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Certifiably Optimal Sparse Inverse Covariance Estimation.
Dimitris Bertsimas
Jourdain B. Lamperski
Jean Pauphilet
Published in:
CoRR (2019)
Keyphrases
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correlation matrix
optimal solution
high dimensional
dynamic programming
optimal design
worst case
accurate estimation
estimation error
linear combination
log likelihood function
joint optimization
sparse data
optimal control
data sets
multiscale
information systems
machine learning