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ADMM Algorithm for Graphical Lasso with an ℓ_∞ Element-wise Norm Constraint

11/28/2013

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by Karthik Mohan, et al.

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We consider the problem of Graphical lasso with an additional ℓ_∞ element-wise norm constraint on the precision matrix. This problem has applications in high-dimensional covariance decomposition such as in Janzamin-12. We propose an ADMM algorithm to solve this problem. We also use a continuation strategy on the penalty parameter to have a fast implemenation of the algorithm.

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