Please use this identifier to cite or link to this item: https://doi.org/10.1007/s12532-010-0020-6
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dc.titleAn inexact interior point method for L1-regularized sparse covariance selection
dc.contributor.authorLi, L.
dc.contributor.authorToh, K.-C.
dc.date.accessioned2014-10-28T02:30:23Z
dc.date.available2014-10-28T02:30:23Z
dc.date.issued2010
dc.identifier.citationLi, 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.issn18672949
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/102842
dc.description.abstractSparse 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.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s12532-010-0020-6
dc.sourceScopus
dc.subjectInexact interior point method
dc.subjectInexact search direction
dc.subjectIterative solver
dc.subjectLog-determinant semidefinite programming
dc.subjectSparse inverse covariance selection
dc.typeArticle
dc.contributor.departmentMATHEMATICS
dc.description.doi10.1007/s12532-010-0020-6
dc.description.sourcetitleMathematical Programming Computation
dc.description.volume2
dc.description.issue3-4
dc.description.page291-315
dc.identifier.isiut000219317200005
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