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WIP Add support for GLasso and Adaptive (reweighted) GLasso
Context of the PR
Add Graphical Lasso and Adaptive Graphical Lasso estimators
Contributions of the PR
- A new GraphicalLasso estimator that can:
- Handle weighted regularization.
- Use two different algorithms to solve the GLasso problem: 2.1. The "Banerjee" approach as in Banerjee et al., 2008 (the original GLasso algorithm) 2.2. The "Mazumder" approach as in Mazumder et al., 2012 (the P-GLasso algorithm)
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A new AdaptiveGraphicalLasso estimator that solves the Reweighted Graphical Lasso problem, where the weights are updated following the procedure of Candès et al., 2008
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Test functions for the two estimators
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An illustrative example of the two estimators that plots their performance (in terms of NMSE and F1 score) as a function of the regularization hyperparameter.