Closed-form Solution for Graphical Lasso
Graphical Lasso (GL) is a popular method for learning the structure of Gaussian graphical models, which is based on an L1 regularization technique. We develop a highly efficient approximate closed-form solution for Graphical Lasso. Our developed code is publicly available in Python and MATLAB.
Code written by Tong Xu and Salar Fattahi
Salar Fattahi and Somayeh Sojoudi. “Graphical lasso and thresholding: Equivalence and closed-form solutions.” The Journal of Machine Learning Research 20.1 (2019): 364-407.