TY - JOUR
T1 - A Greedy Algorithm for Sparse Precision Matrix Approximation
AU - Lv , Didi
AU - Zhang , Xiaoqun
JO - Journal of Computational Mathematics
VL - 5
SP - 693
EP - 707
PY - 2021
DA - 2021/09
SN - 39
DO - http://doi.org/10.4208/jcm.2005-m2019-0151
UR - https://global-sci.org/intro/article_detail/jcm/19520.html
KW - Precision matrix estimation, CLIME estimator, Sparse recovery, Inverse scale space method, Greedy methods.
AB - <p style="text-align: justify;">Precision matrix estimation is an important problem in statistical data analysis. This paper proposes a sparse precision matrix estimation approach, based on CLIME estimator and an efficient algorithm GISS$^{{\rho}}$ that was originally proposed for $l_1$ sparse signal recovery in compressed sensing. The asymptotic convergence rate for sparse precision matrix estimation is analyzed with respect to the new stopping criteria of the proposed GISS$^{{\rho}}$ algorithm. Finally, numerical comparison of GISS$^{\rho}$ with other sparse recovery algorithms, such as ADMM and HTP in three settings of precision matrix estimation is provided and the numerical results show the advantages of the proposed algorithm.</p>