Open AccessOn the Solution of ℓ0-Constrained Sparse Inverse Covariance Estimation Problems
Author(s) -
Dzung T. Phan,
Matt Menickelly
Publication year - 2020
Publication title -
informs journal on computing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.403
H-Index - 80
eISSN - 1526-5528
pISSN - 1091-9856
DOI - 10.1287/ijoc.2020.0991
Subject(s) - interpretability , covariance , mathematical optimization , estimation of covariance matrices , covariance matrix , computer science , inverse problem , mathematics , constraint (computer aided design) , algorithm , artificial intelligence , statistics , mathematical analysis , geometry
The sparse inverse covariance matrix is used to model conditional dependencies between variables in a graphical model to fit a multivariate Gaussian distribution. Estimating the matrix from data ar...
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