A coordinate descent algorithm for sparse positive definite matrix estimation

摘要

Abstract This paper proposes a coordinate descent (CD) algorithm that can be used for estimating sparse positive definite matrices. Positive definite matrix estimation is frequently encountered in multivariate statistics, such as estimation of the precision and covariance matrices. The proposed CD algorithm proceeds in a forward stagewise fashion, and iteratively updates the current estimated matrix at either one diagonal entry or two symmetric off-diagonal entries. To assure the positive defin.