An inexact interior point method for L 1-regularized sparse covariance selection
نویسندگان
چکیده
Sparse covariance selection problems can be formulated as log-determinant (log-det ) semidefinite programming (SDP) problems with large numbers of linear constraints. Standard primal-dual interior-point methods that are based on solving the Schur complement equation would encounter severe computational bottlenecks if they are applied to solve these SDPs. In this paper, we consider a customized inexact primal-dual path-following interior-point algorithm for solving large scale log-det SDP problems arising from sparse covariance selection problems. Our inexact algorithm solve the large and ill-conditioned linear system of equations in each iteration by a preconditioned iterative solver. By exploiting the structures in sparse covariance selection problems, we are able to design highly effective preconditioners to efficiently solve the large and illconditioned linear systems. Numerical experiments on both synthetic and real covariance selection problems show that our algorithm is highly efficient and outperforms other existing algorithms. keywords: log-determinant semidefinite programming, sparse inverse covariance selection, infeasible interior point method, inexact search direction, symmetric quasiminimum residual iteration
منابع مشابه
Global convergence of an inexact interior-point method for convex quadratic symmetric cone programming
In this paper, we propose a feasible interior-point method for convex quadratic programming over symmetric cones. The proposed algorithm relaxes the accuracy requirements in the solution of the Newton equation system, by using an inexact Newton direction. Furthermore, we obtain an acceptable level of error in the inexact algorithm on convex quadratic symmetric cone programmin...
متن کاملAn Interior-Point Method for Large-Scale l1-Regularized Least Squares
Recently, a lot of attention has been paid to l1 regularization based methods for sparse signal reconstruction (e.g., basis pursuit denoising and compressed sensing) and feature selection (e.g., the Lasso algorithm) in signal processing, statistics, and related fields. These problems can be cast as l1-regularized least squares programs (LSPs), which can be reformulated as convex quadratic progr...
متن کاملA Method for Large-Scale l1-Regularized Logistic Regression
Logistic regression with l1 regularization has been proposed as a promising method for feature selection in classification problems. Several specialized solution methods have been proposed for l1-regularized logistic regression problems (LRPs). However, existing methods do not scale well to large problems that arise in many practical settings. In this paper we describe an efficient interior-poi...
متن کاملSparse Representation for Detection of Microcalcification Clusters
We present an approach to detect MCs in mammograms by casting the detection problem as finding sparse representations of test samples with respect to training samples. The ground truth training samples of MCs in mammograms are assumed to be known as a priori. From these samples of the interest object class, a vocabulary of information-rich object parts is automatically constructed. The sparse r...
متن کاملAn Interior-Point Method for Large-Scale l1-Regularized Logistic Regression
Logistic regression with `1 regularization has been proposed as a promising method for feature selection in classification problems. In this paper we describe an efficient interior-point method for solving large-scale `1-regularized logistic regression problems. Small problems with up to a thousand or so features and examples can be solved in seconds on a PC; medium sized problems, with tens of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Math. Program. Comput.
دوره 2 شماره
صفحات -
تاریخ انتشار 2010