GISS^ρ is a greedy algorithm for sparse precision matrix estimation with analyzed asymptotic convergence and sparsity recovery, showing numerical advantages over ADMM and HTP.
First-o rder methods for sparse covariance selection
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A greedy algorithm for sparse precision matrix approximation
GISS^ρ is a greedy algorithm for sparse precision matrix estimation with analyzed asymptotic convergence and sparsity recovery, showing numerical advantages over ADMM and HTP.