Exact covariance thresholding into connected components for large-scale Graphical Lasso
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We consider the sparse inverse covariance regularization problem or graphical lasso with regularization parameter ρ. Suppose the co- variance graph formed by thresholding the entries of the sample covariance matrix at ρ is decomposed into connected components. We show that the vertex-partition induced by the thresholded covariance graph is exactly equal to that induced by the estimated concentration graph. This simple rule, when used as a wrapper around existing algorithms, leads to enormous performance gains. For large values of ρ, our proposal splits a large graphical lasso problem into smaller tractable problems, making it possible to solve an otherwise infeasible large scale graphical lasso problem.
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