Sparse Covariance Matrix Estimation by DCA-Based Algorithms

This letter proposes a novel approach using the [Formula: see text]-norm regularization for the sparse covariance matrix estimation (SCME) problem. The objective function of SCME problem is composed of a nonconvex part and the [Formula: see text] term, which is discontinuous and difficult to tackle....

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Bibliographic Details

Published in:	Neural computation Vol. 29; no. 11; p. 3040
Main Authors:	Phan, Duy Nhat, Le Thi, Hoai An, Dinh, Tao Pham
Format:	Journal Article
Language:	English
Published:	United States 01.11.2017
ISSN:	1530-888X, 1530-888X
Online Access:	Get more information
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