithm” created on April 26, 2015 @ 13:42:24

TitleContentExcerptRevision Note
Graphical LASSO Algorithm
<p>GLASSOFAST is the Graphical LASSO algorithm to solve the <a href="http://numericalmethod.com/up/trading-models/covariance-selection/">covariance selection problem</a>.</p>
<h1>References</h1>
<ol>
<li>"Sustik, M.A. and Calderhead, B., "GLASSOFAST: An efficient GLASSO implementation," UTCS Technical Report TR-12-29, November 6, 2012."</li>
<li>"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."</li>
</ol>
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