Sparse Cholesky factorization by Kullback-Leibler minimization.

Florian Schäfer Matthias Katzfuss Houman Owhadi

Published in: CoRR (2020)

Keyphrases

kullback leibler
kl divergence
distance measure
kullback leibler divergence
cross entropy
matrix factorization
objective function
sparse representation
pairwise
high dimensional
probabilistic model
mutual information
information theoretic
singular value decomposition