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Ravikumar, P., Wainwrighr, M., Rasutti, G. and Yu, B. (2011) High-Dimensional Covariance Estimation by Minimizing l₁-Penalized Log-Determinant Divergence. Electronic Journal of Statistics, 5, 935-980.
https://doi.org/10.1214/11-EJS631

has been cited by the following article:

• TITLE: Positive-Definite Sparse Precision Matrix Estimation

  AUTHORS: Lin Xia, Xudong Huang, Guanpeng Wang, Tao Wu

  KEYWORDS: Positive-Definiteness, Sparsity, D-Trace Loss, Accelerated Gradient Method

  JOURNAL NAME: Advances in Pure Mathematics, Vol.7 No.1, January 23, 2017

  ABSTRACT: The positive-definiteness and sparsity are the most important property of high-dimensional precision matrices. To better achieve those property, this paper uses a sparse lasso penalized D-trace loss under the positive-definiteness constraint to estimate high-dimensional precision matrices. This paper derives an efficient accelerated gradient method to solve the challenging optimization problem and establish its converges rate as . The numerical simulations illustrated our method have competitive advantage than other methods.