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.

[Github Link]

Code written by Tong Xu and Salar Fattahi

Related paper:

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.