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https://doi.org/10.1007/s12532-010-0020-6
DC Field | Value | |
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dc.title | An inexact interior point method for L1-regularized sparse covariance selection | |
dc.contributor.author | Li, L. | |
dc.contributor.author | Toh, K.-C. | |
dc.date.accessioned | 2014-10-28T02:30:23Z | |
dc.date.available | 2014-10-28T02:30:23Z | |
dc.date.issued | 2010 | |
dc.identifier.citation | Li, L., Toh, K.-C. (2010). An inexact interior point method for L1-regularized sparse covariance selection. Mathematical Programming Computation 2 (3-4) : 291-315. ScholarBank@NUS Repository. https://doi.org/10.1007/s12532-010-0020-6 | |
dc.identifier.issn | 18672949 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/102842 | |
dc.description.abstract | Sparse covariance selection problems can be formulated as logdeterminant (log-det) semidefinite programming (SDP) problems with large numbers of linear constraints. Standard primal-dual interior-point methods that are based on solving the Schur complement equation would encounter severe computational bottlenecks if they are applied to solve these SDPs. In this paper, we consider a customized inexact primal-dual path-following interior-point algorithm for solving large scale log-det SDP problems arising from sparse covariance selection problems. Our inexact algorithm solves the large and ill-conditioned linear system of equations in each iteration by a preconditioned iterative solver. By exploiting the structures in sparse covariance selection problems, we are able to design highly effective preconditioners to efficiently solve the large and ill-conditioned linear systems. Numerical experiments on both synthetic and real covariance selection problems show that our algorithm is highly efficient and outperforms other existing algorithms. © Springer and Mathematical Optimization Society 2010. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s12532-010-0020-6 | |
dc.source | Scopus | |
dc.subject | Inexact interior point method | |
dc.subject | Inexact search direction | |
dc.subject | Iterative solver | |
dc.subject | Log-determinant semidefinite programming | |
dc.subject | Sparse inverse covariance selection | |
dc.type | Article | |
dc.contributor.department | MATHEMATICS | |
dc.description.doi | 10.1007/s12532-010-0020-6 | |
dc.description.sourcetitle | Mathematical Programming Computation | |
dc.description.volume | 2 | |
dc.description.issue | 3-4 | |
dc.description.page | 291-315 | |
dc.identifier.isiut | 000219317200005 | |
Appears in Collections: | Staff Publications |
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