Graphical lasso computing device, graphical lasso computing method and graphical lasso computing program

摘要

PROBLEM TO BE SOLVED: To enable the calculation of a graphical lasso for calculating a rough structure from multidimensional data at a high speed.SOLUTION: A graphical lasso calculation device 1 includes: an approximate covariance calculation part 12 for calculating an approximate covariance between data points from SVD calculated by an SVD calculation part 11; a covariance calculation part 13 for calculating a covariance between the data points in the case that there is the possibility of having an edge due to approximation; a connection part calculation part 14 for calculating a block being a connection part of an adjacency matrix composed of the covariance; an update component setting part 15 for setting a component of a calculation object of the block; a coefficient calculation part 16 for repeatedly calculating a first coefficient in a lasso in the component of the calculation object; a non-update component confirmation part 17 for confirming whether a second coefficient in the lasso is non-zero; and a repetition calculation determination part 18 for determining the continuation of a repetition calculation of the first coefficient in accordance with a confirmation result of the non-update component confirmation part 17.SELECTED DRAWING: Figure 2