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FEAT - Add Non Convex Graphical Lasso

Open mathurinm opened this issue 1 year ago • 0 comments

Add a non convex graphical lasso solver with reweighting:

  • use sklearn code to implement a WeightedGraphicalLasso
  • add a wrapper to fit it ~5 times a la IterativeRewieghtedL1 with updated weights at each iteration

Could be a good first project for ENS students @QB3

mathurinm avatar Sep 23 '24 08:09 mathurinm