Block-enhanced precision matrix estimation for large-scale datasets
Block-enhanced precision matrix estimation for large-scale datasets
Aryan Eftekhari,Dimosthenis Pasadakis,2 Authors,O. Schenk
2021 · DOI: 10.1016/J.JOCS.2021.101389
Journal of Computer Science · 9 Citations
TLDR
This work presents a novel l1-regularized maximum likelihood method for performant large-scale sparse precision matrix estimation utilizing the block structures in the underlying computations, and demonstrates the effectiveness, accuracy, and performance of these algorithms.
