Certifiably optimal sparse inverse covariance estimation.

Dimitris Bertsimas Jourdain B. Lamperski Jean Pauphilet

Published in: Math. Program. (2020)

Keyphrases

dynamic programming
estimation error
optimal solution
high dimensional
estimation algorithm
pairwise
closed form
optimal control
correlation matrix
case study
model selection
sparse representation
covariance matrix
estimation accuracy
elastic net