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WIP Add support for GLasso and Adaptive (reweighted) GLasso

Open Perceptronium opened this issue 8 months ago • 3 comments

Context of the PR

Add Graphical Lasso and Adaptive Graphical Lasso estimators

Contributions of the PR

  • A new GraphicalLasso estimator that can:
  1. Handle weighted regularization.
  2. 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)
  • A new AdaptiveGraphicalLasso estimator that solves the Reweighted Graphical Lasso problem, where the weights are updated following the procedure of Candès et al., 2008

  • Test functions for the two estimators

  • 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.

Perceptronium avatar Feb 10 '25 13:02 Perceptronium