Certifiably optimal sparse inverse covariance estimation

Author:

Bertsimas DimitrisORCID,Lamperski Jourdain,Pauphilet JeanORCID

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Software

Reference69 articles.

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2. Atchadé, Y.F., Mazumder, R., Chen, J.: Scalable computation of regularized precision matrices via stochastic optimization (2015). arXiv:1509.00426

3. Banerjee, O., El Ghaoui, L., d’Aspremont, A.: Model selection through sparse maximum likelihood estimation for multivariate gaussian or binary data. J. Mach. Learn. Res. 9(Mar), 485–516 (2008)

4. Ben-Tal, A., El Ghaoui, L., Nemirovski, A.: Robust Optimization. Princeton University Press, Princeton (2009)

5. Bertsimas, D., Copenhaver, M.S.: Characterization of the equivalence of robustification and regularization in linear and matrix regression. Eur. J. Oper. Res. 270, 93142 (2018)

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