A closed-form matrix regularization parameter for ℓ1-regularized Gaussian MLE, obtained by fixing reselection probability of nonzero entries, matches CV accuracy and support recovery at far lower cost.
Yuan,High dimensional inverse covariance matrix estimation via linear programming, The Journal of Machine Learning Research, 11 (2010), pp
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The Regularization Parameter: Sparse Precision Matrix Estimation
A closed-form matrix regularization parameter for ℓ1-regularized Gaussian MLE, obtained by fixing reselection probability of nonzero entries, matches CV accuracy and support recovery at far lower cost.